sensitivityanalysis.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2008, 2010 Ferdinando Ametrano
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
#ifndef quantlib_sensitivity_analysis_hpp
#define quantlib_sensitivity_analysis_hpp
 
#include <ql/types.hpp>
#include <ql/utilities/null.hpp>
#include <ql/shared_ptr.hpp>
#include <vector>
 
namespace QuantLib {
 
    template <class T>
    class Handle;
    class Quote;
    class SimpleQuote;
    class Instrument;
 
    enum SensitivityAnalysis {
        OneSide, 
        Centered 
    };
 
    std::ostream& operator<<(std::ostream&,
                             SensitivityAnalysis);
 
    Real aggregateNPV(const std::vector<ext::shared_ptr<Instrument> >&,
                      const std::vector<Real>& quantities);
 
 
    std::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>());
 
 
    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>());
 
 
    std::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>());
 
 
    void bucketAnalysis(std::vector<Real>& deltaVector, // result
                        std::vector<Real>& gammaVector, // result
                        std::vector<Real>& referenceValues,
                        const Handle<SimpleQuote>& quote,
                        const std::vector<Handle<Quote> >& parameters,
                        Real shift = 0.0001,
                        SensitivityAnalysis type = Centered);
 
 
    std::pair<std::vector<Real>, std::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);
 
 
    void
    bucketAnalysis(std::vector<std::vector<Real> >& deltaMatrix, // result
                   std::vector<std::vector<Real> >& gammaMatrix, // result
                   const std::vector<Handle<SimpleQuote> >& quotes,
                   const std::vector<Handle<Quote> >& parameters,
                   Real shift = 0.0001,
                   SensitivityAnalysis type = Centered);
 
 
 
    std::pair<std::vector<std::vector<Real> >, std::vector<std::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);
 
}
 
#endif