MultiCurveSensitivities Class Reference
Term structures

Multi curve sensitivities. More...

`#include <ql/experimental/termstructures/multicurvesensitivities.hpp>`

Inheritance diagram for MultiCurveSensitivities:
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## Public Member Functions

| MultiCurveSensitivities (const curvespec &curves)
| Multi curve sensitivties. More...
Matrix | sensitivities () const
Matrix | inverseSensitivities () const
std::vector< std::string > | headers () const
Public Member Functions inherited from LazyObject
void | update ()
void | recalculate ()
void | freeze ()
void | unfreeze ()
void | alwaysForwardNotifications ()
Public Member Functions inherited from Observable
| Observable (const Observable &)
Observable & | operator= (const Observable &)
void | notifyObservers ()
Public Member Functions inherited from Observer
| Observer (const Observer &)
Observer & | operator= (const Observer &)
std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &)
void | registerWithObservables (const boost::shared_ptr< Observer > &)
Size | unregisterWith (const boost::shared_ptr< Observable > &)
void | unregisterWithAll ()
virtual void | deepUpdate ()

## Additional Inherited Members

Public Types inherited from Observer
typedef std::set< boost::shared_ptr< Observable > > | set_type
typedef set_type::iterator | iterator
Protected Member Functions inherited from LazyObject
virtual void | calculate () const
Protected Attributes inherited from LazyObject
bool | calculated_
bool | frozen_
bool | alwaysForward_

## Detailed Description

Multi curve sensitivities.

This class provides a simple (yet most likely not the fastest) way to create sensitivities to the par quotes, provided in the piecewiseyieldcurve for stripping. If constructed with more than one curve, the class iterates over all quotes of the provided curves and shifts each quote of all provided curves taking interdependence into account.

The class computes the sensitvities as a QuantLib Matrix class in the form:

\[ \frac{\partial z_i}{\partial q_j} \]

where the \((z_i)_{i\in \{1,...,n\}}\)'s are the implied values (being the traits used during curve constructions, e.g. ZeroYield, Discountfactors or ForwardRates) and the the \((q_i)_{i\in \{1,...,n\}}\)'s are the quoted par rates.

Note
  It's the users job to provide all curves that influence the implied rates.

## Constructor & Destructor Documentation

## MultiCurveSensitivities()

MultiCurveSensitivities | ( | const curvespec & | curves | ) |

explicit

Multi curve sensitivties.

Parameters

  curves | std::map of string (curve name) and handle to piecewiseyieldcurve