gearing_n (reference) in projects: dports

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Searched refs:gearing_n (Results 1 – 2 of 2) sorted by relevance

/dports/finance/quantlib/QuantLib-1.20/test-suite/
H A D	capflooredcoupon.cpp	257 Rate gearing_n = Rate(-1.5); in testDecomposition() local 404 vars.volatility,gearing_n,spread_n); in testDecomposition() 412 error = std::abs(npvCappedLeg - (npvVanilla+ gearing_nnpvFloor)); in testDecomposition() 414 BOOST_ERROR("\nCapped Leg: gearing=" << gearing_n << ", " << in testDecomposition() 465 vars.volatility,gearing_n,spread_n); in testDecomposition() 473 error = std::abs(npvFlooredLeg - (npvVanilla - gearing_nnpvCap)); in testDecomposition() 475 BOOST_ERROR("\nCapped Leg: gearing=" << gearing_n << ", " << in testDecomposition() 523 vars.volatility,gearing_n,spread_n); in testDecomposition() 528 std::vector<Rate>(1,(capstrike-spread_n)/gearing_n)); in testDecomposition() 535 BOOST_ERROR("\nCollared Leg: gearing=" << gearing_n << ", " in testDecomposition() [all …]
H A D	inflationcapflooredcoupon.cpp	399 Rate gearing_n = Rate(-1.5); in testDecomposition() local 412 vars.makeYoYLeg(vars.startDate,vars.length,gearing_n,spread_n); in testDecomposition() 549 vars.volatility,gearing_n,spread_n); in testDecomposition() 557 error = std::abs(npvCappedLeg - (npvVanilla+ gearing_nnpvFloor)); in testDecomposition() 559 BOOST_ERROR("\nYoY Capped Leg: gearing=" << gearing_n << ", " << in testDecomposition() 610 vars.volatility,gearing_n,spread_n); in testDecomposition() 618 error = std::abs(npvFlooredLeg - (npvVanilla - gearing_nnpvCap)); in testDecomposition() 620 BOOST_ERROR("\nYoY Capped Leg: gearing=" << gearing_n << ", " << in testDecomposition() 668 vars.volatility,gearing_n,spread_n); in testDecomposition() 680 BOOST_ERROR("\nYoY Collared Leg: gearing=" << gearing_n << ", " in testDecomposition() [all …]