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 () |
CVA Spread Sensitivity Calculator.
Compute hazard rate and CDS spread sensitivities for a given exposure profile on an externally provided sensitivity grid.
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 |
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) |
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 |