Gaussian1dModelCalibratedModel

Hierarchy

Gaussian1dModelCalibratedModel
- Gsr
- MarkovFunctional

Implements

Index

Properties

Methods

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

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

- (instruments: CalibrationHelperBase[], method: OptimizationMethod, endCriteria: EndCriteria, additionalConstraint?: Constraint, weights?: Real[], fixParameters?: boolean[]): void
- Parameters
  - instruments: CalibrationHelperBase[]
  - method: OptimizationMethod
  - endCriteria: EndCriteria
  - Optional additionalConstraint: Constraint
  - Optional weights: Real[]
  - Optional fixParameters: boolean[]
  Returns void

calibrate2

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

Type declaration

- (instruments: BlackCalibrationHelper[], method: OptimizationMethod, endCriteria: EndCriteria, additionalConstraint?: Constraint, weights?: Real[], fixParameters?: boolean[]): void
- Parameters
  - instruments: BlackCalibrationHelper[]
  - method: OptimizationMethod
  - endCriteria: EndCriteria
  - Optional additionalConstraint: Constraint
  - Optional weights: Real[]
  - Optional fixParameters: boolean[]
  Returns void

cmInit

cmInit: (nArguments: Size) => CalibratedModel

Type declaration

- (nArguments: Size): CalibratedModel
- Parameters
  - nArguments: Size
  Returns CalibratedModel

constraint

constraint: () => Constraint

Type declaration

- (): Constraint
- Returns Constraint

deepUpdate

deepUpdate: () => void

Type declaration

- (): void
- Returns void

dispose

dispose: () => void

Type declaration

- (): void
- Returns void

endCriteria

endCriteria: () => Type

Type declaration

- (): Type
- Returns Type

forwardRate

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

Type declaration

- (fixing: Date, referenceDate?: Date, y?: Real, iborIdx?: IborIndex): Real
- 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

- (): Integer
- Returns Integer

g1dmInit

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

Type declaration

- (yieldTermStructure: Handle<YieldTermStructure>): Gaussian1dModel
- Parameters
  - yieldTermStructure: Handle<YieldTermStructure>
  Returns Gaussian1dModel

isDisposed

isDisposed: boolean

notifyObservers

notifyObservers: () => void

Type declaration

- (): void
- Returns void

numeraire1

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

Type declaration

- (t: Time, y?: Real, yts?: Handle<YieldTermStructure>): Real
- Parameters
  - t: Time
  - Optional y: Real
  - Optional yts: Handle<YieldTermStructure>
  Returns Real

numeraire2

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

Type declaration

- (referenceDate: Date, y?: Real, yts?: Handle<YieldTermStructure>): Real
- Parameters
  - referenceDate: Date
  - Optional y: Real
  - Optional yts: Handle<YieldTermStructure>
  Returns Real

params

params: () => Real[]

Type declaration

- (): Real[]
- Returns Real[]

problemValues

problemValues: () => Real[]

Type declaration

- (): Real[]
- Returns Real[]

recalculate

recalculate: () => void

Type declaration

- (): void
- Returns void

registerObserver

registerObserver: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

registerWith

registerWith: (h: Observable) => void

Type declaration

- (h: Observable): void
- Parameters
  - h: Observable
  Returns void

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

setParams

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

Type declaration

- (params: Real[]): void
- Parameters
  - params: Real[]
  Returns void

stateProcess

stateProcess: () => StochasticProcess1D

Type declaration

- (): StochasticProcess1D
- Returns StochasticProcess1D

swapAnnuity

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

Type declaration

- (fixing: Date, tenor: Period, referenceDate?: Date, y?: Real, swapIdx?: SwapIndex): Real
- Parameters
  - fixing: Date
  - tenor: Period
  - Optional referenceDate: Date
  - Optional y: Real
  - Optional swapIdx: SwapIndex
  Returns Real

swapRate

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

Type declaration

- (fixing: Date, tenor: Period, referenceDate?: Date, y?: Real, swapIdx?: SwapIndex): Real
- Parameters
  - fixing: Date
  - tenor: Period
  - Optional referenceDate: Date
  - Optional y: Real
  - Optional swapIdx: SwapIndex
  Returns Real

tcmInit

tcmInit: (termStructure: Handle<YieldTermStructure>) => TermStructureConsistentModel

Type declaration

- (termStructure: Handle<YieldTermStructure>): TermStructureConsistentModel
- Parameters
  - termStructure: Handle<YieldTermStructure>
  Returns TermStructureConsistentModel

termStructure

termStructure: () => Handle<YieldTermStructure>

Type declaration

- (): Handle<YieldTermStructure>
- Returns Handle<YieldTermStructure>

underlyingSwap

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

Type declaration

- (index: SwapIndex, expiry: Date, tenor: Period): VanillaSwap
- Parameters
  - index: SwapIndex
  - expiry: Date
  - tenor: Period
  Returns VanillaSwap

unfreeze

unfreeze: () => void

Type declaration

- (): void
- Returns void

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

- (h: Observable): Size
- Parameters
  - h: Observable
  Returns Size

unregisterWithAll

unregisterWithAll: () => void

Type declaration

- (): void
- Returns void

value1

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

Type declaration

- (params: Real[], instruments: CalibrationHelperBase[]): Real
- Parameters
  - params: Real[]
  - instruments: CalibrationHelperBase[]
  Returns Real

value2

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

Type declaration

- (params: Real[], instruments: BlackCalibrationHelper[]): Real
- Parameters
  - params: Real[]
  - instruments: BlackCalibrationHelper[]
  Returns Real

yGrid

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

Type declaration

- (stdDevs: Real, gridPoints: Size, T?: Real, t?: Real, y?: Real): Real[]
- Parameters
  - stdDevs: Real
  - gridPoints: Size
  - Optional T: Real
  - Optional t: Real
  - Optional y: Real
  Returns Real[]

zerobond1

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

Type declaration

- (T: Time, t?: Time, y?: Real, yts?: Handle<YieldTermStructure>): Real
- Parameters
  - T: Time
  - Optional t: Time
  - Optional y: Real
  - Optional yts: Handle<YieldTermStructure>
  Returns Real

zerobond2

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

Type declaration

- (maturity: Date, referenceDate?: Date, y?: Real, yts?: Handle<YieldTermStructure>): Real
- Parameters
  - maturity: Date
  - Optional referenceDate: Date
  - Optional y: Real
  - Optional yts: Handle<YieldTermStructure>
  Returns Real

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

- Defined in mixins/ql/models/gaussian1dmodelcalibratedmodel.ts:70
Returns void

numeraireImpl

numeraireImpl(t: Time, y: Real, yts: Handle<YieldTermStructure>): Real

- Defined in mixins/ql/models/gaussian1dmodelcalibratedmodel.ts:104
Parameters
- t: Time
- y: Real
- yts: Handle<YieldTermStructure>
Returns Real

performCalculations

performCalculations(): void

- Defined in mixins/ql/models/gaussian1dmodelcalibratedmodel.ts:49
Returns void

update

update(): void

- Defined in mixins/ql/models/gaussian1dmodelcalibratedmodel.ts:39
Returns void

zerobondImpl

zerobondImpl(T: Time, t: Time, y: Real, yts: Handle<YieldTermStructure>): Real

- Defined in mixins/ql/models/gaussian1dmodelcalibratedmodel.ts:107
Parameters
- T: Time
- t: Time
- y: Real
- yts: Handle<YieldTermStructure>
Returns Real

Hierarchy

Implements

Index

Properties

Methods

Properties

_alwaysForward

_arguments

_calculated

_constraint

_enforcesTodaysHistoricFixings

_evaluationDate

_frozen

_functionEvaluation

_isDisposed

_observables

_observers

_problemValues

_shortRateEndCriteria

_stateProcess

_swapCache

_termStructure

alwaysForwardNotifications

Type declaration

Returns void

calculate

Type declaration

Returns void

calibrate1

Type declaration

Parameters

instruments: CalibrationHelperBase[]

method: OptimizationMethod

endCriteria: EndCriteria

Optional additionalConstraint: Constraint

Optional weights: Real[]

Optional fixParameters: boolean[]

Returns void

calibrate2

Type declaration

Parameters

instruments: BlackCalibrationHelper[]

method: OptimizationMethod

endCriteria: EndCriteria

Optional additionalConstraint: Constraint

Optional weights: Real[]

Optional fixParameters: boolean[]

Returns void

cmInit

Type declaration

Parameters

nArguments: Size

Returns CalibratedModel

constraint

Type declaration

Returns Constraint

deepUpdate

Type declaration

Returns void

dispose

Type declaration

Returns void

endCriteria

Type declaration

Returns Type

forwardRate

Type declaration

Parameters

fixing: Date

Optional referenceDate: Date

Optional y: Real

Optional iborIdx: IborIndex

Returns Real

freeze

Type declaration

Returns void

functionEvaluation

Type declaration

Returns Integer

g1dmInit