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Index

Properties

_alwaysForward

_alwaysForward: boolean = false

_arguments

_arguments: Parameter[]

_calculated

_calculated: boolean = false

_constraint

_constraint: Constraint

_enforcesTodaysHistoricFixings

_enforcesTodaysHistoricFixings: boolean

_evaluationDate

_evaluationDate: Date

_frozen

_frozen: boolean = false

_functionEvaluation

_functionEvaluation: Integer

_isDisposed

_isDisposed: boolean = false

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

_problemValues

_problemValues: Real[]

_shortRateEndCriteria

_shortRateEndCriteria: Type

_stateProcess

_stateProcess: StochasticProcess1D

_swapCache

_termStructure

_termStructure: Handle<YieldTermStructure>

alwaysForwardNotifications

alwaysForwardNotifications: () => void

Type declaration

    • (): void
    • Returns void

calculate

calculate: () => void

Type declaration

    • (): void
    • Returns void

calibrate1

calibrate1: (instruments: CalibrationHelperBase[], method: OptimizationMethod, endCriteria: EndCriteria, additionalConstraint?: Constraint, weights?: Real[], fixParameters?: boolean[]) => void

Type declaration

calibrate2

calibrate2: (instruments: BlackCalibrationHelper[], method: OptimizationMethod, endCriteria: EndCriteria, additionalConstraint?: Constraint, weights?: Real[], fixParameters?: boolean[]) => void

Type declaration

cmInit

cmInit: (nArguments: Size) => CalibratedModel

Type declaration

constraint

constraint: () => Constraint

Type declaration

deepUpdate

deepUpdate: () => void

Type declaration

    • (): void
    • Returns void

dispose

dispose: () => void

Type declaration

    • (): void
    • Returns void

endCriteria

endCriteria: () => Type

Type declaration

forwardRate

forwardRate: (fixing: Date, referenceDate?: Date, y?: Real, iborIdx?: IborIndex) => Real

Type declaration

    • Parameters

      • fixing: Date
      • Optional referenceDate: Date
      • Optional y: Real
      • Optional iborIdx: IborIndex

      Returns Real

freeze

freeze: () => void

Type declaration

    • (): void
    • Returns void

functionEvaluation

functionEvaluation: () => Integer

Type declaration

g1dmInit

g1dmInit: (yieldTermStructure: Handle<YieldTermStructure>) => Gaussian1dModel

Type declaration

isDisposed

isDisposed: boolean

notifyObservers

notifyObservers: () => void

Type declaration

    • (): void
    • Returns void

numeraire1

numeraire1: (t: Time, y?: Real, yts?: Handle<YieldTermStructure>) => Real

Type declaration

numeraire2

numeraire2: (referenceDate: Date, y?: Real, yts?: Handle<YieldTermStructure>) => Real

Type declaration

params

params: () => Real[]

Type declaration

problemValues

problemValues: () => Real[]

Type declaration

recalculate

recalculate: () => void

Type declaration

    • (): void
    • Returns void

registerObserver

registerObserver: (o: Observer) => void

Type declaration

registerWith

registerWith: (h: Observable) => void

Type declaration

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

setParams

setParams: (params: Real[]) => void

Type declaration

    • (params: Real[]): void
    • Parameters

      Returns void

stateProcess

stateProcess: () => StochasticProcess1D

Type declaration

swapAnnuity

swapAnnuity: (fixing: Date, tenor: Period, referenceDate?: Date, y?: Real, swapIdx?: SwapIndex) => Real

Type declaration

swapRate

swapRate: (fixing: Date, tenor: Period, referenceDate?: Date, y?: Real, swapIdx?: SwapIndex) => Real

Type declaration

tcmInit

Type declaration

termStructure

termStructure: () => Handle<YieldTermStructure>

Type declaration

underlyingSwap

underlyingSwap: (index: SwapIndex, expiry: Date, tenor: Period) => VanillaSwap

Type declaration

unfreeze

unfreeze: () => void

Type declaration

    • (): void
    • Returns void

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

unregisterWithAll

unregisterWithAll: () => void

Type declaration

    • (): void
    • Returns void

value1

value1: (params: Real[], instruments: CalibrationHelperBase[]) => Real

Type declaration

value2

value2: (params: Real[], instruments: BlackCalibrationHelper[]) => Real

Type declaration

yGrid

yGrid: (stdDevs: Real, gridPoints: Size, T?: Real, t?: Real, y?: Real) => Real[]

Type declaration

zerobond1

zerobond1: (T: Time, t?: Time, y?: Real, yts?: Handle<YieldTermStructure>) => Real

Type declaration

zerobond2

zerobond2: (maturity: Date, referenceDate?: Date, y?: Real, yts?: Handle<YieldTermStructure>) => Real

Type declaration

zerobondOption

zerobondOption: (type: Type, expiry: Date, valueDate: Date, maturity: Date, strike: Rate, referenceDate?: Date, y?: Real, yts?: Handle<YieldTermStructure>, yStdDevs?: Real, yGridPoints?: Size, extrapolatePayoff?: boolean, flatPayoffExtrapolation?: boolean) => Real

Type declaration

    • (type: Type, expiry: Date, valueDate: Date, maturity: Date, strike: Rate, referenceDate?: Date, y?: Real, yts?: Handle<YieldTermStructure>, yStdDevs?: Real, yGridPoints?: Size, extrapolatePayoff?: boolean, flatPayoffExtrapolation?: boolean): Real
    • Parameters

      • type: Type
      • expiry: Date
      • valueDate: Date
      • maturity: Date
      • strike: Rate
      • Optional referenceDate: Date
      • Optional y: Real
      • Optional yts: Handle<YieldTermStructure>
      • Optional yStdDevs: Real
      • Optional yGridPoints: Size
      • Optional extrapolatePayoff: boolean
      • Optional flatPayoffExtrapolation: boolean

      Returns Real

Methods

generateArguments

  • generateArguments(): void
  • Returns void

numeraireImpl

performCalculations

  • performCalculations(): void
  • Returns void

update

  • update(): void
  • Returns void

zerobondImpl