ql/CashFlows/basispointsensitivity.hpp File Reference
Detailed Description
basis point sensitivity calculator
#include <ql/yieldtermstructure.hpp>
#include <ql/CashFlows/fixedratecoupon.hpp>
#include <ql/CashFlows/timebasket.hpp>
Include dependency graph for basispointsensitivity.hpp:
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Namespaces |
namespace | QuantLib |
Functions |
Real | BasisPointSensitivity (const std::vector< boost::shared_ptr< CashFlow > > &, const Handle< YieldTermStructure > &) |
| Collective basis-point sensitivity of a cash-flow sequence.
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TimeBasket | BasisPointSensitivityBasket (const std::vector< boost::shared_ptr< CashFlow > > &, const Handle< YieldTermStructure > &, Integer basis) |
Function Documentation
TimeBasket QuantLib::BasisPointSensitivityBasket |
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const std::vector< boost::shared_ptr< CashFlow > > & |
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const Handle< YieldTermStructure > & |
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Integer |
basis |
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- Bug:
- This function must still be checked. It is not guaranteed to yield the right results.
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