Searched refs:discRatios_ (Results 1 – 6 of 6) sorted by relevance
/dports/finance/quantlib/QuantLib-1.20/ql/models/marketmodels/curvestates/ |
H A D | cmswapcurvestate.cpp | 32 discRatios_(numberOfRates_+1, 1.0), in CMSwapCurveState() 70 discRatios_[i] = discRatios_[endIndex] + in setOnCMSwapRates() 73 +discRatios_[i] * rateTaus_[i-1]; in setOnCMSwapRates() 82 discRatios_[first_]= discRatios_[endIndex] + in setOnCMSwapRates() 92 return discRatios_[i]/discRatios_[j]; in discountRatio() 109 discRatios_, rateTaus_, in coterminalSwapAnnuity() 111 return cotAnnuities_[i]/discRatios_[numeraire]; in coterminalSwapAnnuity() 118 discRatios_, rateTaus_, in coterminalSwapRate() 131 return cmSwapAnnuities_[i]/discRatios_[numeraire]; in cmSwapAnnuity() 137 return irrCMSwapAnnuities_[i]/discRatios_[numeraire]; in cmSwapAnnuity() [all …]
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H A D | lmmcurvestate.cpp | 32 discRatios_(numberOfRates_+1, 1.0), in LMMCurveState() 62 discRatios_[i+1]=discRatios_[i]/(1.0+forwardRates_[i]*rateTaus_[i]); in setOnForwardRates() 85 discRatios_.begin()+first_); in setOnDiscountRatios() 89 forwardRates_[i] = (discRatios_[i]/discRatios_[i+1]-1.0) / in setOnDiscountRatios() 103 return discRatios_[i]/discRatios_[j]; in discountRatio() 123 return cotAnnuities_[i]/discRatios_[numeraire]; in coterminalSwapAnnuity() 136 return cotAnnuities_[i]/discRatios_[numeraire]; in coterminalSwapAnnuity() 147 …Real res = (discRatios_[i]/ discRatios_[numberOfRates_] -1.0)/coterminalSwapAnnuity(numberOfRates_… in coterminalSwapRate() 161 discRatios_, rateTaus_, in cmSwapAnnuity() 163 return cmSwapAnnuities_[i]/discRatios_[numeraire]; in cmSwapAnnuity() [all …]
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H A D | coterminalswapcurvestate.cpp | 31 discRatios_(numberOfRates_+1, 1.0), in CoterminalSwapCurveState() 59 discRatios_[i] = 1.0 + cotSwapRates_[i] * cotAnnuities_[i]; in setOnCoterminalSwapRates() 60 cotAnnuities_[i-1] = cotAnnuities_[i] + rateTaus_[i-1] * discRatios_[i]; in setOnCoterminalSwapRates() 62 discRatios_[first_] = 1.0 + cotSwapRates_[first_] * cotAnnuities_[first_]; in setOnCoterminalSwapRates() 73 return discRatios_[i]/discRatios_[j]; in discountRatio() 79 forwardsFromDiscountRatios(first_, discRatios_, rateTaus_, forwardRates_); in forwardRate() 89 return cotAnnuities_[i]/discRatios_[numeraire]; in coterminalSwapAnnuity() 108 discRatios_, rateTaus_, in cmSwapAnnuity() 110 return cmSwapAnnuities_[i]/discRatios_[numeraire]; in cmSwapAnnuity() 120 discRatios_, rateTaus_, in cmSwapRate() [all …]
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H A D | coterminalswapcurvestate.hpp | 82 std::vector<DiscountFactor> discRatios_; member in QuantLib::CoterminalSwapCurveState
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H A D | lmmcurvestate.hpp | 88 std::vector<DiscountFactor> discRatios_; member in QuantLib::LMMCurveState
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H A D | cmswapcurvestate.hpp | 67 std::vector<DiscountFactor> discRatios_; member in QuantLib::CMSwapCurveState
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