Searched refs:todaysDiscounts (Results 1 – 5 of 5) sorted by relevance
55 std::vector<DiscountFactor> todaysDiscounts; member87 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()
68 std::vector<DiscountFactor> todaysDiscounts; variable110 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()
70 std::vector<DiscountFactor> todaysDiscounts; variable108 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()
138 std::vector<DiscountFactor> todaysDiscounts; variable196 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()[all …]
152 simulate(const std::vector<Real>& todaysDiscounts, in simulate() argument163 Real initialNumeraireValue = todaysDiscounts[initialNumeraire]; in simulate()349 const std::vector<DiscountFactor>& todaysDiscounts = marketData.discountFactors(); in testForwardCoterminalMappings() local362 todaysDiscounts[i]).value(); in testForwardCoterminalMappings()