FilteredSensitivityStream Class Reference

Class that wraps a sensitivity stream and filters out negligible records. More...

#include <orea/engine/filteredsensitivitystream.hpp>

Inheritance diagram for FilteredSensitivityStream:

Public Member Functions
	FilteredSensitivityStream (const boost::shared_ptr< SensitivityStream > &ss, QuantLib::Real deltaThreshold, QuantLib::Real gammaThreshold)
	FilteredSensitivityStream (const boost::shared_ptr< SensitivityStream > &ss, QuantLib::Real threshold)
	Constructor that uses the same threshold for delta and gamma.
SensitivityRecord	next () override
	Returns the next SensitivityRecord in the stream after filtering.
void	reset () override
	Resets the stream so that SensitivityRecord objects can be streamed again.
Public Member Functions inherited from SensitivityStream
virtual	~SensitivityStream ()
	Destructor.

Detailed Description

Class that wraps a sensitivity stream and filters out negligible records.

Constructor & Destructor Documentation

FilteredSensitivityStream()

FilteredSensitivityStream	(	const boost::shared_ptr< SensitivityStream > &	ss,
		QuantLib::Real	deltaThreshold,
		QuantLib::Real	gammaThreshold
	)

Constructor providing the thresholds. If the absolute value of the delta is greater than the deltaThreshold or the absolute value of the gamma is greater than the gammaThreshold, then the SensitivityRecord is streamed