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Reference manual - version orea_version
Public Member Functions | List of all members
CVASpreadSensitivityCalculator Class Reference

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()

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
keyFor logging purposes to distinguish sensi runs, e.g. for different netting sets
asofAsof date
epeNetting set EPE profile
datesDate grid
dtsDefault term structure for the netting set
recoveryMarket recovery rate
ytsCDS Discount curve
shiftTenorsShift grid
shiftSizeShift size