Searched refs:numberRates (Results 1 – 5 of 5) sorted by relevance
/dports/finance/quantlib/QuantLib-1.20/ql/models/marketmodels/pathwisegreeks/ |
H A D | ratepseudorootjacobian.cpp | 45 Size numberRates= taus.size(); in RatePseudoRootJacobianNumerical() local 47 QL_REQUIRE(pseudoRoot_.rows()==numberRates, in RatePseudoRootJacobianNumerical() 53 QL_REQUIRE(drifts_.size()==numberRates, in RatePseudoRootJacobianNumerical() 84 Size numberRates = taus_.size(); in getBumps() local 141 Size numberRates= taus.size(); in RatePseudoRootJacobian() local 166 for (Size i=0; i < numberRates; ++i) in RatePseudoRootJacobian() 181 Size numberRates = taus_.size(); in getBumps() local 231 for (; j < numberRates; ++j) in getBumps() 260 Size numberRates= taus.size(); in RatePseudoRootJacobianAllElements() local 280 Size numberRates = taus_.size(); in getBumps() local [all …]
|
H A D | swaptionpseudojacobian.cpp | 76 Size numberRates = inputModel->evolution().numberOfRates(); in SwaptionPseudoDerivative() local 78 Matrix thisDerivative(numberRates, factors,0.0); in SwaptionPseudoDerivative() 79 Matrix nullDerivative(numberRates, factors,0.0); in SwaptionPseudoDerivative() 242 Size numberRates = inputModel->numberOfRates(); in CapPseudoDerivative() local 299 Matrix thisDerivative(numberRates,factors,0.0); in CapPseudoDerivative() 341 Matrix thisDerivative(numberRates,factors,0.0); in CapPseudoDerivative()
|
H A D | bumpinstrumentjacobian.cpp | 165 Size numberRates = evolution.numberOfRates(); in GetVegaBumps() local 174 Matrix modelMatrix(numberRates, factors,0.0); in GetVegaBumps()
|
/dports/finance/quantlib/QuantLib-1.20/Examples/MarketModels/ |
H A D | MarketModels.cpp | 86 Size numberRates= marketModel->numberOfRates(); in theVegaBumps() local 95 for (Size i=0; i< numberRates-1; i=i+1) in theVegaBumps() 111 for (Size i=0; i < numberRates; ++i) in theVegaBumps() 114 swaptions[i].endIndex_ = numberRates; in theVegaBumps() 140 Size numberRates =20; in Bermudan() local 145 std::vector<Real> rateTimes(numberRates+1); in Bermudan() 149 std::vector<Real> paymentTimes(numberRates); in Bermudan() 392 for (Size i=0; i < numberRates; ++i, ++r) in Bermudan() 465 Size numberRates =20; in InverseFloater() local 475 std::vector<Real> rateTimes(numberRates+1); in InverseFloater() [all …]
|
/dports/finance/quantlib/QuantLib-1.20/test-suite/ |
H A D | marketmodel.cpp | 2496 Size numberRates = evolution.numberOfRates(); in testPathwiseVegas() local 3105 for (; j1 < numberRates; ++j1) in testPathwiseVegas() 3256 for (Size j=0; j < numberRates; ++j) in testPathwiseVegas() 3416 for (Size i=0; i +2 < numberRates; i=i+3) in testPathwiseVegas() 3692 Size numberRates = evolution.numberOfRates(); in testPathwiseMarketVegas() local 3709 for (Size i=0; i +2 < numberRates; i=i+3) in testPathwiseMarketVegas() 3740 for (Size i=0; i < numberRates; ++i) in testPathwiseMarketVegas() 3743 swaptions[i].endIndex_ = numberRates; in testPathwiseMarketVegas() 3814 for (Size l=0; l < numberRates; ++l) in testPathwiseMarketVegas() 3865 for (Size l=0; l < numberRates; ++l) in testPathwiseMarketVegas() [all …]
|