Lines Matching refs:moneyness
72 #define QUANTO_FORWARD_REPORT_FAILURE(greekName, payoff, moneyness, \ argument
81 << " moneyness: " << io::percent(moneyness) << "\n" \
170 Real moneyness; member
567 QuantoForwardVanillaOption option(values[i].moneyness, reset, in testForwardValues()
575 QUANTO_FORWARD_REPORT_FAILURE("value", payoff, values[i].moneyness, in testForwardValues()
605 Real moneyness[] = { 0.9, 1.0, 1.1 }; in testForwardGreeks() local
641 for (Size j=0; j<LENGTH(moneyness); j++) { in testForwardGreeks()
653 QuantoForwardVanillaOption option(moneyness[j], reset, in testForwardGreeks()
778 moneyness[j], in testForwardGreeks()
862 QuantoForwardVanillaOption option(values[i].moneyness, reset, in testForwardPerformanceValues()
870 QUANTO_FORWARD_REPORT_FAILURE("value", payoff, values[i].moneyness, in testForwardPerformanceValues()