Hi There,
I am looking for examples of how to create a delta sensitivity of a swap to a particular curve. I see the example in BucketAnalysis.xlsx and it provides a sensitivity to a discounting curve that has been created using a single qlSimpleQuote. However in my case I have a vector of instruments that have been created when I constructed the curve. When I pass this vector to qlBucketAnalysisDelta2 I get the error below which looks like some casting error.
“qlBucketAnalysisDelta2 - operToVectorImpl: error converting parameter 'SimpleQuote' to type 'class QuantLib::Handle<class QuantLib::Quote>' : Unable to coerce value from type 'class boost::shared_ptr<class ObjectHandler::Object>' to type 'class QuantLib::”
It is also not very clear in the documentation what the second parameter inventively called Parameters is for. The documentation requests a parameters vector. I was thinking that could be a set of instruments.
Am I looking at this problem correctly – what I am after is a delta ladder that show the risk of a swap or portfolio of swaps to a discount curve. An Excel example would be ideal, but happy with whatever advice I can get.
Down the track I would also like to look at gamma and model to do OIS discount where we project from a dual bootstrapped Libor curve and discount on an OIS curve. The delta risk in this case would be to both the project and discounting curves.
Regards
Ben
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