Searched refs:fxVol (Results 1 – 3 of 3) sorted by relevance
47 const Volatility fxVol in quantoAdjustment() local50 return rDomestic - rForeign + equityVol*fxVol*equityFxCorrelation_; in quantoAdjustment()58 const Volatility fxVol in quantoAdjustment() local64 = rDomestic - rForeign + equityVol[i]*fxVol*equityFxCorrelation_; in quantoAdjustment()
280 fxVol->setValue(values[i].fxv); in testValues()385 fxVol->setValue(fxv); in testGreeks()453 fxVol->setValue(fxv); in testGreeks()564 fxVol->setValue(values[i].fxv); in testForwardValues()859 fxVol->setValue(values[i].fxv); in testForwardPerformanceValues()940 fxVol->setValue(values[i].fxv); in testBarrierValues()1025 fxVol->setValue(values[i].fxv); in testDoubleBarrierValues()1069 const Volatility fxVol = 0.2; in testFDMQuantoHelper() local1094 = flatVol(today, fxVol, dc); in testFDMQuantoHelper()1278 const Volatility fxVol = 0.15; in testAmericanQuantoOption() local[all …]
41 float fxVol; member