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/dports/finance/quantlib/QuantLib-1.20/ql/models/marketmodels/products/pathwise/
H A Dpathwiseproductcaplet.cpp36 const std::vector<Time>& paymentTimes, in MarketModelPathwiseMultiCaplet() argument
40 paymentTimes_(paymentTimes), in MarketModelPathwiseMultiCaplet()
45 checkIncreasingTimes(paymentTimes); in MarketModelPathwiseMultiCaplet()
52 QL_REQUIRE(paymentTimes.size()==numberRates_, in MarketModelPathwiseMultiCaplet()
147 const std::vector<Time>& paymentTimes, in MarketModelPathwiseMultiDeflatedCaplet() argument
151 paymentTimes_(paymentTimes), in MarketModelPathwiseMultiDeflatedCaplet()
156 checkIncreasingTimes(paymentTimes); in MarketModelPathwiseMultiDeflatedCaplet()
179 const std::vector<Time>& paymentTimes, in MarketModelPathwiseMultiDeflatedCaplet() argument
183 paymentTimes_(paymentTimes), in MarketModelPathwiseMultiDeflatedCaplet()
188 checkIncreasingTimes(paymentTimes); in MarketModelPathwiseMultiDeflatedCaplet()
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H A Dpathwiseproductinversefloater.cpp40 const std::vector<Time>& paymentTimes, in MarketModelPathwiseInverseFloater() argument
48 paymentTimes_(paymentTimes), in MarketModelPathwiseInverseFloater()
52 checkIncreasingTimes(paymentTimes); in MarketModelPathwiseInverseFloater()
58 …QL_REQUIRE(paymentTimes.size() == lastIndex_," Incorrect number of paymentTimes given, should be "… in MarketModelPathwiseInverseFloater()
H A Dpathwiseproductcashrebate.cpp36 const std::vector<Time>& paymentTimes, in MarketModelPathwiseCashRebate() argument
39 : evolution_(evolution), paymentTimes_(paymentTimes), in MarketModelPathwiseCashRebate()
43 checkIncreasingTimes(paymentTimes); in MarketModelPathwiseCashRebate()
H A Dpathwiseproductcaplet.hpp51 const std::vector<Time>& paymentTimes,
102 const std::vector<Time>& paymentTimes,
107 const std::vector<Time>& paymentTimes,
163 const std::vector<Time>& paymentTimes,
H A Dpathwiseproductcashrebate.hpp47 const std::vector<Time>& paymentTimes,
/dports/finance/quantlib/QuantLib-1.20/ql/models/marketmodels/products/multistep/
H A Dmultistepinversefloater.cpp33 const std::vector<Time>& paymentTimes, in MultiStepInverseFloater() argument
41 paymentTimes_(paymentTimes), in MultiStepInverseFloater()
45 checkIncreasingTimes(paymentTimes); in MultiStepInverseFloater()
51 …QL_REQUIRE(paymentTimes.size() == lastIndex_," Incorrect number of paymentTimes given, should be "… in MultiStepInverseFloater()
H A Dmultisteptarn.cpp30 const std::vector<Time>& paymentTimes, in MultiStepTarn() argument
37 …accrualsFloating), paymentTimes_(paymentTimes),paymentTimesFloating_(paymentTimesFloating),allPaym… in MultiStepTarn()
42 … QL_REQUIRE(paymentTimes.size()+1 == rateTimes.size(), "missized paymentTimes in MultiStepTARN"); in MultiStepTarn()
50 allPaymentTimes_.push_back(paymentTimes[i]); in MultiStepTarn()
H A Dmultistepforwards.cpp29 const std::vector<Time>& paymentTimes, in MultiStepForwards() argument
32 paymentTimes_(paymentTimes), strikes_(strikes) { in MultiStepForwards()
33 checkIncreasingTimes(paymentTimes); in MultiStepForwards()
H A Dmultistepoptionlets.cpp32 const std::vector<Time>& paymentTimes, in MultiStepOptionlets() argument
35 paymentTimes_(paymentTimes), payoffs_(payoffs) { in MultiStepOptionlets()
36 checkIncreasingTimes(paymentTimes); in MultiStepOptionlets()
H A Dmultistepcoterminalswaptions.cpp30 const std::vector<Time>& paymentTimes, in MultiStepCoterminalSwaptions() argument
33 paymentTimes_(paymentTimes), payoffs_(payoffs) { in MultiStepCoterminalSwaptions()
34 checkIncreasingTimes(paymentTimes); in MultiStepCoterminalSwaptions()
H A Dmultistepswap.cpp30 const std::vector<Time>& paymentTimes, in MultiStepSwap() argument
35 paymentTimes_(paymentTimes), fixedRate_(fixedRate), in MultiStepSwap()
37 checkIncreasingTimes(paymentTimes); in MultiStepSwap()
H A Dmultistepratchet.cpp30 const std::vector<Time>& paymentTimes, in MultiStepRatchet() argument
38 accruals_(accruals), paymentTimes_(paymentTimes), in MultiStepRatchet()
44 checkIncreasingTimes(paymentTimes); in MultiStepRatchet()
H A Dcashrebate.cpp28 const std::vector<Time>& paymentTimes, in MarketModelCashRebate() argument
31 : evolution_(evolution), paymentTimes_(paymentTimes), in MarketModelCashRebate()
35 checkIncreasingTimes(paymentTimes); in MarketModelCashRebate()
H A Dmultistepcoinitialswaps.cpp31 const std::vector<Time>& paymentTimes, in MultiStepCoinitialSwaps() argument
35 paymentTimes_(paymentTimes), fixedRate_(fixedRate) { in MultiStepCoinitialSwaps()
36 checkIncreasingTimes(paymentTimes); in MultiStepCoinitialSwaps()
H A Dmultistepcoterminalswaps.cpp31 const std::vector<Time>& paymentTimes, in MultiStepCoterminalSwaps() argument
35 paymentTimes_(paymentTimes), fixedRate_(fixedRate) { in MultiStepCoterminalSwaps()
36 checkIncreasingTimes(paymentTimes); in MultiStepCoterminalSwaps()
H A Dcashrebate.hpp40 const std::vector<Time>& paymentTimes,
/dports/finance/quantlib/QuantLib-1.20/ql/models/marketmodels/products/onestep/
H A Donestepforwards.cpp29 const std::vector<Time>& paymentTimes, in OneStepForwards() argument
32 paymentTimes_(paymentTimes), strikes_(strikes) { in OneStepForwards()
33 checkIncreasingTimes(paymentTimes); in OneStepForwards()
H A Donestepoptionlets.cpp32 const std::vector<Time>& paymentTimes, in OneStepOptionlets() argument
35 paymentTimes_(paymentTimes), payoffs_(payoffs) { in OneStepOptionlets()
36 checkIncreasingTimes(paymentTimes); in OneStepOptionlets()
H A Donestepcoterminalswaps.cpp31 const std::vector<Time>& paymentTimes, in OneStepCoterminalSwaps() argument
35 paymentTimes_(paymentTimes), fixedRate_(fixedRate) { in OneStepCoterminalSwaps()
36 checkIncreasingTimes(paymentTimes); in OneStepCoterminalSwaps()
H A Donestepcoinitialswaps.cpp31 const std::vector<Time>& paymentTimes, in OneStepCoinitialSwaps() argument
35 paymentTimes_(paymentTimes), fixedRate_(fixedRate) { in OneStepCoinitialSwaps()
37 checkIncreasingTimes(paymentTimes); in OneStepCoinitialSwaps()
H A Donestepcoterminalswaps.hpp33 const std::vector<Time>& paymentTimes,
H A Donestepforwards.hpp32 const std::vector<Time>& paymentTimes,
/dports/finance/quantlib/QuantLib-1.20/Examples/MarketModels/
H A DMarketModels.cpp149 std::vector<Real> paymentTimes(numberRates); in Bermudan() local
151 for (Size i=0; i < paymentTimes.size(); ++i) in Bermudan()
152 paymentTimes[i] = firstTime + (i+1)*accrual; in Bermudan()
162 MultiStepSwap payerSwap(rateTimes, accruals, accruals, paymentTimes, in Bermudan()
166 MultiStepSwap receiverSwap(rateTimes, accruals, accruals, paymentTimes, in Bermudan()
479 std::vector<Real> paymentTimes(numberRates); in InverseFloater() local
485 for (Size i=0; i < paymentTimes.size(); ++i) in InverseFloater()
486 paymentTimes[i] = firstTime + (i+1)*accrual; in InverseFloater()
495 paymentTimes, in InverseFloater()
690 paymentTimes, in InverseFloater()
/dports/finance/quantlib/QuantLib-1.20/test-suite/
H A Dcurvestates.cpp48 std::vector<Time> rateTimes, paymentTimes; member
70 paymentTimes = std::vector<Time>(rateTimes.size()-1); in CommonVars()
76 paymentTimes.begin()); in CommonVars()
81 todaysForwards = std::vector<Rate>(paymentTimes.size()); in CommonVars()
H A Dmarketmodel.cpp734 paymentTimes, forwardStrikes); in testOneStepForwardsAndOptionlets()
736 paymentTimes, optionletPayoffs); in testOneStepForwardsAndOptionlets()
827 paymentTimes, forwardStrikes); in testOneStepNormalForwardsAndOptionlets()
1977 paymentTimes, payoffs); in testGreeks()
2237 paymentTimes, payoffs); in testPathwiseGreeks()
2479 paymentTimes, payoffs); in testPathwiseVegas()
2482 paymentTimes, todaysForwards); in testPathwiseVegas()
2486 paymentTimes, todaysForwards); in testPathwiseVegas()
3447 paymentTimes, in testPathwiseVegas()
3682 paymentTimes, payoffs); in testPathwiseMarketVegas()
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