aggregateNPV (3) - Linux Manuals

aggregateNPV: sensitivity analysis function

NAME

ql/experimental/risk/sensitivityanalysis.hpp - sensitivity analysis function

SYNOPSIS

#include <ql/types.hpp>
#include <ql/utilities/null.hpp>
#include <boost/shared_ptr.hpp>
#include <vector>

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 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 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) sensitivity analysis for a (single) SimpleQuote
std::pair< std::vector< Real >, std::vector< Real > > bucketAnalysis (const 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 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

Author

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