QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Namespaces | Enumerations | Functions
sensitivityanalysis.hpp File Reference

sensitivity analysis function More...

#include <ql/types.hpp>
#include <ql/utilities/null.hpp>
#include <ql/shared_ptr.hpp>
#include <vector>

Go to the source code of this file.

Namespaces

namespace  QuantLib
 

Enumerations

enum  SensitivityAnalysis { OneSide , Centered }
 Finite differences calculation. More...
 

Functions

Real aggregateNPV (const std::vector< ext::shared_ptr< Instrument > > &, const std::vector< Real > &quantities)
 utility fuction for weighted sum of NPVs More...
 
pair< Real, Real > parallelAnalysis (const std::vector< Handle< SimpleQuote > > &, const std::vector< ext::shared_ptr< Instrument > > &, const std::vector< Real > &quantities, Real shift=0.0001, SensitivityAnalysis type=Centered, Real referenceNpv=Null< Real >())
 parallel shift PV01 sensitivity analysis for a SimpleQuote vector More...
 
std::pair< Real, Real > parallelAnalysis (const std::vector< std::vector< Handle< SimpleQuote > > > &, const std::vector< ext::shared_ptr< Instrument > > &, const std::vector< Real > &quantities, Real shift=0.0001, SensitivityAnalysis type=Centered, Real referenceNpv=Null< Real >())
 parallel shift PV01 sensitivity analysis for a SimpleQuote matrix More...
 
pair< Real, Real > bucketAnalysis (const Handle< SimpleQuote > &quote, const std::vector< ext::shared_ptr< Instrument > > &, const std::vector< Real > &quantities, Real shift=0.0001, SensitivityAnalysis type=Centered, Real referenceNpv=Null< Real >())
 (bucket) PV01 sensitivity analysis for a (single) SimpleQuote More...
 
void bucketAnalysis (std::vector< Real > &deltaVector, std::vector< Real > &gammaVector, std::vector< Real > &referenceValues, const Handle< SimpleQuote > &quote, const std::vector< Handle< Quote > > &parameters, Real shift=0.0001, SensitivityAnalysis type=Centered)
 (bucket) parameters' sensitivity analysis for a (single) SimpleQuote More...
 
pair< vector< Real >, vector< Real > > bucketAnalysis (const std::vector< Handle< SimpleQuote > > &quotes, const std::vector< ext::shared_ptr< Instrument > > &, const std::vector< Real > &quantities, Real shift=0.0001, SensitivityAnalysis type=Centered)
 bucket PV01 sensitivity analysis for a SimpleQuote vector More...
 
void bucketAnalysis (std::vector< std::vector< Real > > &deltaMatrix, std::vector< std::vector< Real > > &gammaMatrix, const std::vector< Handle< SimpleQuote > > &quotes, const std::vector< Handle< Quote > > &parameters, Real shift=0.0001, SensitivityAnalysis type=Centered)
 bucket parameters' sensitivity analysis for a SimpleQuote vector More...
 
pair< vector< vector< Real > >, vector< vector< Real > > > bucketAnalysis (const std::vector< std::vector< Handle< SimpleQuote > > > &, const std::vector< ext::shared_ptr< Instrument > > &, const std::vector< Real > &quantities, Real shift=0.0001, SensitivityAnalysis type=Centered)
 bucket sensitivity analysis for a SimpleQuote matrix More...
 

Detailed Description

sensitivity analysis function

Definition in file sensitivityanalysis.hpp.