quantlib.experimental.risk.sensitivityanalysis.parallel_analysis

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

Parallel shift PV01 sensitivity analysis for a SimpleQuote vector

Returns a pair of first and second derivative values. Second derivative is not available if type is OneSide.

Empty quantities vector is considered as unit vector. The same if the vector is just one single element equal to one.

Parameters:

• quotes (list[SimpleQuote])

• instrument (list[Instrument])

• quantities (list[Real])

• shift (Real)

• type (SensitivityAnalysis)