| /dports/finance/quantlib/QuantLib-1.20/test-suite/ |
| H A D | normalclvmodel.cpp | 81 const ext::shared_ptr<OrnsteinUhlenbeckProcess> ouProcess; in testBSCumlativeDistributionFunction() local
84 bsProcess, ouProcess, std::vector<Date>(), 5); in testBSCumlativeDistributionFunction()
200 const ext::shared_ptr<OrnsteinUhlenbeckProcess> ouProcess( in testIllustrative1DExample() local
256 = ouProcess->expectation(0.0, ouProcess->x0(), t); in testIllustrative1DExample()
258 = ouProcess->stdDeviation(0.0, ouProcess->x0(), t); in testIllustrative1DExample()
327 const ext::shared_ptr<OrnsteinUhlenbeckProcess> ouProcess( in testMonteCarloBSOptionPricing() local
334 const NormalCLVModel m(bsProcess, ouProcess, maturities, 8); in testMonteCarloBSOptionPricing()
345 const Real o_t = ouProcess->evolve(0, x0, t, dw); in testMonteCarloBSOptionPricing()
375 ouProcess, rTS.currentLink(), 50, 800)); in testMonteCarloBSOptionPricing()
440 const ext::shared_ptr<OrnsteinUhlenbeckProcess> ouProcess( in testMoustacheGraph() local
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| H A D | vpp.cpp | 71 ext::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> ouProcess( in createKlugeProcess() local
75 ouProcess, x0[1], beta, in createKlugeProcess()
241 ext::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> ouProcess( in testSimpleExtOUStorageEngine() local
249 new FdSimpleExtOUStorageEngine(ouProcess, rTS, 1, 25)); in testSimpleExtOUStorageEngine()
540 const ext::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> ouProcess( in createKlugeExtOUProcess() local
544 new ExtOUWithJumpsProcess(ouProcess, x0[1], beta, lambda, eta)); in createKlugeExtOUProcess()
588 const ext::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> ouProcess in testVPPPricing() local
596 const Real alpha = ouProcess->speed(); in testVPPPricing()
597 const Real volatility_x = ouProcess->volatility(); in testVPPPricing()
899 const ext::shared_ptr<StochasticProcess1D> ouProcess in testKlugeExtOUMatrixDecomposition() local
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| H A D | swingoption.cpp | 63 ext::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> ouProcess( in createKlugeProcess() local
67 ouProcess, x0[1], beta, jumpIntensity, eta); in createKlugeProcess()
141 ext::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> ouProcess( in testFdmExponentialJump1dMesher() local
145 new ExtOUWithJumpsProcess(ouProcess, x[1], beta, jumpIntensity, eta)); in testFdmExponentialJump1dMesher()
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| /dports/finance/quantlib/QuantLib-1.20/ql/experimental/finitedifferences/ |
| H A D | fdextoujumpvanillaengine.cpp | 62 const ext::shared_ptr<StochasticProcess1D> ouProcess( in calculate() local
65 new FdmSimpleProcess1dMesher(xGrid_, ouProcess,maturity)); in calculate()
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| H A D | fdsimpleextoujumpswingengine.cpp | 70 const ext::shared_ptr<StochasticProcess1D> ouProcess( in calculate() local
73 new FdmSimpleProcess1dMesher(xGrid_, ouProcess,maturity)); in calculate()
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| H A D | fdklugeextouspreadengine.cpp | 64 const ext::shared_ptr<StochasticProcess1D> ouProcess in calculate() local
67 new FdmSimpleProcess1dMesher(xGrid_, ouProcess,maturity)); in calculate()
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| /dports/finance/quantlib/QuantLib-1.20/ql/experimental/processes/ |
| H A D | klugeextouprocess.cpp | 30 const ext::shared_ptr<ExtendedOrnsteinUhlenbeckProcess>& ouProcess) in KlugeExtOUProcess() argument
34 ouProcess_ (ouProcess) { in KlugeExtOUProcess()
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| /dports/finance/quantlib/QuantLib-1.20/ql/experimental/models/ |
| H A D | normalclvmodel.cpp | 41 const ext::shared_ptr<OrnsteinUhlenbeckProcess>& ouProcess, in NormalCLVModel() argument
51 ouProcess_ (ouProcess), in NormalCLVModel()
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| H A D | normalclvmodel.hpp | 52 const ext::shared_ptr<OrnsteinUhlenbeckProcess>& ouProcess,
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| /dports/finance/quantlib/QuantLib-1.20/ql/pricingengines/vanilla/ |
| H A D | fdhestonhullwhitevanillaengine.cpp | 126 const ext::shared_ptr<OrnsteinUhlenbeckProcess> ouProcess( in calculate() local
129 new FdmSimpleProcess1dMesher(rGrid_, ouProcess, maturity)); in calculate()
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