ql/experimental/risk/sensitivityanalysis.hpp File Reference

sensitivity analysis function More...

#include <ql/types.hpp>
#include <ql/utilities/null.hpp>
#include <boost/shared_ptr.hpp>
#include <vector>
Include dependency graph for sensitivityanalysis.hpp:

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 > > &parameters, 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 > > &quotes, 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 > > &quotes, const std::vector< Handle< Quote > > &parameters, 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

Detailed Description

sensitivity analysis function