QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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conundrumpricer.cpp File Reference
#include <ql/cashflows/cmscoupon.hpp>
#include <ql/cashflows/conundrumpricer.hpp>
#include <ql/functional.hpp>
#include <ql/indexes/interestrateindex.hpp>
#include <ql/indexes/swapindex.hpp>
#include <ql/instruments/vanillaswap.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
#include <ql/math/integrals/kronrodintegral.hpp>
#include <ql/math/solvers1d/newton.hpp>
#include <ql/pricingengines/blackformula.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/termstructures/volatility/smilesection.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/time/schedule.hpp>
#include <utility>

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Namespaces

namespace  QuantLib
 

Variable Documentation

◆ a_

Real a_
private

Definition at line 248 of file conundrumpricer.cpp.

◆ width_

Real width_
private

Definition at line 248 of file conundrumpricer.cpp.

◆ f_

ext::function<Real (Real)> f_
private
Examples
GlobalOptimizer.cpp.

Definition at line 249 of file conundrumpricer.cpp.

◆ k_

Size k_
private

Definition at line 250 of file conundrumpricer.cpp.

◆ abscissas

std::vector<Real> abscissas
private

Definition at line 264 of file conundrumpricer.cpp.

◆ functionValues

std::vector<Real> functionValues
private

Definition at line 265 of file conundrumpricer.cpp.