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Classes | Functions

basispointsensitivity.hpp File Reference

basis point sensitivity calculator More...

#include <ql/yieldtermstructure.hpp>
#include <ql/CashFlows/fixedratecoupon.hpp>
#include <ql/CashFlows/timebasket.hpp>
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Classes

class  QuantLib::BPSBasketCalculator
class  QuantLib::BPSCalculator
 basis point sensitivity (BPS) calculator More...

Functions

Real QuantLib::BasisPointSensitivity (const std::vector< boost::shared_ptr< CashFlow > > &, const Handle< YieldTermStructure > &)
 Collective basis-point sensitivity of a cash-flow sequence.
TimeBasket QuantLib::BasisPointSensitivityBasket (const std::vector< boost::shared_ptr< CashFlow > > &leg, const Handle< YieldTermStructure > &ts, Integer basis)

Detailed Description

basis point sensitivity calculator

Definition in file basispointsensitivity.hpp.


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