QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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This is the complete list of members for OrthogonalizedBumpFinder, including all inherited members.
derivativesProducer_ | OrthogonalizedBumpFinder | private |
GetVegaBumps(std::vector< std::vector< Matrix > > &theBumps) const | OrthogonalizedBumpFinder | |
multiplierCutOff_ | OrthogonalizedBumpFinder | private |
OrthogonalizedBumpFinder(const VegaBumpCollection &bumps, const std::vector< VolatilityBumpInstrumentJacobian::Swaption > &swaptions, const std::vector< VolatilityBumpInstrumentJacobian::Cap > &caps, Real multiplierCutOff, Real tolerance) | OrthogonalizedBumpFinder | |
tolerance_ | OrthogonalizedBumpFinder | private |