/dports/finance/quantlib/QuantLib-1.20/ql/models/marketmodels/ |
H A D | evolutiondescription.cpp | 37 : numberOfRates_(rateTimes.empty() ? 0 : rateTimes.size()-1), in EvolutionDescription() 38 rateTimes_(rateTimes), in EvolutionDescription() 40 std::vector<Time>(rateTimes.begin(), rateTimes.end()-1) : in EvolutionDescription() 53 QL_REQUIRE(evolutionTimes_.back()<=rateTimes[rateTimes.size()-2], in EvolutionDescription() 122 const std::vector<Time>& rateTimes = evolution.rateTimes(); in checkCompatibility() local 133 const std::vector<Time>& rateTimes = evolution.rateTimes(); in isInTerminalMeasure() local 142 const std::vector<Time>& rateTimes = evolution.rateTimes(); in isInMoneyMarketPlusMeasure() local 143 Size maxNumeraire=rateTimes.size()-1; in isInMoneyMarketPlusMeasure() 150 while (rateTimes[j] < evolutionTimes[i]) in isInMoneyMarketPlusMeasure() 170 const std::vector<Time>& rateTimes = ev.rateTimes(); in moneyMarketPlusMeasure() local [all …]
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H A D | pathwisediscounter.cpp | 27 const std::vector<Time>& rateTimes) in MarketModelPathwiseDiscounter() argument 29 checkIncreasingTimes(rateTimes); in MarketModelPathwiseDiscounter() 31 numberRates_ = rateTimes.size()-1; in MarketModelPathwiseDiscounter() 32 before_ = std::lower_bound(rateTimes.begin(), rateTimes.end(), in MarketModelPathwiseDiscounter() 33 paymentTime) - rateTimes.begin(); in MarketModelPathwiseDiscounter() 37 if (before_ > rateTimes.size()-2) in MarketModelPathwiseDiscounter() 38 before_ = rateTimes.size()-2; in MarketModelPathwiseDiscounter() 40 beforeWeight_=1.0-(paymentTime-rateTimes[before_])/ in MarketModelPathwiseDiscounter() 41 (rateTimes[before_+1]-rateTimes[before_]); in MarketModelPathwiseDiscounter() 47 taus_[i] = rateTimes[i+1] - rateTimes[i]; in MarketModelPathwiseDiscounter()
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H A D | discounter.cpp | 29 const std::vector<Time>& rateTimes) { in MarketModelDiscounter() argument 30 checkIncreasingTimes(rateTimes); in MarketModelDiscounter() 31 before_ = std::lower_bound(rateTimes.begin(), rateTimes.end(), in MarketModelDiscounter() 32 paymentTime) - rateTimes.begin(); in MarketModelDiscounter() 36 if (before_ > rateTimes.size()-2) in MarketModelDiscounter() 37 before_ = rateTimes.size()-2; in MarketModelDiscounter() 39 beforeWeight_=1.0-(paymentTime-rateTimes[before_])/ in MarketModelDiscounter() 40 (rateTimes[before_+1]-rateTimes[before_]); in MarketModelDiscounter()
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/dports/finance/quantlib/QuantLib-1.20/test-suite/ |
H A D | curvestates.cpp | 48 std::vector<Time> rateTimes, paymentTimes; member 75 std::copy(rateTimes.begin()+1, rateTimes.end(), in CommonVars() 77 for (Size i=1; i<rateTimes.size(); ++i) in CommonVars() 78 accruals[i-1] = rateTimes[i] - rateTimes[i-1]; in CommonVars() 89 for (Size i=1; i<rateTimes.size(); ++i) in CommonVars() 111 std::copy(rateTimes.begin(), rateTimes.end()-1, in CommonVars() 153 std::vector<Time> rateTimes(nbRates+1); in testCMSwapCurveState() local 162 for (Size i = 0; i < rateTimes.size(); ++i) in testCMSwapCurveState() 163 rateTimes[i] = static_cast<Time>(i+1)*.5; in testCMSwapCurveState() 178 CMSwapCurveState cmsCs(rateTimes, spanningFwds); in testCMSwapCurveState() [all …]
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H A D | swapforwardmappings.cpp | 174 std::vector<Time> paymentTimes(rateTimes.begin(), rateTimes.end()-1); in makeMultiStepCoterminalSwaptions() 193 const std::vector<Time>& rateTimes = marketData.rateTimes(); in testForwardSwapJacobians() local 196 LMMCurveState lmmCurveState(rateTimes); in testForwardSwapJacobians() 243 const std::vector<Time>& rateTimes = marketData.rateTimes(); in testForwardSwapJacobians() local 246 LMMCurveState lmmCurveState(rateTimes); in testForwardSwapJacobians() 302 const std::vector<Time>& rateTimes = marketData.rateTimes(); in testForwardCoterminalMappings() local 305 LMMCurveState lmmCurveState(rateTimes); in testForwardCoterminalMappings() 326 rateTimes)); in testForwardCoterminalMappings() 377 const std::vector<Time>& rateTimes = marketData.rateTimes(); in testSwaptionImpliedVolatility() local 380 LMMCurveState lmmCurveState(rateTimes); in testSwaptionImpliedVolatility() [all …]
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H A D | marketmodel_cms.cpp | 61 std::vector<Time> rateTimes; variable 88 rateTimes = std::vector<Time>(dates.size()-1); in setup() 95 for (Size i=1; i<rateTimes.size(); ++i) in setup() 96 accruals[i-1] = rateTimes[i] - rateTimes[i-1]; in setup() 103 LMMCurveState curveState_lmm(rateTimes); in setup() 112 for (Size i=1; i<rateTimes.size(); ++i) in setup() 213 LMMCurveState curveState_lmm(rateTimes); in makeMarketModel() 370 LMMCurveState curveState_lmm(rateTimes); in checkCMSAndSwaptions() 445 std::vector<Time> swapPaymentTimes(rateTimes.begin()+1, rateTimes.end()); in testMultiStepCmSwapsAndSwaptions() 451 std::vector<Time> swaptionPaymentTimes(rateTimes.begin(), rateTimes.end()-1); in testMultiStepCmSwapsAndSwaptions() [all …]
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H A D | marketmodel_smm.cpp | 63 std::vector<Time> rateTimes; variable 88 rateTimes = std::vector<Time>(dates.size()-1); in setup() 93 for (Size i=1; i<rateTimes.size(); ++i) in setup() 94 accruals[i-1] = rateTimes[i] - rateTimes[i-1]; in setup() 103 LMMCurveState curveState_lmm(rateTimes); in setup() 110 for (Size i=1; i<rateTimes.size(); ++i) in setup() 212 LMMCurveState curveState_lmm(rateTimes); in makeMarketModel() 364 LMMCurveState curveState_lmm(rateTimes); in checkCoterminalSwapsAndSwaptions() 439 std::vector<Time> swapPaymentTimes(rateTimes.begin()+1, rateTimes.end()); in testMultiStepCoterminalSwapsAndSwaptions() 444 std::vector<Time> swaptionPaymentTimes(rateTimes.begin(), rateTimes.end()-1); in testMultiStepCoterminalSwapsAndSwaptions() [all …]
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/dports/finance/quantlib/QuantLib-1.20/ql/models/marketmodels/callability/ |
H A D | nothingexercisevalue.cpp | 28 const std::vector<Time>& rateTimes, in NothingExerciseValue() argument 30 : rateTimes_(rateTimes), isExerciseTime_(isExerciseTime), in NothingExerciseValue() 33 checkIncreasingTimes(rateTimes); in NothingExerciseValue() 34 QL_REQUIRE(rateTimes.size() >= 2, in NothingExerciseValue() 41 isExerciseTime_ = std::valarray<bool>(true,rateTimes.empty() ? 0 : rateTimes.size()-1); in NothingExerciseValue() 45 (rateTimes.empty() ? 0 : rateTimes.size() - 1), in NothingExerciseValue() 49 << (rateTimes.empty() ? 0 : rateTimes.size() - 1) in NothingExerciseValue()
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H A D | swapratetrigger.cpp | 26 SwapRateTrigger::SwapRateTrigger(const std::vector<Time>& rateTimes, in SwapRateTrigger() argument 29 : rateTimes_(rateTimes), swapTriggers_(swapTriggers), in SwapRateTrigger() 32 checkIncreasingTimes(rateTimes); in SwapRateTrigger() 33 QL_REQUIRE(rateTimes.size()>1, in SwapRateTrigger() 42 while (j < rateTimes.size() && rateTimes[j] < exerciseTimes[i]) in SwapRateTrigger()
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H A D | bermudanswaptionexercisevalue.cpp | 29 const std::vector<Time>& rateTimes, in BermudanSwaptionExerciseValue() argument 31 : numberOfExercises_(rateTimes.empty() ? 0 : rateTimes.size()-1), in BermudanSwaptionExerciseValue() 32 rateTimes_(rateTimes), in BermudanSwaptionExerciseValue() 35 checkIncreasingTimes(rateTimes); in BermudanSwaptionExerciseValue()
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H A D | swapbasissystem.cpp | 27 SwapBasisSystem::SwapBasisSystem(const std::vector<Time>& rateTimes, in SwapBasisSystem() argument 29 : rateTimes_(rateTimes), exerciseTimes_(exerciseTimes), in SwapBasisSystem() 31 evolution_(rateTimes, exerciseTimes) { in SwapBasisSystem() 34 while (j < rateTimes.size() && rateTimes[j] < exerciseTimes[i]) in SwapBasisSystem()
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/dports/finance/quantlib/QuantLib-1.20/ql/models/marketmodels/correlations/ |
H A D | expcorrelations.cpp | 32 const std::vector<Time>& rateTimes, in exponentialCorrelations() argument 38 checkIncreasingTimes(rateTimes); in exponentialCorrelations() 50 Size nbRows = rateTimes.size()-1; in exponentialCorrelations() 55 if (time<=rateTimes[i]) { in exponentialCorrelations() 58 if (time<=rateTimes[j]) { in exponentialCorrelations() 62 std::pow(rateTimes[i]-time, gamma) - in exponentialCorrelations() 63 std::pow(rateTimes[j]-time, gamma) in exponentialCorrelations() 75 const std::vector<Time>& rateTimes, in ExponentialForwardCorrelation() argument 80 : numberOfRates_(rateTimes.empty() ? 0 : rateTimes.size()-1), in ExponentialForwardCorrelation() 82 rateTimes_(rateTimes), in ExponentialForwardCorrelation() [all …]
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H A D | timehomogeneousforwardcorrelation.cpp | 30 const std::vector<Time>& rateTimes) in TimeHomogeneousForwardCorrelation() argument 31 : numberOfRates_(rateTimes.empty() ? 0 : rateTimes.size()-1), in TimeHomogeneousForwardCorrelation() 33 rateTimes_(rateTimes), in TimeHomogeneousForwardCorrelation() 36 checkIncreasingTimes(rateTimes); in TimeHomogeneousForwardCorrelation() 46 std::copy(rateTimes.begin(), rateTimes.end()-1, times_.begin()); in TimeHomogeneousForwardCorrelation() 77 TimeHomogeneousForwardCorrelation::rateTimes() const { in rateTimes() function in QuantLib::TimeHomogeneousForwardCorrelation
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/dports/finance/quantlib/QuantLib-1.20/ql/models/marketmodels/models/ |
H A D | flatvol.cpp | 63 const vector<Time>& rateTimes = evolution.rateTimes(); in FlatVol() local 64 QL_REQUIRE(numberOfRates_==rateTimes.size()-1, in FlatVol() 102 rateTimes[i], rateTimes[j], in FlatVol() 115 rateTimes[i], rateTimes[j], in FlatVol() 168 const vector<Time>& rateTimes = evolution.rateTimes(); in create() local 169 Size numberOfRates = rateTimes.size()-1; in create() 173 initialRates[i] = yieldCurve_->forwardRate(rateTimes[i], in create() 174 rateTimes[i+1], in create() 180 volatility_(rateTimes[i]); in create() 187 Matrix correlations = exponentialCorrelations(evolution.rateTimes(), in create() [all …]
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H A D | ctsmmcapletcalibration.cpp | 94 const std::vector<Time>& rateTimes = evolution.rateTimes(); in performChecks() local 95 QL_REQUIRE(rateTimes==cs.rateTimes(), in performChecks() 117 std::vector<Time> temp(rateTimes.begin(), rateTimes.end()-1); in performChecks() 153 const std::vector<Time>& rateTimes = evolution_.rateTimes(); in calibrate() local 164 rateTimes, in calibrate() 179 mdlSwaptionVols_[i] = std::sqrt(swaptionTotCovariance[i][i]/rateTimes[i]); in calibrate() 184 mdlCapletVols_[i] = std::sqrt(capletTotCovariance[i][i]/rateTimes[i]); in calibrate() 200 rateTimes, in calibrate()
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H A D | piecewiseconstantabcdvariance.cpp | 30 const std::vector<Time>& rateTimes) in PiecewiseConstantAbcdVariance() argument 31 : variances_(rateTimes.size()-1, 0.0), in PiecewiseConstantAbcdVariance() 32 volatilities_(rateTimes.size()-1, 0.0), in PiecewiseConstantAbcdVariance() 33 rateTimes_(rateTimes) , in PiecewiseConstantAbcdVariance() 40 checkIncreasingTimes(rateTimes); in PiecewiseConstantAbcdVariance() 41 QL_REQUIRE(rateTimes.size()>1, in PiecewiseConstantAbcdVariance() 67 const std::vector<Real>& PiecewiseConstantAbcdVariance::rateTimes() const { in rateTimes() function in QuantLib::PiecewiseConstantAbcdVariance
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H A D | pseudorootfacade.cpp | 32 evolution_(c->curveState()->rateTimes()), covariancePseudoRoots_(c->swapPseudoRoots()) {} in PseudoRootFacade() 37 const std::vector<Rate>& rateTimes, in PseudoRootFacade() argument 45 evolution_(rateTimes), in PseudoRootFacade() 48 checkIncreasingTimes(rateTimes); in PseudoRootFacade() 49 QL_REQUIRE(rateTimes.size()>1, in PseudoRootFacade() 51 QL_REQUIRE(numberOfRates_==rateTimes.size()-1, in PseudoRootFacade()
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H A D | fwdperiodadapter.cpp | 72 LMMCurveState largeCS(largeModel->evolution().rateTimes()); in FwdPeriodAdapter() 82 Real finalReset = smallCS.rateTimes()[smallCS.numberOfRates()-1]; in FwdPeriodAdapter() 88 evolution_=EvolutionDescription(smallCS.rateTimes(), in FwdPeriodAdapter() 94 const std::vector<Time>& rateTimes = in FwdPeriodAdapter() local 95 smallCS.rateTimes(); in FwdPeriodAdapter() 102 for (Size i=0; i < rateTimes.size()-1; ++i) in FwdPeriodAdapter() 103 QL_REQUIRE(setTimes.find(rateTimes[i]) != setTimes.end(), in FwdPeriodAdapter()
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H A D | fwdtocotswapadapter.cpp | 48 const std::vector<Time>& rateTimes = in FwdToCotSwapAdapter() local 49 fwdModel_->evolution().rateTimes(); in FwdToCotSwapAdapter() 54 i<rateTimes.size() && rateTimes[i]<=evolutionTimes.back(); ++i) { in FwdToCotSwapAdapter() 56 rateTimes[i])!=evolutionTimes.end(), in FwdToCotSwapAdapter() 60 LMMCurveState cs(rateTimes); in FwdToCotSwapAdapter()
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H A D | cotswaptofwdadapter.cpp | 48 const std::vector<Time>& rateTimes = in CotSwapToFwdAdapter() local 49 coterminalModel_->evolution().rateTimes(); in CotSwapToFwdAdapter() 54 i<rateTimes.size() && rateTimes[i]<=evolutionTimes.back(); ++i) { in CotSwapToFwdAdapter() 56 rateTimes[i])!=evolutionTimes.end(), in CotSwapToFwdAdapter() 60 CoterminalSwapCurveState cs(rateTimes); in CotSwapToFwdAdapter()
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H A D | abcdvol.cpp | 49 const vector<Time>& rateTimes = evolution.rateTimes(); in AbcdVol() local 50 QL_REQUIRE(numberOfRates_==rateTimes.size()-1, in AbcdVol() 90 rateTimes[i], in AbcdVol() 91 rateTimes[j]); in AbcdVol() 104 rateTimes[i], in AbcdVol() 105 rateTimes[j]); in AbcdVol()
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/dports/finance/quantlib/QuantLib-1.20/ql/models/marketmodels/products/multistep/ |
H A D | multisteptarn.cpp | 27 MultiStepTarn::MultiStepTarn(const std::vector<Time>& rateTimes, in MultiStepTarn() argument 36 : MultiProductMultiStep(rateTimes), in MultiStepTarn() 40 QL_REQUIRE(accruals_.size()+1 == rateTimes.size(), "missized accruals in MultiStepTARN"); in MultiStepTarn() 41 …QL_REQUIRE(accrualsFloating.size()+1 == rateTimes.size(), "missized accrualsFloating in MultiStepT… in MultiStepTarn() 42 … QL_REQUIRE(paymentTimes.size()+1 == rateTimes.size(), "missized paymentTimes in MultiStepTARN"); in MultiStepTarn() 43 …QL_REQUIRE(paymentTimesFloating.size()+1 == rateTimes.size(), "missized paymentTimesFloating in Mu… in MultiStepTarn() 44 QL_REQUIRE(strikes.size()+1 == rateTimes.size(), "missized strikes in MultiStepTARN"); in MultiStepTarn() 45 …QL_REQUIRE(floatingSpreads.size()+1 == rateTimes.size(), "missized floatingSpreads in MultiStepTAR… in MultiStepTarn()
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/dports/finance/quantlib/QuantLib-1.20/ql/models/marketmodels/products/pathwise/ |
H A D | pathwiseproductswaption.cpp | 33 …aptionsDeflated::MarketModelPathwiseCoterminalSwaptionsDeflated(const std::vector<Time>& rateTimes, in MarketModelPathwiseCoterminalSwaptionsDeflated() argument 35 : rateTimes_(rateTimes), in MarketModelPathwiseCoterminalSwaptionsDeflated() 37 numberRates_(rateTimes.size()-1) in MarketModelPathwiseCoterminalSwaptionsDeflated() 39 checkIncreasingTimes(rateTimes); in MarketModelPathwiseCoterminalSwaptionsDeflated() 50 evolution_ = EvolutionDescription(rateTimes,evolTimes); in MarketModelPathwiseCoterminalSwaptionsDeflated() 141 …flated::MarketModelPathwiseCoterminalSwaptionsNumericalDeflated(const std::vector<Time>& rateTimes, in MarketModelPathwiseCoterminalSwaptionsNumericalDeflated() argument 144 : rateTimes_(rateTimes), in MarketModelPathwiseCoterminalSwaptionsNumericalDeflated() 146 …numberRates_(rateTimes.size()-1), bumpSize_(bumpSize), up_(rateTimes), down_(rateTimes), forwards_… in MarketModelPathwiseCoterminalSwaptionsNumericalDeflated() 148 checkIncreasingTimes(rateTimes); in MarketModelPathwiseCoterminalSwaptionsNumericalDeflated() 159 evolution_ = EvolutionDescription(rateTimes,evolTimes); in MarketModelPathwiseCoterminalSwaptionsNumericalDeflated()
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H A D | pathwiseproductcaplet.cpp | 34 … MarketModelPathwiseMultiCaplet::MarketModelPathwiseMultiCaplet(const std::vector<Time>& rateTimes, in MarketModelPathwiseMultiCaplet() argument 38 : rateTimes_(rateTimes), in MarketModelPathwiseMultiCaplet() 44 checkIncreasingTimes(rateTimes); in MarketModelPathwiseMultiCaplet() 62 evolution_ = EvolutionDescription(rateTimes,evolTimes); in MarketModelPathwiseMultiCaplet() 149 : rateTimes_(rateTimes), in MarketModelPathwiseMultiDeflatedCaplet() 155 checkIncreasingTimes(rateTimes); in MarketModelPathwiseMultiDeflatedCaplet() 173 evolution_ = EvolutionDescription(rateTimes,evolTimes); in MarketModelPathwiseMultiDeflatedCaplet() 181 : rateTimes_(rateTimes), in MarketModelPathwiseMultiDeflatedCaplet() 187 checkIncreasingTimes(rateTimes); in MarketModelPathwiseMultiDeflatedCaplet() 205 evolution_ = EvolutionDescription(rateTimes,evolTimes); in MarketModelPathwiseMultiDeflatedCaplet() [all …]
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/dports/finance/quantlib/QuantLib-1.20/Examples/MarketModels/ |
H A D | MarketModels.cpp | 145 std::vector<Real> rateTimes(numberRates+1); in Bermudan() local 146 for (Size i=0; i < rateTimes.size(); ++i) in Bermudan() 147 rateTimes[i] = firstTime + i*accrual; in Bermudan() 170 std::vector<Rate> exerciseTimes(rateTimes); in Bermudan() 182 NothingExerciseValue control(rateTimes); in Bermudan() 191 NothingExerciseValue nullRebate(rateTimes); in Bermudan() 240 rateTimes,volLevel, beta,gamma); in Bermudan() 476 for (Size i=0; i < rateTimes.size(); ++i) in InverseFloater() 477 rateTimes[i] = firstTime + i*accrual; in InverseFloater() 515 NothingExerciseValue control(rateTimes); in InverseFloater() [all …]
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