External module "ql/models/marketmodels/models/capletcoterminalmaxhomogeneity"

singleRateClosestPointFinder

• singleRateClosestPointFinder(capletNumber: Size, homogeneousSolution: Volatility[], previousRateSolution: Volatility[], capletVariance: Real, correlations: Real[], w0: Real, w1: Real, capletSwaptionPriority: Real, maxIterations: Size, tolerance: Real, solution: Volatility[], finalWeight: Real, byref: byRef): boolean

• Parameters

  • capletNumber: Size

  • homogeneousSolution: Volatility[]

  • previousRateSolution: Volatility[]

  • capletVariance: Real

  • correlations: Real[]

  • w0: Real

  • w1: Real

  • capletSwaptionPriority: Real

  • maxIterations: Size

  • tolerance: Real

  • solution: Volatility[]

  • finalWeight: Real

  • byref: byRef

  Returns boolean