Searched refs:coterminalAnnuity (Results 1 – 3 of 3) sorted by relevance
53 std::vector<Real> coterminalAnnuity; member96 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()
68 std::vector<Real> coterminalAnnuity; variable
136 std::vector<Real> coterminalAnnuity; variable204 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()