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>

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Namespaces

namespace  QuantLib

Classes

class  BPSCalculator
 basis point sensitivity (BPS) calculator More...
class  BPSBasketCalculator

Functions

Real BasisPointSensitivity (const std::vector< boost::shared_ptr< CashFlow > > &, const Handle< YieldTermStructure > &)
 Collective basis-point sensitivity of a cash-flow sequence.
TimeBasket BasisPointSensitivityBasket (const std::vector< boost::shared_ptr< CashFlow > > &, const Handle< YieldTermStructure > &, Integer basis)

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.


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