RatePseudoRootJacobian Class Reference

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

Collaboration diagram for RatePseudoRootJacobian:

Public Member Functions
	RatePseudoRootJacobian (const Matrix &pseudoRoot, Size aliveIndex, Size numeraire, const std::vector< Time > &taus, const std::vector< Matrix > &pseudoBumps, 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 does not change after construction More...
Size	aliveIndex_
std::vector< Time >	taus_
std::vector< Matrix >	pseudoBumps_
std::vector< Spread >	displacements_
Size	numberBumps_
Size	factors_
std::vector< Matrix >	allDerivatives_
	workspace variables More...
Matrix	e_
std::vector< Real >	ratios_

Detailed Description

Definition at line 80 of file ratepseudorootjacobian.hpp.

Constructor & Destructor Documentation

RatePseudoRootJacobian()

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

Definition at line 120 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 163 of file ratepseudorootjacobian.cpp.

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Member Data Documentation

pseudoRoot_

Matrix pseudoRoot_

private

this data does not change after construction

Definition at line 102 of file ratepseudorootjacobian.hpp.

aliveIndex_

Size aliveIndex_

private

Definition at line 103 of file ratepseudorootjacobian.hpp.

taus_

std::vector<Time> taus_

private

Definition at line 104 of file ratepseudorootjacobian.hpp.

pseudoBumps_

std::vector<Matrix> pseudoBumps_

private

Definition at line 105 of file ratepseudorootjacobian.hpp.

displacements_

std::vector<Spread> displacements_

private

Definition at line 106 of file ratepseudorootjacobian.hpp.

numberBumps_

Size numberBumps_

private

Definition at line 107 of file ratepseudorootjacobian.hpp.

factors_

Size factors_

private

Definition at line 108 of file ratepseudorootjacobian.hpp.

allDerivatives_

std::vector<Matrix> allDerivatives_

private

workspace variables

Definition at line 112 of file ratepseudorootjacobian.hpp.

e_

Matrix e_

private

Definition at line 114 of file ratepseudorootjacobian.hpp.

ratios_

std::vector<Real> ratios_

private

Definition at line 115 of file ratepseudorootjacobian.hpp.