spread_p (reference) in projects: dports

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Searched refs:spread_p (Results 1 – 2 of 2) sorted by relevance

/dports/finance/quantlib/QuantLib-1.20/test-suite/
H A D	capflooredcoupon.cpp	256 Spread spread_p = Spread(0.002); in testDecomposition() local 267 vars.makeFloatingLeg(vars.startDate,vars.length,gearing_p,spread_p); in testDecomposition() 379 vars.volatility,gearing_p,spread_p); in testDecomposition() 390 "spread= " << spread_p 100 << in testDecomposition() 392 "effective strike= " << (capstrike-spread_p)/gearing_p100 << in testDecomposition() 442 vars.volatility,gearing_p,spread_p); in testDecomposition() 454 << "effective strike= " << (floorstrike-spread_p)/gearing_p100 in testDecomposition() 495 vars.volatility,gearing_p,spread_p); in testDecomposition() 508 << "spread= " << spread_p100 << "%, strike=" in testDecomposition() 511 << "effective strike=" << (floorstrike-spread_p)/gearing_p*100 in testDecomposition() [all …]
H A D	inflationcapflooredcoupon.cpp	398 Spread spread_p = Spread(0.002); in testDecomposition() local 409 vars.makeYoYLeg(vars.startDate,vars.length,gearing_p,spread_p); in testDecomposition() 524 vars.volatility,gearing_p,spread_p); in testDecomposition() 535 "spread= " << spread_p 100 << in testDecomposition() 537 "effective strike= " << (capstrike-spread_p)/gearing_p100 << in testDecomposition() 587 vars.volatility,gearing_p,spread_p); in testDecomposition() 599 << "effective strike= " << (floorstrike-spread_p)/gearing_p100 in testDecomposition() 640 vars.volatility,gearing_p,spread_p); in testDecomposition() 653 << "spread= " << spread_p100 << "%, strike=" in testDecomposition() 656 << "effective strike=" << (floorstrike-spread_p)/gearing_p*100 in testDecomposition() [all …]