Searched refs:swaptionTotCovariance (Results 1 – 2 of 2) sorted by relevance
148 Matrix swaptionTotCovariance(periodsmm->totalCovariance(periodsmm->numberOfSteps()-1)); in capletSwaptionPeriodicCalibration() local156 …modelSwaptionVols[i] = std::sqrt(swaptionTotCovariance[i][i]/periodsmm->evolution().rateTimes()[i]… in capletSwaptionPeriodicCalibration()
167 const Matrix& swaptionTotCovariance = in calibrate() local179 mdlSwaptionVols_[i] = std::sqrt(swaptionTotCovariance[i][i]/rateTimes[i]); in calibrate()