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/dports/finance/quantlib/QuantLib-1.20/ql/models/marketmodels/
H A Devolutiondescription.cpp37 : 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
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H A Dpathwisediscounter.cpp27 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()
H A Ddiscounter.cpp29 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()
/dports/finance/quantlib/QuantLib-1.20/test-suite/
H A Dcurvestates.cpp48 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()
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H A Dswapforwardmappings.cpp174 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()
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H A Dmarketmodel_cms.cpp61 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()
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H A Dmarketmodel_smm.cpp63 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()
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/dports/finance/quantlib/QuantLib-1.20/ql/models/marketmodels/callability/
H A Dnothingexercisevalue.cpp28 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()
H A Dswapratetrigger.cpp26 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()
H A Dbermudanswaptionexercisevalue.cpp29 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()
H A Dswapbasissystem.cpp27 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()
/dports/finance/quantlib/QuantLib-1.20/ql/models/marketmodels/correlations/
H A Dexpcorrelations.cpp32 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()
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H A Dtimehomogeneousforwardcorrelation.cpp30 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
/dports/finance/quantlib/QuantLib-1.20/ql/models/marketmodels/models/
H A Dflatvol.cpp63 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()
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H A Dctsmmcapletcalibration.cpp94 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()
H A Dpiecewiseconstantabcdvariance.cpp30 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
H A Dpseudorootfacade.cpp32 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()
H A Dfwdperiodadapter.cpp72 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()
H A Dfwdtocotswapadapter.cpp48 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()
H A Dcotswaptofwdadapter.cpp48 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()
H A Dabcdvol.cpp49 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()
/dports/finance/quantlib/QuantLib-1.20/ql/models/marketmodels/products/multistep/
H A Dmultisteptarn.cpp27 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()
/dports/finance/quantlib/QuantLib-1.20/ql/models/marketmodels/products/pathwise/
H A Dpathwiseproductswaption.cpp33 …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()
H A Dpathwiseproductcaplet.cpp34 … 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()
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/dports/finance/quantlib/QuantLib-1.20/Examples/MarketModels/
H A DMarketModels.cpp145 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()
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