Searched refs:marketSwaptionVols (Results 1 – 1 of 1) sorted by relevance
92 std::vector<Real> marketSwaptionVols(numberBigRates); in capletSwaptionPeriodicCalibration() local94 marketSwaptionVols[i] = in capletSwaptionPeriodicCalibration()157 Real scale = marketSwaptionVols[i]/modelSwaptionVols[i]; in capletSwaptionPeriodicCalibration()160 …totalSwaptionError += (marketSwaptionVols[i]-modelSwaptionVols[i])* (marketSwaptionVols[i]-modelS… in capletSwaptionPeriodicCalibration()