QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <bumpinstrumentjacobian.hpp>
Classes | |
struct | Cap |
struct | Swaption |
Public Member Functions | |
VolatilityBumpInstrumentJacobian (const VegaBumpCollection &bumps, const std::vector< Swaption > &swaptions, const std::vector< Cap > &caps) | |
const VegaBumpCollection & | getInputBumps () const |
std::vector< Real > | derivativesVolatility (Size j) const |
std::vector< Real > | onePercentBump (Size j) const |
const Matrix & | getAllOnePercentBumps () const |
Private Attributes | |
VegaBumpCollection | bumps_ |
std::vector< Swaption > | swaptions_ |
std::vector< Cap > | caps_ |
std::valarray< bool > | computed_ |
bool | allComputed_ |
std::vector< std::vector< Real > > | derivatives_ |
std::vector< std::vector< Real > > | onePercentBumps_ |
Matrix | bumpMatrix_ |
Definition at line 32 of file bumpinstrumentjacobian.hpp.
VolatilityBumpInstrumentJacobian | ( | const VegaBumpCollection & | bumps, |
const std::vector< Swaption > & | swaptions, | ||
const std::vector< Cap > & | caps | ||
) |
Definition at line 30 of file bumpinstrumentjacobian.cpp.
const VegaBumpCollection & getInputBumps | ( | ) | const |
Definition at line 56 of file bumpinstrumentjacobian.hpp.
Definition at line 42 of file bumpinstrumentjacobian.cpp.
Definition at line 118 of file bumpinstrumentjacobian.cpp.
const Matrix & getAllOnePercentBumps | ( | ) | const |
Definition at line 124 of file bumpinstrumentjacobian.cpp.
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private |
Definition at line 70 of file bumpinstrumentjacobian.hpp.
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private |
Definition at line 71 of file bumpinstrumentjacobian.hpp.
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private |
Definition at line 72 of file bumpinstrumentjacobian.hpp.
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mutableprivate |
Definition at line 73 of file bumpinstrumentjacobian.hpp.
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mutableprivate |
Definition at line 74 of file bumpinstrumentjacobian.hpp.
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mutableprivate |
Definition at line 75 of file bumpinstrumentjacobian.hpp.
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mutableprivate |
Definition at line 77 of file bumpinstrumentjacobian.hpp.
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mutableprivate |
Definition at line 78 of file bumpinstrumentjacobian.hpp.