Posted by
Andre Louw-2 on
Oct 22, 2002; 2:10am
URL: http://quantlib.414.s1.nabble.com/Basis-point-sensitivity-tp10157.html
Hi,
Please could someone clear this up for me.
I'm looking at the CashFlow/Coupon/Instrument structure in QuantLib and
missing something, sensitivity to the underlying termstructure?
Is this calculated somewhere else maybe?
Inside the termstructure - this would make sense for calculating the
risk-factor on a specific discount factor,
Inside the instruments specifically,
Under another name/method, something else that can be manipulated to
give the same,
Outside of Quantlib
I haven't seen anything and am quite willing to put some development effort
into this if needed.
André Louw
Decillion Limited - "Your Risk Is Our Domain"
Email:
[hidden email]
Office: +27 (11) 328 1256
Mobile: +27 (83) 414 5785
Fax: +27 (11) 442 4456
-------------------------------------------------------------------------
This e-mail is intended only for the use of the individual or entity named
above and may contain information that is confidential and privileged,
proprietary to the company and protected by law. If you are not the intended
recipient, you are hereby notified that any dissemination, distribution or
copying of this e-mail is strictly prohibited. Opinions, conclusions and
other information in this message that do not relate to the official
business of our company shall be understood as neither given nor endorsed by
it.