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QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <ql/models/marketmodels/marketmodel.hpp>#include <ql/models/marketmodels/evolutiondescription.hpp>#include <ql/models/marketmodels/piecewiseconstantcorrelation.hpp>#include <ql/models/marketmodels/models/piecewiseconstantvariance.hpp>Go to the source code of this file.
Namespaces | |
| namespace | QuantLib |
Functions | |
| std::vector< Volatility > | rateVolDifferences (const MarketModel &marketModel1, const MarketModel &marketModel2) |
| std::vector< Spread > | rateInstVolDifferences (const MarketModel &marketModel1, const MarketModel &marketModel2, Size index) |
| std::vector< Matrix > | coterminalSwapPseudoRoots (const PiecewiseConstantCorrelation &piecewiseConstantCorrelation, const std::vector< ext::shared_ptr< PiecewiseConstantVariance > > &piecewiseConstantVariances) |