RatePseudoRootJacobianNumerical Class Reference

#include <ratepseudorootjacobian.hpp>

Collaboration diagram for RatePseudoRootJacobianNumerical:

Public Member Functions
	RatePseudoRootJacobianNumerical (const Matrix &pseudoRoot, Size aliveIndex, Size numeraire, const std::vector< Time > &taus, const std::vector< Matrix > &pseudoBumps, const std::vector< Spread > &displacements)
void	getBumps (const std::vector< Rate > &oldRates, const std::vector< Real > &oneStepDFs, const std::vector< Rate > &newRates, const std::vector< Real > &gaussians, Matrix &B)

Private Attributes
Matrix	pseudoRoot_
	this data is always the same More...
Size	aliveIndex_
std::vector< Time >	taus_
std::vector< Matrix >	pseudoBumped_
std::vector< Spread >	displacements_
Size	numberBumps_
std::vector< LMMDriftCalculator >	driftsComputers_
Size	factors_
std::vector< Real >	drifts_
	workspace variables More...
std::vector< Real >	bumpedRates_

Detailed Description

Definition at line 43 of file ratepseudorootjacobian.hpp.

Constructor & Destructor Documentation

RatePseudoRootJacobianNumerical()

RatePseudoRootJacobianNumerical	(	const Matrix &	pseudoRoot,
		Size	aliveIndex,
		Size	numeraire,
		const std::vector< Time > &	taus,
		const std::vector< Matrix > &	pseudoBumps,
		const std::vector< Spread > &	displacements
	)

Definition at line 30 of file ratepseudorootjacobian.cpp.

Here is the call graph for this function:

Member Function Documentation

getBumps()

void getBumps	(	const std::vector< Rate > &	oldRates,
		const std::vector< Real > &	oneStepDFs,
		const std::vector< Rate > &	newRates,
		const std::vector< Real > &	gaussians,
		Matrix &	B
	)

Definition at line 75 of file ratepseudorootjacobian.cpp.

Here is the call graph for this function:

Member Data Documentation

pseudoRoot_

Matrix pseudoRoot_

private

this data is always the same

Definition at line 62 of file ratepseudorootjacobian.hpp.

aliveIndex_

Size aliveIndex_

private

Definition at line 63 of file ratepseudorootjacobian.hpp.

taus_

std::vector<Time> taus_

private

Definition at line 64 of file ratepseudorootjacobian.hpp.

pseudoBumped_

std::vector<Matrix> pseudoBumped_

private

Definition at line 65 of file ratepseudorootjacobian.hpp.

displacements_

std::vector<Spread> displacements_

private

Definition at line 66 of file ratepseudorootjacobian.hpp.

numberBumps_

Size numberBumps_

private

Definition at line 67 of file ratepseudorootjacobian.hpp.

driftsComputers_

std::vector<LMMDriftCalculator> driftsComputers_

private

Definition at line 68 of file ratepseudorootjacobian.hpp.

factors_

Size factors_

private

Definition at line 69 of file ratepseudorootjacobian.hpp.

drifts_

std::vector<Real> drifts_

private

workspace variables

Definition at line 72 of file ratepseudorootjacobian.hpp.

bumpedRates_

std::vector<Real> bumpedRates_

private

Definition at line 73 of file ratepseudorootjacobian.hpp.