QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | Private Attributes | List of all members
RatePseudoRootJacobianAllElements Class Reference

#include <ratepseudorootjacobian.hpp>

+ Collaboration diagram for RatePseudoRootJacobianAllElements:

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< Timetaus_
 
std::vector< MatrixpseudoBumps_
 
std::vector< Spreaddisplacements_
 
Size factors_
 
Matrix e_
 workspace More...
 
std::vector< Realratios_
 

Detailed Description

Definition at line 120 of file ratepseudorootjacobian.hpp.

Constructor & Destructor Documentation

◆ RatePseudoRootJacobianAllElements()

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.

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Member Function Documentation

◆ getBumps()

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.

Member Data Documentation

◆ pseudoRoot_

Matrix pseudoRoot_
private

this data does not change after construction

Definition at line 142 of file ratepseudorootjacobian.hpp.

◆ aliveIndex_

Size aliveIndex_
private

Definition at line 143 of file ratepseudorootjacobian.hpp.

◆ taus_

std::vector<Time> taus_
private

Definition at line 144 of file ratepseudorootjacobian.hpp.

◆ pseudoBumps_

std::vector<Matrix> pseudoBumps_
private

Definition at line 145 of file ratepseudorootjacobian.hpp.

◆ displacements_

std::vector<Spread> displacements_
private

Definition at line 146 of file ratepseudorootjacobian.hpp.

◆ factors_

Size factors_
private

Definition at line 147 of file ratepseudorootjacobian.hpp.

◆ e_

Matrix e_
private

workspace

Definition at line 151 of file ratepseudorootjacobian.hpp.

◆ ratios_

std::vector<Real> ratios_
private

Definition at line 152 of file ratepseudorootjacobian.hpp.