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
SwaptionPseudoDerivative Class Reference

#include <swaptionpseudojacobian.hpp>

+ Collaboration diagram for SwaptionPseudoDerivative:

Public Member Functions

 SwaptionPseudoDerivative (const ext::shared_ptr< MarketModel > &inputModel, Size startIndex, Size endIndex)
 
const MatrixvarianceDerivative (Size i) const
 
const MatrixvolatilityDerivative (Size i) const
 
Real impliedVolatility () const
 
Real variance () const
 
Real expiry () const
 

Private Attributes

ext::shared_ptr< MarketModelinputModel_
 
std::vector< MatrixvarianceDerivatives_
 
std::vector< MatrixvolatilityDerivatives_
 
Real impliedVolatility_
 
Real expiry_
 
Real variance_
 

Detailed Description

Definition at line 38 of file swaptionpseudojacobian.hpp.

Constructor & Destructor Documentation

◆ SwaptionPseudoDerivative()

SwaptionPseudoDerivative ( const ext::shared_ptr< MarketModel > &  inputModel,
Size  startIndex,
Size  endIndex 
)

Definition at line 34 of file swaptionpseudojacobian.cpp.

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Member Function Documentation

◆ varianceDerivative()

const Matrix & varianceDerivative ( Size  i) const

Definition at line 129 of file swaptionpseudojacobian.cpp.

◆ volatilityDerivative()

const Matrix & volatilityDerivative ( Size  i) const

Definition at line 134 of file swaptionpseudojacobian.cpp.

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◆ impliedVolatility()

Real impliedVolatility ( ) const

Definition at line 139 of file swaptionpseudojacobian.cpp.

◆ variance()

Real variance ( ) const

Definition at line 143 of file swaptionpseudojacobian.cpp.

◆ expiry()

Real expiry ( ) const

Definition at line 147 of file swaptionpseudojacobian.cpp.

Member Data Documentation

◆ inputModel_

ext::shared_ptr<MarketModel> inputModel_
private

Definition at line 56 of file swaptionpseudojacobian.hpp.

◆ varianceDerivatives_

std::vector<Matrix> varianceDerivatives_
private

Definition at line 57 of file swaptionpseudojacobian.hpp.

◆ volatilityDerivatives_

std::vector<Matrix> volatilityDerivatives_
private

Definition at line 58 of file swaptionpseudojacobian.hpp.

◆ impliedVolatility_

Real impliedVolatility_
private

Definition at line 60 of file swaptionpseudojacobian.hpp.

◆ expiry_

Real expiry_
private

Definition at line 61 of file swaptionpseudojacobian.hpp.

◆ variance_

Real variance_
private

Definition at line 62 of file swaptionpseudojacobian.hpp.