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Searched refs:numberRates (Results 1 – 5 of 5) sorted by relevance

/dports/finance/quantlib/QuantLib-1.20/ql/models/marketmodels/pathwisegreeks/
H A Dratepseudorootjacobian.cpp45 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
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H A Dswaptionpseudojacobian.cpp76 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 Dbumpinstrumentjacobian.cpp165 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 DMarketModels.cpp86 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()
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/dports/finance/quantlib/QuantLib-1.20/test-suite/
H A Dmarketmodel.cpp2496 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()
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