Searched refs:bumpedForwards (Results 1 – 2 of 2) sorted by relevance
201 std::vector<Rate> bumpedForwards(forwards); in testForwardSwapJacobians() local208 bumpedForwards = forwards; in testForwardSwapJacobians()209 bumpedForwards[j]+= bumpSize; in testForwardSwapJacobians()210 lmmCurveState.setOnForwardRates(bumpedForwards); in testForwardSwapJacobians()212 bumpedForwards[j]-= 2.0*bumpSize; in testForwardSwapJacobians()213 lmmCurveState.setOnForwardRates(bumpedForwards); in testForwardSwapJacobians()254 std::vector<Rate> bumpedForwards(forwards); in testForwardSwapJacobians() local261 bumpedForwards = forwards; in testForwardSwapJacobians()262 bumpedForwards[j]+= bumpSize; in testForwardSwapJacobians()263 lmmCurveState.setOnForwardRates(bumpedForwards); in testForwardSwapJacobians()[all …]
317 std::vector<Rate> bumpedForwards(todaysForwards.size()); in makeMarketModel() local319 bumpedForwards.begin(), in makeMarketModel()345 bumpedForwards, in makeMarketModel()346 std::vector<Spread>(bumpedForwards.size(), displacement))); in makeMarketModel()354 bumpedForwards, in makeMarketModel()355 std::vector<Spread>(bumpedForwards.size(), displacement))); in makeMarketModel()