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Searched refs:todaysDiscounts (Results 1 – 5 of 5) sorted by relevance

/dports/finance/quantlib/QuantLib-1.20/test-suite/
H A Dcurvestates.cpp55 std::vector<DiscountFactor> todaysDiscounts; member
87 todaysDiscounts = std::vector<DiscountFactor>(rateTimes.size()); in CommonVars()
88 todaysDiscounts[0] = 0.95; in CommonVars()
90 todaysDiscounts[i] = todaysDiscounts[i-1] / in CommonVars()
100 coterminalAnnuity[N-1] = accruals[N-1]*todaysDiscounts[N]; in CommonVars()
103 accruals[N-i]*todaysDiscounts[N-i+1]; in CommonVars()
105 floatingLeg = todaysDiscounts[N-i]-todaysDiscounts[N]; in CommonVars()
H A Dmarketmodel_cms.cpp68 std::vector<DiscountFactor> todaysDiscounts; variable
110 todaysDiscounts = std::vector<DiscountFactor>(rateTimes.size()); in setup()
111 todaysDiscounts[0] = 0.95; in setup()
113 todaysDiscounts[i] = todaysDiscounts[i-1] / in setup()
170 Real initialNumeraireValue = todaysDiscounts[initialNumeraire]; in simulate()
377 * (todaysCMSwapRates[i]-fixedRate) * todaysDiscounts[i]; in checkCMSAndSwaptions()
407 * todaysDiscounts[i]).value(); in checkCMSAndSwaptions()
H A Dmarketmodel_smm.cpp70 std::vector<DiscountFactor> todaysDiscounts; variable
108 todaysDiscounts = std::vector<DiscountFactor>(rateTimes.size()); in setup()
109 todaysDiscounts[0] = 0.95; in setup()
111 todaysDiscounts[i] = todaysDiscounts[i-1] / in setup()
168 Real initialNumeraireValue = todaysDiscounts[initialNumeraire]; in simulate()
371 * (todaysSwaps[i]-fixedRate) * todaysDiscounts[i]; in checkCoterminalSwapsAndSwaptions()
400 todaysDiscounts[i]).value(); in checkCoterminalSwapsAndSwaptions()
H A Dmarketmodel.cpp138 std::vector<DiscountFactor> todaysDiscounts; variable
196 todaysDiscounts[0] = 0.95; in setup()
198 todaysDiscounts[i] = todaysDiscounts[i-1] / in setup()
213 floatingLeg = todaysDiscounts[N-i]-todaysDiscounts[N]; in setup()
546 *accruals[i]*todaysDiscounts[i+1]; in checkForwardsAndOptionlets()
614 *accruals[i]*todaysDiscounts[i+1]; in checkNormalForwardsAndOptionlets()
625 todaysDiscounts[i+1]*accruals[i]); in checkNormalForwardsAndOptionlets()
1383 Real swaptionAnnuity = todaysDiscounts[0] in testPeriodAdapter()
4046 todaysDiscounts[initialNumeraire]; in testPathwiseMarketVegas()
4201 todaysDiscounts[initialNumeraire]; in testPathwiseMarketVegas()
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H A Dswapforwardmappings.cpp152 simulate(const std::vector<Real>& todaysDiscounts, in simulate() argument
163 Real initialNumeraireValue = todaysDiscounts[initialNumeraire]; in simulate()
349 const std::vector<DiscountFactor>& todaysDiscounts = marketData.discountFactors(); in testForwardCoterminalMappings() local
362 todaysDiscounts[i]).value(); in testForwardCoterminalMappings()