Searched refs:adaptedSwapModel (Results 1 – 1 of 1) sorted by relevance
1359 ext::shared_ptr<MarketModel> adaptedSwapModel(new in testPeriodAdapter() local1363 …Matrix finalSwapCovariances(adaptedSwapModel->totalCovariance(adaptedSwapModel->numberOfSteps()-1)… in testPeriodAdapter()1366 std::vector<Volatility> adaptedSwapSds(adaptedSwapModel->numberOfRates()); in testPeriodAdapter()1368 std::vector<Real> approxSwaptionPrices(adaptedSwapModel->numberOfRates()); in testPeriodAdapter()1370 for (Size j=0; j < adaptedSwapModel->numberOfRates(); ++j) in testPeriodAdapter()