sensitivityanalysis.hpp File Reference

sensitivity analysis function More...

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

Go to the source code of this file.

Namespaces
namespace	QuantLib

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

Functions
Real	aggregateNPV (const std::vector< ext::shared_ptr< Instrument > > &, const std::vector< Real > &quantities)
	utility fuction for weighted sum of NPVs More...
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 >())
	parallel shift PV01 sensitivity analysis for a SimpleQuote vector More...
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 >())
	parallel shift PV01 sensitivity analysis for a SimpleQuote matrix More...
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 >())
	(bucket) PV01 sensitivity analysis for a (single) SimpleQuote More...
void	bucketAnalysis (std::vector< Real > &deltaVector, std::vector< Real > &gammaVector, std::vector< Real > &referenceValues, const Handle< SimpleQuote > &quote, const std::vector< Handle< Quote > > &parameters, Real shift=0.0001, SensitivityAnalysis type=Centered)
	(bucket) parameters' sensitivity analysis for a (single) SimpleQuote More...
pair< vector< Real >, 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)
	bucket PV01 sensitivity analysis for a SimpleQuote vector More...
void	bucketAnalysis (std::vector< std::vector< Real > > &deltaMatrix, std::vector< std::vector< Real > > &gammaMatrix, const std::vector< Handle< SimpleQuote > > &quotes, const std::vector< Handle< Quote > > &parameters, Real shift=0.0001, SensitivityAnalysis type=Centered)
	bucket parameters' sensitivity analysis for a SimpleQuote vector More...
pair< vector< vector< Real > >, vector< 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)
	bucket sensitivity analysis for a SimpleQuote matrix More...

Detailed Description

sensitivity analysis function

Definition in file sensitivityanalysis.hpp.