discountingswapenginedeltagamma.hpp File Reference

Swap engine providing analytical deltas and gammas for vanilla swaps. More...

#include <ql/cashflows/cashflows.hpp>
#include <ql/cashflows/fixedratecoupon.hpp>
#include <ql/cashflows/iborcoupon.hpp>
#include <ql/cashflows/simplecashflow.hpp>
#include <ql/handle.hpp>
#include <ql/instruments/swap.hpp>
#include <ql/math/matrix.hpp>
#include <ql/patterns/visitor.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <qle/cashflows/overnightindexedcoupon.hpp>
#include <qle/cashflows/floatingratefxlinkednotionalcoupon.hpp>

Classes
class	DiscountingSwapEngineDeltaGamma
	Discounting swap engine providing analytical deltas and gammas. More...
class	NpvDeltaGammaCalculator

Functions
std::vector< Real >	rebucketDeltas (const std::vector< Time > &deltaTimes, const std::map< Date, Real > &deltaRaw, const Date &referenceDate, const DayCounter &dc, const bool linearInZero)
Matrix	rebucketGammas (const std::vector< Time > &gammaTimes, const std::map< Date, Real > &gammaDscRaw, std::map< std::pair< Date, Date >, Real > &gammaForward, std::map< std::pair< Date, Date >, Real > &gammaDscFwd, const bool forceFullMatrix, const Date &referenceDate, const DayCounter &dc, const bool linearInZero)

Detailed Description

Swap engine providing analytical deltas and gammas for vanilla swaps.