QuantLib: a free/open-source library for quantitative finance
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Public Member Functions | Private Attributes | List of all members
RatePseudoRootJacobianNumerical Class Reference

#include <ql/models/marketmodels/pathwisegreeks/ratepseudorootjacobian.hpp>

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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< Timetaus_
 
std::vector< MatrixpseudoBumped_
 
std::vector< Spreaddisplacements_
 
Size numberBumps_
 
std::vector< LMMDriftCalculatordriftsComputers_
 
Size factors_
 
std::vector< Realdrifts_
 workspace variables More...
 
std::vector< RealbumpedRates_
 

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.

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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.

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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.