ql/experimental/risk/sensitivityanalysis.hpp File Reference

### A free/open-source library for quantitative finance

Enumerations | Functions
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