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sensitivityanalysis.hpp File Reference


Detailed Description

sensitivity analysis function

Definition in file sensitivityanalysis.hpp.

#include <ql/types.hpp>
#include <ql/utilities/null.hpp>
#include <boost/shared_ptr.hpp>
#include <vector>

Go to the source code of this file.

Namespaces

namespace  QuantLib

Enumerations

enum  QuantLib::SensitivityAnalysis { QuantLib::OneSide, QuantLib::Centered }
 Finite differences calculation. More...

Functions

Real QuantLib::aggregateNPV (const std::vector< boost::shared_ptr< Instrument > > &, const std::vector< Real > &quantities)
 utility fuction for weighted sum of NPVs
std::pair< std::vector
< std::vector< Real >
>, std::vector< std::vector
< Real > > > 
QuantLib::bucketAnalysis (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)
 bucket sensitivity analysis for a SimpleQuote matrix
std::pair< std::vector< Real >
, std::vector< Real > > 
QuantLib::bucketAnalysis (const std::vector< Handle< SimpleQuote > > &, const std::vector< boost::shared_ptr< Instrument > > &, const std::vector< Real > &quantities, Real shift=0.0001, SensitivityAnalysis type=Centered)
 bucket sensitivity analysis for a SimpleQuote vector
std::pair< Real, Real > QuantLib::bucketAnalysis (Handle< SimpleQuote > quote, const std::vector< boost::shared_ptr< Instrument > > &, const std::vector< Real > &quantities, Real shift=0.0001, SensitivityAnalysis type=Centered, Real referenceNpv=Null< Real >())
 (bucket) sensitivity analysis for a (single) SimpleQuote
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
std::pair< Real, Real > QuantLib::parallelAnalysis (const 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 vector


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