ql/CashFlows/basispointsensitivity.hpp File Reference


Detailed Description

basis point sensitivity calculator

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

Include dependency graph for basispointsensitivity.hpp:


Namespaces

namespace  QuantLib

Classes

class  BPSBasketCalculator

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 > > &, const Handle< YieldTermStructure > &, Integer basis)