Home
last modified time | relevance | path

Searched refs:volProcess (Results 1 – 3 of 3) sorted by relevance

/dports/finance/quantlib/QuantLib-1.20/ql/models/marketmodels/evolvers/
H A Dsvddfwdratepc.cpp31 const ext::shared_ptr<MarketModelVolProcess>& volProcess, in SVDDFwdRatePc() argument
37 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()
H A Dsvddfwdratepc.hpp46 const ext::shared_ptr<MarketModelVolProcess>& volProcess,
/dports/finance/quantlib/QuantLib-1.20/test-suite/
H A Dmarketmodel.cpp4561 ext::shared_ptr<MarketModelVolProcess> volProcess(new in testStochVolForwardsAndOptionlets() local
4596 volProcess, in testStochVolForwardsAndOptionlets()