Searched refs:cotSwapsCovariance (Results 1 – 2 of 2) sorted by relevance
352 const Matrix& cotSwapsCovariance = smmMarketModel->totalCovariance(i); in testForwardCoterminalMappings() local360 std::sqrt(cotSwapsCovariance[i][i]), in testForwardCoterminalMappings()
1253 Matrix cotSwapsCovariance = in addCoterminalSwapsAndSwaptions() local1261 std::sqrt(cotSwapsCovariance[i][i]), in addCoterminalSwapsAndSwaptions()