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Sourcecode: quantlib version File versions  Download package

std::pair<Real, Real> QuantLib::parallelAnalysis ( const std::vector< std::vector< Handle< SimpleQuote > > > &  ,
const std::vector< boost::shared_ptr< Instrument > > &  ,
const std::vector< Real > &  quantities,
Real  shift = 0.0001,
SensitivityAnalysis  type = Centered,
Real  referenceNpv = Null< Real >() 
)

parallel shift sensitivity analysis for a SimpleQuote matrix

returns a pair of first and second derivative values calculated as prescribed by SensitivityAnalysis. Second derivative might not be available depending on SensitivityAnalysis value.

Empty quantities vector is considered as unit vector. The same if the vector is of size one.

All SimpleQuotes are tweaked together in a parallel fashion.


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