Searched refs:pricePlus (Results 1 – 1 of 1) sorted by relevance
2146 std::vector<Rate> pricePlus(todaysForwards.size()); in testGreeks() local2155 pricePlus[i]=BlackCalculator(displacedPayoffs[i], fwdPlus[i], in testGreeks()2167 Real numDelta = (pricePlus[i]-priceMinus[i])/(2.0*forwardBump); in testGreeks()2168 … Real numGamma = (pricePlus[i]-2*price0[i]+priceMinus[i])/(forwardBump*forwardBump); in testGreeks()