CVA Spread Sensitivity Calculator. More...

#include <orea/aggregation/cvaspreadsensitivitycalculator.hpp>

Public Member Functions
	CVASpreadSensitivityCalculator (const std::string &key, const Date &asof, const vector< Real > &epe, const vector< Date > &dates, const Handle< DefaultProbabilityTermStructure > &dts, const Real &recovery, const Handle< YieldTermStructure > &yts, const vector< Period > &shiftTenors, Real shiftSize=0.0001)

const string	key ()
	Inspectors.

Date	asof ()

const vector< Real > &	exposureProfile ()

const vector< Date > &	exposureDateGrid ()

const Handle< DefaultProbabilityTermStructure > &	defaultTermStructure ()

Real	recoveryRate ()

const Handle< YieldTermStructure > &	discountCurve ()

const vector< Period >	shiftTenors ()

const vector< Real >	shiftTimes ()
	Results.

Real	shiftSize ()

const vector< Real >	hazardRateSensitivities ()

const vector< Real >	cdsSpreadSensitivities ()

const Matrix &	jacobi ()

Detailed Description

CVA Spread Sensitivity Calculator.

Compute hazard rate and CDS spread sensitivities for a given exposure profile on an externally provided sensitivity grid.

Constructor & Destructor Documentation

CVASpreadSensitivityCalculator	(	const std::string &	key,
		const Date &	asof,
		const vector< Real > &	epe,
		const vector< Date > &	dates,
		const Handle< DefaultProbabilityTermStructure > &	dts,
		const Real &	recovery,
		const Handle< YieldTermStructure > &	yts,
		const vector< Period > &	shiftTenors,
		Real	shiftSize = `0.0001`
	)

Parameters

key	For logging purposes to distinguish sensi runs, e.g. for different netting sets
asof	Asof date
epe	Netting set EPE profile
dates	Date grid
dts	Default term structure for the netting set
recovery	Market recovery rate
yts	CDS Discount curve
shiftTenors	Shift grid
shiftSize	Shift size