Searched refs:expectedSwaption (Results 1 – 4 of 4) sorted by relevance
358 Real expectedSwaption = BlackCalculator(payoff, in testForwardCoterminalMappings() local363 if (fabs(expectedSwaption-results[i]) > 0.0001) in testForwardCoterminalMappings()365 "expected\t" << expectedSwaption << in testForwardCoterminalMappings()368 "\t" <<std::fabs(results[i]- expectedSwaption)/errors[i]); in testForwardCoterminalMappings()437 Real expectedSwaption = BlackCalculator(payoffDis, in testSwaptionImpliedVolatility() local441 Real error = expectedSwaption - results[0]; in testSwaptionImpliedVolatility()445 "expected\t" << expectedSwaption << in testSwaptionImpliedVolatility()
402 Real expectedSwaption = in checkCMSAndSwaptions() local408 expectedSwaptions[i] = expectedSwaption; in checkCMSAndSwaptions()
395 Real expectedSwaption = in checkCoterminalSwapsAndSwaptions() local401 expectedSwaptions[i] = expectedSwaption; in checkCoterminalSwapsAndSwaptions()
1258 Real expectedSwaption = in addCoterminalSwapsAndSwaptions() local1264 … subProductExpectedValues.back().values.push_back(expectedSwaption); in addCoterminalSwapsAndSwaptions()