TwoFactorModelAffineModelTermStructureConsistentModel

Hierarchy

TwoFactorModelAffineModelTermStructureConsistentModel
- G2

Implements

Index

Methods

Properties

_arguments

_arguments: Parameter[]

_constraint

_constraint: Constraint

_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

_termStructure

_termStructure: Handle<YieldTermStructure>

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

discountBondOption2

discountBondOption2: (type: Type, strike: Real, maturity: Time, bondStart: Time, bondMaturity: Time) => Real

Type declaration

- (type: Type, strike: Real, maturity: Time, bondStart: Time, bondMaturity: Time): Real
- Parameters
  - type: Type
  - strike: Real
  - maturity: Time
  - bondStart: Time
  - bondMaturity: Time
  Returns Real

dispose

dispose: () => void

Type declaration

- (): void
- Returns void

endCriteria

endCriteria: () => Type

Type declaration

- (): Type
- Returns Type

functionEvaluation

functionEvaluation: () => Integer

Type declaration

- (): Integer
- Returns Integer

isDisposed

isDisposed: boolean

notifyObservers

notifyObservers: () => void

Type declaration

- (): void
- Returns void

params

params: () => Real[]

Type declaration

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

problemValues

problemValues: () => Real[]

Type declaration

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

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

srmInit

srmInit: (nArguments: Size) => ShortRateModel

Type declaration

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

tfmInit

tfmInit: (nParams: Size) => TwoFactorModel

Type declaration

- (nParams: Size): TwoFactorModel
- Parameters
  - nParams: Size
  Returns TwoFactorModel

tree

tree: (grid: TimeGrid) => Lattice

Type declaration

- (grid: TimeGrid): Lattice
- Parameters
  - grid: TimeGrid
  Returns Lattice

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

Methods

discount

discount(t: Time): DiscountFactor

- Defined in mixins/ql/models/twofactormodelaffinemodeltermstructureconsistentmodel.ts:40
Parameters
- t: Time
Returns DiscountFactor

discountBond1

discountBond1(now: Time, maturity: Time, factors: Real[]): Real

- Defined in mixins/ql/models/twofactormodelaffinemodeltermstructureconsistentmodel.ts:43
Parameters
- now: Time
- maturity: Time
- factors: Real[]
Returns Real

discountBondOption1

discountBondOption1(type: Type, strike: Real, maturity: Time, bondMaturity: Time): Real

- Defined in mixins/ql/models/twofactormodelaffinemodeltermstructureconsistentmodel.ts:46
Parameters
- type: Type
- strike: Real
- maturity: Time
- bondMaturity: Time
Returns Real

dynamics

dynamics(): ShortRateDynamics

- Defined in mixins/ql/models/twofactormodelaffinemodeltermstructureconsistentmodel.ts:83
Returns ShortRateDynamics

generateArguments

generateArguments(): void

- Defined in mixins/ql/models/twofactormodelaffinemodeltermstructureconsistentmodel.ts:72
Returns void

update

update(): void

- Defined in mixins/ql/models/twofactormodelaffinemodeltermstructureconsistentmodel.ts:35
Returns void

Hierarchy

Implements

Index

Properties

Methods

Properties

_arguments

_constraint

_functionEvaluation

_isDisposed

_observables

_observers

_problemValues

_shortRateEndCriteria

_termStructure

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

discountBondOption2

Type declaration

Parameters

type: Type

strike: Real

maturity: Time

bondStart: Time

bondMaturity: Time

Returns Real

dispose

Type declaration

Returns void

endCriteria

Type declaration

Returns Type

functionEvaluation

Type declaration

Returns Integer

isDisposed

notifyObservers

Type declaration

Returns void

params

Type declaration

Returns Real[]

problemValues

Type declaration

Returns Real[]

registerObserver

Type declaration

Parameters

o: Observer

Returns void

registerWith