QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <swaptionpseudojacobian.hpp>
Public Member Functions | |
SwaptionPseudoDerivative (const ext::shared_ptr< MarketModel > &inputModel, Size startIndex, Size endIndex) | |
const Matrix & | varianceDerivative (Size i) const |
const Matrix & | volatilityDerivative (Size i) const |
Real | impliedVolatility () const |
Real | variance () const |
Real | expiry () const |
Private Attributes | |
ext::shared_ptr< MarketModel > | inputModel_ |
std::vector< Matrix > | varianceDerivatives_ |
std::vector< Matrix > | volatilityDerivatives_ |
Real | impliedVolatility_ |
Real | expiry_ |
Real | variance_ |
Definition at line 38 of file swaptionpseudojacobian.hpp.
SwaptionPseudoDerivative | ( | const ext::shared_ptr< MarketModel > & | inputModel, |
Size | startIndex, | ||
Size | endIndex | ||
) |
Definition at line 129 of file swaptionpseudojacobian.cpp.
Definition at line 134 of file swaptionpseudojacobian.cpp.
Real impliedVolatility | ( | ) | const |
Definition at line 139 of file swaptionpseudojacobian.cpp.
Real variance | ( | ) | const |
Definition at line 143 of file swaptionpseudojacobian.cpp.
Real expiry | ( | ) | const |
Definition at line 147 of file swaptionpseudojacobian.cpp.
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private |
Definition at line 56 of file swaptionpseudojacobian.hpp.
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Definition at line 57 of file swaptionpseudojacobian.hpp.
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private |
Definition at line 58 of file swaptionpseudojacobian.hpp.
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Definition at line 60 of file swaptionpseudojacobian.hpp.
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private |
Definition at line 61 of file swaptionpseudojacobian.hpp.
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private |
Definition at line 62 of file swaptionpseudojacobian.hpp.