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TypedefsMacros.h File Reference

#include <iostream>

Go to the source code of this file.

Defines

#define MTGL_BEGIN_NAMESPACE(name)   namespace name {
#define MTGL_END_NAMESPACE(name)   }
#define SMALL   30
#define SOBOL_MAX_DIM   300
#define LMM_MAX_DIM   300
#define BASKET_MAX_DIM   300
#define LATTICE_MAX_STEPS   310

Typedefs

typedef double Real


Define Documentation

#define MTGL_BEGIN_NAMESPACE name       namespace name {
 

Definition at line 28 of file TypedefsMacros.h.

#define MTGL_END_NAMESPACE name       }
 

Definition at line 29 of file TypedefsMacros.h.

#define SMALL   30
 

Definition at line 32 of file TypedefsMacros.h.

Referenced by Matrix< Real, UpperTriangular< Real > >::operator *=(), and Matrix< Real, UpperTriangular< Real > >::operator^=().

#define SOBOL_MAX_DIM   300
 

Definition at line 33 of file TypedefsMacros.h.

#define LMM_MAX_DIM   300
 

Definition at line 34 of file TypedefsMacros.h.

#define BASKET_MAX_DIM   300
 

Definition at line 36 of file TypedefsMacros.h.

#define LATTICE_MAX_STEPS   310
 

Definition at line 38 of file TypedefsMacros.h.


Typedef Documentation

typedef double Real
 

Definition at line 42 of file TypedefsMacros.h.

Referenced by LowFactorDriftlessLMM::B_pq(), DriftlessLMM::B_pq(), Pricing::betaCoefficient(), LmmCalibrator::capletForwardPrice(), Matrix< Real, UpperTriangular< Real > >::colNorm(), ConcreteBFGS::ConcreteBFGS(), ConcreteDownhillSimplex::ConcreteDownhillSimplex(), Pricing::controlledMonteCarloForwardPrice(), Option::controlVariateMean(), Pricing::correlationWithControlVariate(), BrownianScalarProcess::currentPath(), Array1D< const UTRRealMatrix * >::dotProduct(), Matrix< Real, UpperTriangular< Real > >::exp(), ConcreteSobolSearch::f(), ConcreteBFGS::f(), ConcreteDownhillSimplex::f(), ControlledRandomVariable::getBeta(), StandardNormalVariable::getControlVariateMean(), EmpiricalRandomVariable::getDataSet(), Option::getExpiration(), Ball::getRadius(), BondCall::getStrike(), BermudanSwaption::getStrike(), LiborFactorLoading::getT(), LmmLattice::getTimeStep(), BasketLattice::getTimeStep(), StandardBrownianNode::getValue(), CONST_VolSurface::integral_sgsg(), VolSurface::integral_sgsg(), Ball::isMember(), JR_VolSurface::JR_VolSurface(), LiborMarketModel::L_i0(), Pricing::latticeForwardPrice(), LiborDerivative::latticeForwardPrice(), M_VolSurface::M_VolSurface(), Pricing::monteCarloForwardPrice(), Option::nextForwardPayoff(), Matrix< Real, UpperTriangular< Real > >::norm(), Vector< Real >::norm(), Array1D< const UTRRealMatrix * >::norm(), Vector< Real >::operator *=(), Vector< Real >::operator/=(), Matrix< Real, UpperTriangular< Real > >::operator^=(), Matrix< Real, UpperTriangular< Real > >::rowNorm(), Lattice< StandardBrownianNode >::selfTest(), CONST_VolSurface::sigma(), M_VolSurface::sigma(), LowFactorDriftlessLMM::swapRate(), DriftlessLMM::swapRate(), LmmCalibrator::swaptionForwardPrice(), LmmLattice::transitionProbability(), BasketLattice::transitionProbability(), UTRRealMatrix::UTRRealMatrix(), SumFunctional::valueAlongCurrentPath(), DownhillSimplex::vertex(), VolSurface::VolSurface(), LiborFunctional::X(), and LiborMarketModel::X_i0().


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