IrDeltaParConverter Class Reference

Public Types
enum class	InstrumentType { Deposit , Swap }

Public Member Functions
	IrDeltaParConverter (const std::vector< QuantLib::Period > &terms, const std::vector< InstrumentType > &instrumentTypes, const QuantLib::ext::shared_ptr< QuantLib::SwapIndex > &indexBase, const std::function< Real(Date)> &dateToTime)
const std::vector< Real > &	times () const
const Matrix &	dpardzero () const
const Matrix &	dzerodpar () const