QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.6
Public Member Functions | List of all members
OrthogonalizedBumpFinder Class Reference

#include <ql/models/marketmodels/pathwisegreeks/bumpinstrumentjacobian.hpp>

Public Member Functions

 OrthogonalizedBumpFinder (const VegaBumpCollection &bumps, const std::vector< VolatilityBumpInstrumentJacobian::Swaption > &swaptions, const std::vector< VolatilityBumpInstrumentJacobian::Cap > &caps, Real multiplierCutOff, Real tolerance)
 
void GetVegaBumps (std::vector< std::vector< Matrix > > &theBumps) const
 

Detailed Description

Pass in a market model, a list of instruments, and possible bumps.

Get out pseudo-root bumps that shift each implied vol by one percent, and leave the other instruments fixed.

If the contribution of an instrument is too correlated with other instruments used, discard it.