OrthogonalizedBumpFinder Class Reference

#include <bumpinstrumentjacobian.hpp>

Collaboration diagram for OrthogonalizedBumpFinder:

Public Member Functions
	OrthogonalizedBumpFinder (const VegaBumpCollection &bumps, const std::vector< VolatilityBumpInstrumentJacobian::Swaption > &swaptions, const std::vector< VolatilityBumpInstrumentJacobian::Cap > &caps, Real multiplierCutOff, Real tolerance)
void	GetVegaBumps (std::vector< std::vector< Matrix > > &theBumps) const

Private Attributes
VolatilityBumpInstrumentJacobian	derivativesProducer_
Real	multiplierCutOff_
Real	tolerance_

Detailed Description

Pass in a market model, a list of instruments, and possible bumps.

Get out pseudo-root bumps that shift each implied vol by one percent, and leave the other instruments fixed.

If the contribution of an instrument is too correlated with other instruments used, discard it.

Examples

MarketModels.cpp.

Definition at line 90 of file bumpinstrumentjacobian.hpp.

Constructor & Destructor Documentation

OrthogonalizedBumpFinder()

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

Definition at line 138 of file bumpinstrumentjacobian.cpp.

Member Function Documentation

GetVegaBumps()

void GetVegaBumps

(

std::vector< std::vector< Matrix > > &

theBumps

)

const

Examples

MarketModels.cpp.

Definition at line 152 of file bumpinstrumentjacobian.cpp.

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Member Data Documentation

derivativesProducer_

VolatilityBumpInstrumentJacobian derivativesProducer_

private

Definition at line 104 of file bumpinstrumentjacobian.hpp.

multiplierCutOff_

Real multiplierCutOff_

private

Definition at line 105 of file bumpinstrumentjacobian.hpp.

tolerance_

Real tolerance_

private

Definition at line 106 of file bumpinstrumentjacobian.hpp.