QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <swapforwardmappings.hpp>
Static Public Member Functions | |
static Real | annuity (const CurveState &cs, Size startIndex, Size endIndex, Size numeraireIndex) |
compute annuity of arbitrary swap-rate More... | |
static Real | swapDerivative (const CurveState &cs, Size startIndex, Size endIndex, Size forwardIndex) |
compute derivative of swap-rate to underlying forward rate More... | |
static Matrix | coterminalSwapForwardJacobian (const CurveState &cs) |
static Matrix | coterminalSwapZedMatrix (const CurveState &cs, Spread displacement) |
static Matrix | coinitialSwapForwardJacobian (const CurveState &cs) |
static Matrix | coinitialSwapZedMatrix (const CurveState &cs, Spread displacement) |
static Matrix | cmSwapForwardJacobian (const CurveState &cs, Size spanningForwards) |
static Matrix | cmSwapZedMatrix (const CurveState &cs, Size spanningForwards, Spread displacement) |
static Real | swaptionImpliedVolatility (const MarketModel &volStructure, Size startIndex, Size endIndex) |
Definition at line 35 of file swapforwardmappings.hpp.
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compute annuity of arbitrary swap-rate
Definition at line 33 of file swapforwardmappings.cpp.
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compute derivative of swap-rate to underlying forward rate
Definition at line 45 of file swapforwardmappings.cpp.
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Returns the dsr[i]/df[j] jacobian between coterminal swap rates and forward rates
Definition at line 72 of file swapforwardmappings.cpp.
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Returns the Z matrix to switch base from forward to coterminal swap rates
Definition at line 102 of file swapforwardmappings.cpp.
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Returns the dsr[i]/df[j] jacobian between coinitial swap rates and forward rates
Definition at line 115 of file swapforwardmappings.cpp.
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Returns the Z matrix to switch base from forward to coinitial swap rates
Definition at line 140 of file swapforwardmappings.cpp.
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Returns the dsr[i]/df[j] jacobian between constant maturity swap rates and forward rates
Definition at line 127 of file swapforwardmappings.cpp.
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Returns the Z matrix to switch base from forward to constant maturity swap rates
Definition at line 157 of file swapforwardmappings.cpp.
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computes the implied vol of a swaption specified by two indices using the freezing coefficients methdodology. This routine is easy to use but not very efficient and if you want to do a lot of cases, then a different approach should be used.
Tested in SwapForwardMappingsTest::testSwaptionImpliedVolatility() in swapforwardmappings.cpp
Definition at line 175 of file swapforwardmappings.cpp.