ql/CashFlows/basispointsensitivity.hpp File Reference
Detailed Description
basis point sensitivity calculator
#include <ql/termstructure.hpp>
#include <ql/CashFlows/fixedratecoupon.hpp>
#include <ql/CashFlows/timebasket.hpp>
Include dependency graph for basispointsensitivity.hpp:
Function Documentation
TimeBasket BasisPointSensitivityBasket |
( |
const std::vector< boost::shared_ptr< CashFlow > > & |
, |
|
|
const Handle< YieldTermStructure > & |
, |
|
|
Integer |
basis |
|
) |
|
|
|
- Bug:
- This function must still be checked. It is not guaranteed to yield the right results.
|
|