discountingswapenginedeltagamma.cpp File Reference

#include <qle/pricingengines/discountingswapenginedeltagamma.hpp>
#include <ql/instruments/vanillaswap.hpp>

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Namespaces
namespace	QuantExt
namespace	QuantExt::detail

Functions
template<class Key >
Real &	getMapEntry (std::map< Key, Real > &map, const Key &key)
std::vector< Real >	rebucketDeltas (const std::vector< Time > &deltaTimes, const std::map< Date, Real > &deltaRaw, const Date &referenceDate, const DayCounter &dc, const bool linearInZero)
Matrix	rebucketGammas (const std::vector< Time > &gammaTimes, const std::map< Date, Real > &gammaDscRaw, std::map< std::pair< Date, Date >, Real > &gammaForward, std::map< std::pair< Date, Date >, Real > &gammaDscFwd, const bool forceFullMatrix, const Date &referenceDate, const DayCounter &dc, const bool linearInZero)