sensitivity analysis function More...
#include <ql/types.hpp>
#include <ql/utilities/null.hpp>
#include <boost/shared_ptr.hpp>
#include <vector>
Namespaces | |
namespace | QuantLib |
Enumerations | |
enum | SensitivityAnalysis { OneSide, Centered } |
Finite differences calculation. | |
Functions | |
Real | aggregateNPV (const std::vector< boost::shared_ptr< Instrument > > &, const std::vector< Real > &quantities) |
utility fuction for weighted sum of NPVs | |
std::pair< Real, Real > | 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 PV01 sensitivity analysis for a SimpleQuote vector | |
std::pair< Real, Real > | 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 PV01 sensitivity analysis for a SimpleQuote matrix | |
std::pair< Real, Real > | 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) PV01 sensitivity analysis for a (single) SimpleQuote | |
void | bucketAnalysis (std::vector< Real > &deltaVector, std::vector< Real > &gammaVector, std::vector< Real > &referenceValues, Handle< SimpleQuote > quote, const std::vector< Handle< Quote > > ¶meters, Real shift=0.0001, SensitivityAnalysis type=Centered) |
(bucket) parameters' sensitivity analysis for a (single) SimpleQuote | |
std::pair< std::vector< Real > , std::vector< Real > > | bucketAnalysis (const std::vector< Handle< SimpleQuote > > "es, const std::vector< boost::shared_ptr< Instrument > > &, const std::vector< Real > &quantities, Real shift=0.0001, SensitivityAnalysis type=Centered) |
bucket PV01 sensitivity analysis for a SimpleQuote vector | |
void | bucketAnalysis (std::vector< std::vector< Real > > &deltaMatrix, std::vector< std::vector< Real > > &gammaMatrix, const std::vector< Handle< SimpleQuote > > "es, const std::vector< Handle< Quote > > ¶meters, Real shift=0.0001, SensitivityAnalysis type=Centered) |
bucket parameters' sensitivity analysis for a SimpleQuote vector | |
std::pair< std::vector < std::vector< Real > >, std::vector< std::vector < Real > > > | 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 | |
sensitivity analysis function