hub / github.com/MarcusRainbow/QuantMath / calculate_substepping

Function calculate_substepping

src/models/blackdiffusion.rs:251–291 · view source on GitHub ↗

Work out how to step along the timeline. We need steps at each observation, but we may well need intermediate steps. This method calculates how many intermediate steps for each observation.

(
    observations: &[DateDayFraction],
    context: &PricingContext,
    instruments: &Vec<RcInstrument>,
    path_substep: f64)

Source from the content-addressed store, hash-verified

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Callers 1

newMethod · 0.85

Calls 7

dateMethod · 0.80

varianceMethod · 0.80

derefMethod · 0.45

forward_curveMethod · 0.45

vol_surfaceMethod · 0.45

cloneMethod · 0.45

forwardMethod · 0.45

Tested by

no test coverage detected