| /dports/finance/quantlib/QuantLib-1.20/ql/models/marketmodels/evolvers/ |
| H A D | lognormalfwdrateiballand.cpp | 41 logForwards_(numberOfRates_), initialLogForwards_(numberOfRates_), in LogNormalFwdRateiBalland()
99 logForwards_.begin()); in startNewPath()
118 logForwards_[i] += fixedDrift[i]; in advanceStep()
119 logForwards_[i] += std::inner_product( A.row_begin(i), A.row_end(i), in advanceStep()
121 forwards_[i] = std::exp(logForwards_[i]) - displacements_[i]; in advanceStep()
133 logForwards_[i] += drifts2 + fixedDrift[i]; in advanceStep()
134 logForwards_[i] += std::inner_product( A.row_begin(i), A.row_end(i), in advanceStep()
136 forwards_[i] = std::exp(logForwards_[i]) - displacements_[i]; in advanceStep()
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| H A D | lognormalfwdrateballand.cpp | 41 logForwards_(numberOfRates_), initialLogForwards_(numberOfRates_), in LogNormalFwdRateBalland()
98 logForwards_.begin()); in startNewPath()
122 logForwards_[i] += drifts1_[i] + fixedDrift[i]; in advanceStep()
123 logForwards_[i] += std::inner_product(A.row_begin(i), A.row_end(i), in advanceStep()
125 forwards_[i] = std::exp(logForwards_[i]) - displacements_[i]; in advanceStep()
137 logForwards_[i] += drifts2_[i] - drifts1_[i]; in advanceStep()
138 forwards_[i] = std::exp(logForwards_[i]) - displacements_[i]; in advanceStep()
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| H A D | lognormalfwdratepc.cpp | 42 logForwards_(numberOfRates_), initialLogForwards_(numberOfRates_), in LogNormalFwdRatePc()
100 logForwards_.begin()); in startNewPath()
123 logForwards_[i] += drifts1_[i] + fixedDrift[i]; in advanceStep()
124 logForwards_[i] += in advanceStep()
127 forwards_[i] = std::exp(logForwards_[i]) - displacements_[i]; in advanceStep()
135 logForwards_[i] += (drifts2_[i]-drifts1_[i])/2.0; in advanceStep()
136 forwards_[i] = std::exp(logForwards_[i]) - displacements_[i]; in advanceStep()
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| H A D | svddfwdratepc.cpp | 48 logForwards_(numberOfRates_), initialLogForwards_(numberOfRates_), in SVDDFwdRatePc()
122 logForwards_.begin()); in startNewPath()
171 logForwards_[i] += varianceMultiplier*(drifts1_[i] + fixedDrift[i]); in advanceStep()
172 logForwards_[i] += sdMultiplier* in advanceStep()
175 forwards_[i] = std::exp(logForwards_[i]) - displacements_[i]; in advanceStep()
183 logForwards_[i] += varianceMultiplier*(drifts2_[i]-drifts1_[i])/2.0; in advanceStep()
184 forwards_[i] = std::exp(logForwards_[i]) - displacements_[i]; in advanceStep()
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| H A D | lognormalfwdrateeulerconstrained.cpp | 44 logForwards_(numberOfRates_), initialLogForwards_(numberOfRates_), in LogNormalFwdRateEulerConstrained()
156 logForwards_.begin()); in startNewPath()
179 logForwards_[i] += drifts1_[i] + fixedDrift[i]; in advanceStep()
180 logForwards_[i] += in advanceStep()
190 Real requiredShift = rateConstraints_[currentStep_] - logForwards_[index]; in advanceStep()
198 logForwards_[i] += multiplier*covariances_[currentStep_][i]; in advanceStep()
219 forwards_[i] = std::exp(logForwards_[i]) - displacements_[i]; in advanceStep()
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| H A D | lognormalfwdrateeuler.cpp | 42 logForwards_(numberOfRates_), initialLogForwards_(numberOfRates_), in LogNormalFwdRateEuler()
98 logForwards_.begin()); in startNewPath()
121 logForwards_[i] += drifts1_[i] + fixedDrift[i]; in advanceStep()
122 logForwards_[i] += in advanceStep()
125 forwards_[i] = std::exp(logForwards_[i]) - displacements_[i]; in advanceStep()
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| H A D | lognormalfwdrateipc.cpp | 42 logForwards_(numberOfRates_), initialLogForwards_(numberOfRates_), in LogNormalFwdRateIpc()
101 logForwards_.begin()); in startNewPath()
129 logForwards_[i] += 0.5*(drifts1_[i]+drifts2) + fixedDrift[i]; in advanceStep()
130 logForwards_[i] += in advanceStep()
133 forwards_[i] = std::exp(logForwards_[i]) - displacements_[i]; in advanceStep()
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| H A D | lognormalfwdrateiballand.hpp | 62 std::vector<Rate> forwards_, displacements_, logForwards_, initialLogForwards_; member in QuantLib::LogNormalFwdRateiBalland
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| H A D | lognormalfwdratepc.hpp | 63 std::vector<Rate> forwards_, displacements_, logForwards_, initialLogForwards_; member in QuantLib::LogNormalFwdRatePc
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| H A D | lognormalfwdrateipc.hpp | 63 std::vector<Rate> forwards_, displacements_, logForwards_, initialLogForwards_; member in QuantLib::LogNormalFwdRateIpc
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| H A D | lognormalfwdrateballand.hpp | 62 std::vector<Rate> forwards_, displacements_, logForwards_, initialLogForwards_; member in QuantLib::LogNormalFwdRateBalland
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| H A D | lognormalfwdrateeuler.hpp | 72 std::vector<Rate> forwards_, displacements_, logForwards_, initialLogForwards_; member in QuantLib::LogNormalFwdRateEuler
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| H A D | svddfwdratepc.hpp | 81 std::vector<Rate> forwards_, displacements_, logForwards_, initialLogForwards_; member in QuantLib::SVDDFwdRatePc
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| H A D | lognormalfwdrateeulerconstrained.hpp | 87 std::vector<Rate> forwards_, displacements_, logForwards_, initialLogForwards_; member in QuantLib::LogNormalFwdRateEulerConstrained
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