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fully annotated source code - version 1.34
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Classes | Public Member Functions | Private Attributes | List of all members
VolatilityBumpInstrumentJacobian Class Reference

#include <bumpinstrumentjacobian.hpp>

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Classes

struct  Cap
 
struct  Swaption
 

Public Member Functions

 VolatilityBumpInstrumentJacobian (const VegaBumpCollection &bumps, const std::vector< Swaption > &swaptions, const std::vector< Cap > &caps)
 
const VegaBumpCollectiongetInputBumps () const
 
std::vector< RealderivativesVolatility (Size j) const
 
std::vector< RealonePercentBump (Size j) const
 
const MatrixgetAllOnePercentBumps () const
 

Private Attributes

VegaBumpCollection bumps_
 
std::vector< Swaptionswaptions_
 
std::vector< Capcaps_
 
std::valarray< boolcomputed_
 
bool allComputed_
 
std::vector< std::vector< Real > > derivatives_
 
std::vector< std::vector< Real > > onePercentBumps_
 
Matrix bumpMatrix_
 

Detailed Description

Definition at line 32 of file bumpinstrumentjacobian.hpp.

Constructor & Destructor Documentation

◆ VolatilityBumpInstrumentJacobian()

VolatilityBumpInstrumentJacobian ( const VegaBumpCollection bumps,
const std::vector< Swaption > &  swaptions,
const std::vector< Cap > &  caps 
)

Definition at line 30 of file bumpinstrumentjacobian.cpp.

Member Function Documentation

◆ getInputBumps()

const VegaBumpCollection & getInputBumps ( ) const

Definition at line 56 of file bumpinstrumentjacobian.hpp.

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◆ derivativesVolatility()

std::vector< Real > derivativesVolatility ( Size  j) const

Definition at line 42 of file bumpinstrumentjacobian.cpp.

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◆ onePercentBump()

std::vector< Real > onePercentBump ( Size  j) const

Definition at line 118 of file bumpinstrumentjacobian.cpp.

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◆ getAllOnePercentBumps()

const Matrix & getAllOnePercentBumps ( ) const

Definition at line 124 of file bumpinstrumentjacobian.cpp.

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Member Data Documentation

◆ bumps_

VegaBumpCollection bumps_
private

Definition at line 70 of file bumpinstrumentjacobian.hpp.

◆ swaptions_

std::vector<Swaption> swaptions_
private

Definition at line 71 of file bumpinstrumentjacobian.hpp.

◆ caps_

std::vector<Cap> caps_
private

Definition at line 72 of file bumpinstrumentjacobian.hpp.

◆ computed_

std::valarray<bool> computed_
mutableprivate

Definition at line 73 of file bumpinstrumentjacobian.hpp.

◆ allComputed_

bool allComputed_
mutableprivate

Definition at line 74 of file bumpinstrumentjacobian.hpp.

◆ derivatives_

std::vector<std::vector<Real> > derivatives_
mutableprivate

Definition at line 75 of file bumpinstrumentjacobian.hpp.

◆ onePercentBumps_

std::vector<std::vector<Real> > onePercentBumps_
mutableprivate

Definition at line 77 of file bumpinstrumentjacobian.hpp.

◆ bumpMatrix_

Matrix bumpMatrix_
mutableprivate

Definition at line 78 of file bumpinstrumentjacobian.hpp.