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/dports/finance/quantlib/QuantLib-1.20/ql/models/marketmodels/curvestates/
H A Dcmswapcurvestate.cpp32 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()
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H A Dlmmcurvestate.cpp32 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()
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H A Dcoterminalswapcurvestate.cpp31 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()
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H A Dcoterminalswapcurvestate.hpp82 std::vector<DiscountFactor> discRatios_; member in QuantLib::CoterminalSwapCurveState
H A Dlmmcurvestate.hpp88 std::vector<DiscountFactor> discRatios_; member in QuantLib::LMMCurveState
H A Dcmswapcurvestate.hpp67 std::vector<DiscountFactor> discRatios_; member in QuantLib::CMSwapCurveState