Home
last modified time | relevance | path

Searched refs:coterminalAnnuity (Results 1 – 3 of 3) sorted by relevance

/dports/finance/quantlib/QuantLib-1.20/test-suite/
H A Dcurvestates.cpp53 std::vector<Real> coterminalAnnuity; member
96 coterminalAnnuity = std::vector<Real>(N); in CommonVars()
100 coterminalAnnuity[N-1] = accruals[N-1]*todaysDiscounts[N]; in CommonVars()
102 coterminalAnnuity[N-i] = coterminalAnnuity[N-i+1] + in CommonVars()
107 floatingLeg/coterminalAnnuity[N-i]; in CommonVars()
H A Dmarketmodel_smm.cpp68 std::vector<Real> coterminalAnnuity; variable
H A Dmarketmodel.cpp136 std::vector<Real> coterminalAnnuity; variable
204 coterminalAnnuity = std::vector<Real>(N); in setup()
208 coterminalAnnuity[N-1] = accruals[N-1]*todaysDiscounts[N]; in setup()
210 coterminalAnnuity[N-i] = coterminalAnnuity[N-i+1] + in setup()
214 todaysCoterminalSwapRates[N-i] = floatingLeg/coterminalAnnuity[N-i]; in setup()