VolatilityBumpInstrumentJacobian Class Reference

#include <ql/models/marketmodels/pathwisegreeks/bumpinstrumentjacobian.hpp>

Collaboration diagram for VolatilityBumpInstrumentJacobian:

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_

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.