Searched refs:volProcess (Results 1 – 3 of 3) sorted by relevance
31 const ext::shared_ptr<MarketModelVolProcess>& volProcess, in SVDDFwdRatePc() argument37 volProcess_(volProcess), in SVDDFwdRatePc()39 volFactorsPerStep_(volProcess->variatesPerStep()), in SVDDFwdRatePc()42 isVolVariate_(false,volProcess->variatesPerStep()+marketModel_->numberOfFactors()), in SVDDFwdRatePc()50 …initialDrifts_(numberOfRates_), allBrownians_(volProcess->variatesPerStep()+marketModel_->numberOf… in SVDDFwdRatePc()52 volBrownians_(volProcess->variatesPerStep()), in SVDDFwdRatePc()
46 const ext::shared_ptr<MarketModelVolProcess>& volProcess,
4561 ext::shared_ptr<MarketModelVolProcess> volProcess(new in testStochVolForwardsAndOptionlets() local4596 volProcess, in testStochVolForwardsAndOptionlets()