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<div class="title">ql/experimental/risk/sensitivityanalysis.hpp File Reference</div> </div>
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<p>sensitivity analysis function
<a href="#details">More...</a></p>
<div class="textblock"><code>#include <<a class="el" href="types_8hpp.html">ql/types.hpp</a>></code><br/>
<code>#include <<a class="el" href="null_8hpp.html">ql/utilities/null.hpp</a>></code><br/>
<code>#include <boost/shared_ptr.hpp></code><br/>
<code>#include <vector></code><br/>
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Include dependency graph for sensitivityanalysis.hpp:</div>
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<div class="center"><img src="sensitivityanalysis_8hpp__incl.png" border="0" usemap="#ql_2experimental_2risk_2sensitivityanalysis_8hpp" alt=""/></div>
<map name="ql_2experimental_2risk_2sensitivityanalysis_8hpp" id="ql_2experimental_2risk_2sensitivityanalysis_8hpp">
<area shape="rect" id="node3" href="types_8hpp.html" title="Custom types." alt="" coords="5,166,99,197"/><area shape="rect" id="node5" href="null_8hpp.html" title="null values" alt="" coords="40,86,165,117"/></map>
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</div><table class="memberdecls">
<tr><td colspan="2"><h2><a name="enum-members"></a>
Enumerations</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">enum  </td><td class="memItemRight" valign="bottom"><b>SensitivityAnalysis</b> { <b>OneSide</b>,
<b>Centered</b>
}</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Finite differences calculation. <br/></td></tr>
<tr><td colspan="2"><h2><a name="func-members"></a>
Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a1bdec40668fdcb6939d0e928acb10ad6"></a><!-- doxytag: member="sensitivityanalysis.hpp::aggregateNPV" ref="a1bdec40668fdcb6939d0e928acb10ad6" args="(const std::vector< boost::shared_ptr< Instrument > > &, const std::vector< Real > &quantities)" -->
Real </td><td class="memItemRight" valign="bottom"><b>aggregateNPV</b> (const std::vector< boost::shared_ptr< Instrument > > &, const std::vector< Real > &quantities)</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">utility fuction for weighted sum of NPVs <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">std::pair< Real, Real > </td><td class="memItemRight" valign="bottom"><b>parallelAnalysis</b> (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 >())</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">parallel shift PV01 sensitivity analysis for a <a class="el" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a> vector <a href="#a1ddbe91b1a6b17e6909d39c1c5a0fd47"></a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">std::pair< Real, Real > </td><td class="memItemRight" valign="bottom"><b>parallelAnalysis</b> (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 >())</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">parallel shift PV01 sensitivity analysis for a <a class="el" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a> matrix <a href="#af6886be76efe406c30abb762d8d4e22b"></a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">std::pair< Real, Real > </td><td class="memItemRight" valign="bottom"><b>bucketAnalysis</b> (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 >())</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">(bucket) PV01 sensitivity analysis for a (single) <a class="el" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a> <a href="#a929607b5522bca633fac9314c944c4e8"></a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><b>bucketAnalysis</b> (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)</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">(bucket) parameters' sensitivity analysis for a (single) <a class="el" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a> <a href="#addf76f7a98a2d4ec11ec7d4f5f027734"></a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">std::pair< std::vector< Real ><br class="typebreak"/>
, std::vector< Real > > </td><td class="memItemRight" valign="bottom"><b>bucketAnalysis</b> (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)</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">bucket PV01 sensitivity analysis for a <a class="el" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a> vector <a href="#a57b71c806f1ed34e2f29e74503705896"></a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><b>bucketAnalysis</b> (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)</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">bucket parameters' sensitivity analysis for a <a class="el" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a> vector <a href="#a973f11d563be3e401e0b0d76b7e7c369"></a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">std::pair< std::vector<br class="typebreak"/>
< std::vector< Real ><br class="typebreak"/>
>, std::vector< std::vector<br class="typebreak"/>
< Real > > > </td><td class="memItemRight" valign="bottom"><b>bucketAnalysis</b> (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)</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">bucket sensitivity analysis for a <a class="el" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a> matrix <a href="#a78c86806e8e87bd697b29363785991aa"></a><br/></td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>sensitivity analysis function </p>
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