QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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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 > "e, 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 > "e, const std::vector< Handle< Quote > > ¶meters, 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 > > "es, 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 > > "es, const std::vector< Handle< Quote > > ¶meters, 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... | |
sensitivity analysis function
Definition in file sensitivityanalysis.hpp.