quantlib.experimental.risk.sensitivityanalysis.bucket_analysis

bucket_analysis(list quotes, list instruments, vector[Real] quantities=[], Real shift=0.0001, SensitivityAnalysis type=Centered)

Parameters:

• quotes (1)) – list or list of list of quotes to be tweaked by a certain shift, usually passed from ratehelpers

• instruments (2)) – list of instruments to be analyzed.

• quantity (3)) – A multiplier for the resulting buckets, Usually 1 or lower.

• shift (4)) – Tends to be 0.0001 (1 bp). Can be larger as well as positive or negative.

• type (5)) – Will be either OneSide or Centered