QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
|
#include <ratepseudorootjacobian.hpp>
Public Member Functions | |
RatePseudoRootJacobianAllElements (const Matrix &pseudoRoot, Size aliveIndex, Size numeraire, const std::vector< Time > &taus, std::vector< Spread > displacements) | |
void | getBumps (const std::vector< Rate > &oldRates, const std::vector< Real > &oneStepDFs, const std::vector< Rate > &newRates, const std::vector< Real > &gaussians, std::vector< Matrix > &B) |
Private Attributes | |
Matrix | pseudoRoot_ |
this data does not change after construction More... | |
Size | aliveIndex_ |
std::vector< Time > | taus_ |
std::vector< Matrix > | pseudoBumps_ |
std::vector< Spread > | displacements_ |
Size | factors_ |
Matrix | e_ |
workspace More... | |
std::vector< Real > | ratios_ |
Definition at line 120 of file ratepseudorootjacobian.hpp.
RatePseudoRootJacobianAllElements | ( | const Matrix & | pseudoRoot, |
Size | aliveIndex, | ||
Size | numeraire, | ||
const std::vector< Time > & | taus, | ||
std::vector< Spread > | displacements | ||
) |
Definition at line 233 of file ratepseudorootjacobian.cpp.
void getBumps | ( | const std::vector< Rate > & | oldRates, |
const std::vector< Real > & | oneStepDFs, | ||
const std::vector< Rate > & | newRates, | ||
const std::vector< Real > & | gaussians, | ||
std::vector< Matrix > & | B | ||
) |
Definition at line 256 of file ratepseudorootjacobian.cpp.
|
private |
this data does not change after construction
Definition at line 142 of file ratepseudorootjacobian.hpp.
|
private |
Definition at line 143 of file ratepseudorootjacobian.hpp.
|
private |
Definition at line 144 of file ratepseudorootjacobian.hpp.
|
private |
Definition at line 145 of file ratepseudorootjacobian.hpp.
|
private |
Definition at line 146 of file ratepseudorootjacobian.hpp.
|
private |
Definition at line 147 of file ratepseudorootjacobian.hpp.
|
private |
workspace
Definition at line 151 of file ratepseudorootjacobian.hpp.
|
private |
Definition at line 152 of file ratepseudorootjacobian.hpp.