QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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swaptionpseudojacobian.cpp File Reference
#include <ql/models/marketmodels/pathwisegreeks/swaptionpseudojacobian.hpp>
#include <ql/models/marketmodels/curvestates/lmmcurvestate.hpp>
#include <ql/models/marketmodels/evolutiondescription.hpp>
#include <ql/models/marketmodels/swapforwardmappings.hpp>
#include <ql/pricingengines/blackformula.hpp>
#include <ql/math/solvers1d/brent.hpp>

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Namespaces

namespace  QuantLib
 

Variable Documentation

◆ strike_

Real strike_
private
Examples
DiscreteHedging.cpp.

Definition at line 173 of file swaptionpseudojacobian.cpp.

◆ annuities_

const std::vector<Real>& annuities_
private

Definition at line 174 of file swaptionpseudojacobian.cpp.

◆ currentRates_

const std::vector<Real>& currentRates_
private

Definition at line 175 of file swaptionpseudojacobian.cpp.

◆ expiries_

const std::vector<Real>& expiries_
private

Definition at line 176 of file swaptionpseudojacobian.cpp.

◆ price_

Real price_
private

Definition at line 177 of file swaptionpseudojacobian.cpp.