Searched refs:vegasCaplets (Results 1 – 1 of 1) sorted by relevance
3590 std::vector<Real> vegasCaplets(trueCapletPrices.size()); in testPathwiseVegas() local3612 vegasCaplets[r] = bumpedCapletPrices[r] - trueCapletPrices[r]; in testPathwiseVegas()3620 vegaCaps[s] += vegasCaplets[t]; in testPathwiseVegas()