24#ifndef quantlib_sensitivity_analysis_hpp
25#define quantlib_sensitivity_analysis_hpp
52 const std::vector<Real>& quantities);
66 const std::vector<ext::shared_ptr<Instrument> >&,
67 const std::vector<Real>& quantities,
70 Real referenceNpv = Null<Real>());
84 const std::vector<ext::shared_ptr<Instrument> >&,
85 const std::vector<Real>& quantities,
99 const std::vector<ext::shared_ptr<Instrument> >&,
100 const std::vector<Real>& quantities,
115 std::vector<Real>& gammaVector,
116 std::vector<Real>& referenceValues,
132 std::pair<std::vector<Real>, std::vector<Real> >
134 const std::vector<ext::shared_ptr<Instrument> >&,
135 const std::vector<Real>& quantities,
152 std::vector<std::vector<Real> >& gammaMatrix,
169 std::pair<std::vector<std::vector<Real> >, std::vector<std::vector<Real> > >
171 const std::vector<ext::shared_ptr<Instrument> >&,
172 const std::vector<Real>& quantities,
Shared handle to an observable.
template class providing a null value for a given type.
Real aggregateNPV(const vector< ext::shared_ptr< Instrument > > &instruments, const vector< Real > &quant)
utility fuction for weighted sum of NPVs
pair< Real, Real > parallelAnalysis(const vector< Handle< SimpleQuote > > "es, const vector< ext::shared_ptr< Instrument > > &instruments, const vector< Real > &quantities, Real shift, SensitivityAnalysis type, Real referenceNpv)
parallel shift PV01 sensitivity analysis for a SimpleQuote vector
std::ostream & operator<<(std::ostream &out, GFunctionFactory::YieldCurveModel type)
pair< Real, Real > bucketAnalysis(const Handle< SimpleQuote > "e, const vector< ext::shared_ptr< Instrument > > &instruments, const vector< Real > &quantities, Real shift, SensitivityAnalysis type, Real referenceNpv)
(bucket) PV01 sensitivity analysis for a (single) SimpleQuote
SensitivityAnalysis
Finite differences calculation.
Maps shared_ptr to either the boost or std implementation.