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Sourcecode: quantlib version File versions

basispointsensitivity.hpp File Reference


Detailed Description

basis point sensitivity calculator

Definition in file basispointsensitivity.hpp.

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

Go to the source code of this file.

Namespaces

namespace  QuantLib

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)


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