| /dports/finance/quantlib/QuantLib-1.20/test-suite/ |
| H A D | dividendoption.cpp | 76 Rate qRates[] = { 0.00, 0.10, 0.30 }; in testEuropeanValues() local
133 Rate q = qRates[m], in testEuropeanValues()
242 Rate qRates[] = { 0.00, 0.10, 0.30 }; in testEuropeanStartLimit() local
295 Rate q = qRates[m], in testEuropeanStartLimit()
335 Rate qRates[] = { 0.00, 0.10, 0.30 }; in testEuropeanEndLimit() local
394 Rate q = qRates[m], in testEuropeanEndLimit()
437 Rate qRates[] = { 0.00, 0.10, 0.30 }; in testEuropeanGreeks() local
488 Rate q = qRates[m], in testEuropeanGreeks()
583 Rate qRates[] = { 0.00, 0.10, 0.30 }; in testFdEuropeanValues() local
644 Rate q = qRates[m], in testFdEuropeanValues()
[all …]
|
| H A D | cliquetoption.cpp | 122 Rate qRates[] = { 0.04, 0.05, 0.06 }; in testOptionGreeks() local
167 for (Size m=0; m<LENGTH(qRates); m++) { in testOptionGreeks()
172 Rate q = qRates[m], in testOptionGreeks()
286 Rate qRates[] = { 0.04, 0.06 }; in testMcPerformance() local
336 for (Size m=0; m<LENGTH(qRates); m++) { in testMcPerformance()
341 Rate q = qRates[m], in testMcPerformance()
|
| H A D | extendedtrees.cpp | 159 Rate qRates[] = { 0.00, 0.05 }; in testEngineConsistency() local
192 for (Size m=0; m<LENGTH(qRates); m++) { in testEngineConsistency()
196 Rate q = qRates[m], in testEngineConsistency()
|
| H A D | jumpdiffusion.cpp | 365 Rate qRates[] = { -0.05, 0.0, 0.05 }; in testGreeks() local
433 for (Size m=0; m<LENGTH(qRates); m++) { in testGreeks()
434 Rate q = qRates[m]; in testGreeks()
|
| H A D | forwardoption.cpp | 225 Rate qRates[] = { 0.04, 0.05, 0.06 }; in testForwardGreeks() local
268 for (Size m=0; m<LENGTH(qRates); m++) { in testForwardGreeks()
273 Rate q = qRates[m], in testForwardGreeks()
|
| H A D | europeanoption.cpp | 631 Rate qRates[] = { 0.04, 0.05, 0.06 }; in testGreeks() local
681 for (Size m=0; m<LENGTH(qRates); m++) { in testGreeks()
685 Rate q = qRates[m], in testGreeks()
793 Rate qRates[] = { 0.01, 0.05, 0.10 }; in testImpliedVol() local
824 for (Size m=0; m<LENGTH(qRates); m++) { in testImpliedVol()
828 Rate q = qRates[m], in testImpliedVol()
1002 Rate qRates[] = { 0.00, 0.05 }; in testEngineConsistency() local
1035 for (Size m=0; m<LENGTH(qRates); m++) { in testEngineConsistency()
1039 Rate q = qRates[m], in testEngineConsistency()
|
| H A D | americanoption.cpp | 455 Rate qRates[] = { 0.04, 0.05, 0.06 }; in testFdGreeks() local
493 for (Size m=0; m<LENGTH(qRates); m++) { in testFdGreeks()
497 Rate q = qRates[m], in testFdGreeks()
|
| H A D | asianoptions.cpp | 186 Rate qRates[] = { 0.04, 0.05, 0.06 }; in testAnalyticContinuousGeometricAveragePriceGreeks() local
227 for (Size m=0; m<LENGTH(qRates); m++) { in testAnalyticContinuousGeometricAveragePriceGreeks()
232 Rate q = qRates[m], in testAnalyticContinuousGeometricAveragePriceGreeks()
842 Rate qRates[] = { 0.04, 0.05, 0.06 }; in testAnalyticDiscreteGeometricAveragePriceGreeks() local
891 for (Size m=0; m<LENGTH(qRates); m++) { in testAnalyticDiscreteGeometricAveragePriceGreeks()
896 Rate q = qRates[m], in testAnalyticDiscreteGeometricAveragePriceGreeks()
|
| H A D | quantooption.cpp | 321 Rate qRates[] = { 0.04, 0.05 }; in testGreeks() local
366 for (Size m=0; m<LENGTH(qRates); m++) { in testGreeks()
374 Rate q = qRates[m], in testGreeks()
607 Rate qRates[] = { 0.04, 0.05 }; in testForwardGreeks() local
658 for (Size m=0; m<LENGTH(qRates); m++) { in testForwardGreeks()
666 Rate q = qRates[m], in testForwardGreeks()
|
| H A D | digitaloption.cpp | 536 Rate qRates[] = { 0.04, 0.05, 0.06 }; in testCashAtHitOrNothingAmericanGreeks() local
584 for (Size i4=0; i4<LENGTH(qRates); i4++) { in testCashAtHitOrNothingAmericanGreeks()
589 Rate q = qRates[i4]; in testCashAtHitOrNothingAmericanGreeks()
|