parsensitivityanalysis.hpp File Reference

Perfrom sensitivity analysis for a given portfolio. More...

#include <orea/cube/npvcube.hpp>
#include <orea/engine/sensitivityanalysis.hpp>
#include <orea/scenario/scenariosimmarket.hpp>
#include <orea/scenario/scenariosimmarketparameters.hpp>
#include <orea/scenario/sensitivityscenariodata.hpp>
#include <orea/scenario/sensitivityscenariogenerator.hpp>
#include <ored/marketdata/market.hpp>
#include <ored/portfolio/portfolio.hpp>
#include <ored/report/report.hpp>
#include <ql/instruments/inflationcapfloor.hpp>
#include <ql/math/matrixutilities/sparsematrix.hpp>
#include <boost/numeric/ublas/vector.hpp>
#include <map>
#include <set>
#include <tuple>

Classes
class	ParSensitivityAnalysis
	Par Sensitivity Analysis. More...
class	ParSensitivityConverter
	ParSensitivityConverter class. More...

Namespaces
	ore
	ore::analytics

Functions
void	writeParConversionMatrix (const ore::analytics::ParSensitivityAnalysis::ParContainer &parSensitivities, ore::data::Report &reportOut)
	Write par instrument sensitivity report.

Detailed Description

Perfrom sensitivity analysis for a given portfolio.