/dports/finance/quantlib/QuantLib-1.20/ql/models/marketmodels/products/pathwise/ |
H A D | pathwiseproductcaplet.cpp | 36 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() [all …]
|
H A D | pathwiseproductinversefloater.cpp | 40 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 D | pathwiseproductcashrebate.cpp | 36 const std::vector<Time>& paymentTimes, in MarketModelPathwiseCashRebate() argument 39 : evolution_(evolution), paymentTimes_(paymentTimes), in MarketModelPathwiseCashRebate() 43 checkIncreasingTimes(paymentTimes); in MarketModelPathwiseCashRebate()
|
H A D | pathwiseproductcaplet.hpp | 51 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 D | pathwiseproductcashrebate.hpp | 47 const std::vector<Time>& paymentTimes,
|
/dports/finance/quantlib/QuantLib-1.20/ql/models/marketmodels/products/multistep/ |
H A D | multistepinversefloater.cpp | 33 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 D | multisteptarn.cpp | 30 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 D | multistepforwards.cpp | 29 const std::vector<Time>& paymentTimes, in MultiStepForwards() argument 32 paymentTimes_(paymentTimes), strikes_(strikes) { in MultiStepForwards() 33 checkIncreasingTimes(paymentTimes); in MultiStepForwards()
|
H A D | multistepoptionlets.cpp | 32 const std::vector<Time>& paymentTimes, in MultiStepOptionlets() argument 35 paymentTimes_(paymentTimes), payoffs_(payoffs) { in MultiStepOptionlets() 36 checkIncreasingTimes(paymentTimes); in MultiStepOptionlets()
|
H A D | multistepcoterminalswaptions.cpp | 30 const std::vector<Time>& paymentTimes, in MultiStepCoterminalSwaptions() argument 33 paymentTimes_(paymentTimes), payoffs_(payoffs) { in MultiStepCoterminalSwaptions() 34 checkIncreasingTimes(paymentTimes); in MultiStepCoterminalSwaptions()
|
H A D | multistepswap.cpp | 30 const std::vector<Time>& paymentTimes, in MultiStepSwap() argument 35 paymentTimes_(paymentTimes), fixedRate_(fixedRate), in MultiStepSwap() 37 checkIncreasingTimes(paymentTimes); in MultiStepSwap()
|
H A D | multistepratchet.cpp | 30 const std::vector<Time>& paymentTimes, in MultiStepRatchet() argument 38 accruals_(accruals), paymentTimes_(paymentTimes), in MultiStepRatchet() 44 checkIncreasingTimes(paymentTimes); in MultiStepRatchet()
|
H A D | cashrebate.cpp | 28 const std::vector<Time>& paymentTimes, in MarketModelCashRebate() argument 31 : evolution_(evolution), paymentTimes_(paymentTimes), in MarketModelCashRebate() 35 checkIncreasingTimes(paymentTimes); in MarketModelCashRebate()
|
H A D | multistepcoinitialswaps.cpp | 31 const std::vector<Time>& paymentTimes, in MultiStepCoinitialSwaps() argument 35 paymentTimes_(paymentTimes), fixedRate_(fixedRate) { in MultiStepCoinitialSwaps() 36 checkIncreasingTimes(paymentTimes); in MultiStepCoinitialSwaps()
|
H A D | multistepcoterminalswaps.cpp | 31 const std::vector<Time>& paymentTimes, in MultiStepCoterminalSwaps() argument 35 paymentTimes_(paymentTimes), fixedRate_(fixedRate) { in MultiStepCoterminalSwaps() 36 checkIncreasingTimes(paymentTimes); in MultiStepCoterminalSwaps()
|
H A D | cashrebate.hpp | 40 const std::vector<Time>& paymentTimes,
|
/dports/finance/quantlib/QuantLib-1.20/ql/models/marketmodels/products/onestep/ |
H A D | onestepforwards.cpp | 29 const std::vector<Time>& paymentTimes, in OneStepForwards() argument 32 paymentTimes_(paymentTimes), strikes_(strikes) { in OneStepForwards() 33 checkIncreasingTimes(paymentTimes); in OneStepForwards()
|
H A D | onestepoptionlets.cpp | 32 const std::vector<Time>& paymentTimes, in OneStepOptionlets() argument 35 paymentTimes_(paymentTimes), payoffs_(payoffs) { in OneStepOptionlets() 36 checkIncreasingTimes(paymentTimes); in OneStepOptionlets()
|
H A D | onestepcoterminalswaps.cpp | 31 const std::vector<Time>& paymentTimes, in OneStepCoterminalSwaps() argument 35 paymentTimes_(paymentTimes), fixedRate_(fixedRate) { in OneStepCoterminalSwaps() 36 checkIncreasingTimes(paymentTimes); in OneStepCoterminalSwaps()
|
H A D | onestepcoinitialswaps.cpp | 31 const std::vector<Time>& paymentTimes, in OneStepCoinitialSwaps() argument 35 paymentTimes_(paymentTimes), fixedRate_(fixedRate) { in OneStepCoinitialSwaps() 37 checkIncreasingTimes(paymentTimes); in OneStepCoinitialSwaps()
|
H A D | onestepcoterminalswaps.hpp | 33 const std::vector<Time>& paymentTimes,
|
H A D | onestepforwards.hpp | 32 const std::vector<Time>& paymentTimes,
|
/dports/finance/quantlib/QuantLib-1.20/Examples/MarketModels/ |
H A D | MarketModels.cpp | 149 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 D | curvestates.cpp | 48 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 D | marketmodel.cpp | 734 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() [all …]
|