MultiCurveSensitivities Class Reference

Multi curve sensitivities. More...

#include <ql/experimental/termstructures/multicurvesensitivities.hpp>

Inheritance diagram for MultiCurveSensitivities:

Public Member Functions
	MultiCurveSensitivities (const curvespec &curves)
	Multi curve sensitivties. More...
Matrix	sensitivities () const
Matrix	inverseSensitivities () const
std::vector< std::string >	headers () const
Public Member Functions inherited from LazyObject
void	update ()
void	recalculate ()
void	freeze ()
void	unfreeze ()
void	alwaysForwardNotifications ()
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const Observer &)
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	deepUpdate ()

Additional Inherited Members
Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > >	set_type
typedef set_type::iterator	iterator
Protected Member Functions inherited from LazyObject
virtual void	calculate () const
Protected Attributes inherited from LazyObject
bool	calculated_
bool	frozen_
bool	alwaysForward_

Detailed Description

Multi curve sensitivities.

This class provides a simple (yet most likely not the fastest) way to create sensitivities to the par quotes, provided in the piecewiseyieldcurve for stripping. If constructed with more than one curve, the class iterates over all quotes of the provided curves and shifts each quote of all provided curves taking interdependence into account.

The class computes the sensitvities as a QuantLib Matrix class in the form:

\[ \frac{\partial z_i}{\partial q_j} \]

where the \((z_i)_{i\in \{1,...,n\}}\)'s are the implied values (being the traits used during curve constructions, e.g. ZeroYield, Discountfactors or ForwardRates) and the the \((q_i)_{i\in \{1,...,n\}}\)'s are the quoted par rates.

Note

It's the users job to provide all curves that influence the implied rates.

\ingroup yieldtermstructures

Constructor & Destructor Documentation

MultiCurveSensitivities()

MultiCurveSensitivities ( const curvespec &  curves )

explicit

Multi curve sensitivties.

Parameters

curves

std::map of string (curve name) and handle to piecewiseyieldcurve