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Hierarchy

  • VasicekTermStructureConsistentModel

Implements

Index

Properties

B

B: (t: Time, T: Time) => Real

Type declaration

_a

_arguments

_arguments: Parameter[]

_b

_constraint

_constraint: Constraint

_functionEvaluation

_functionEvaluation: Integer

_isDisposed

_isDisposed: boolean = false

_lambda

_lambda: Parameter

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

_problemValues

_problemValues: Real[]

_r0

_r0: Real

_shortRateEndCriteria

_shortRateEndCriteria: Type

_sigma

_sigma: Parameter

_termStructure

_termStructure: Handle<YieldTermStructure>

a

a: () => Real

Type declaration

b

b: () => Real

Type declaration

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

discount

discount: (t: Time) => DiscountFactor

Type declaration

discountBond1

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

Type declaration

discountBond2

discountBond2: (now: Time, maturity: Time, rate: Rate) => Real

Type declaration

dispose

dispose: () => void

Type declaration

    • (): void
    • Returns void

endCriteria

endCriteria: () => Type

Type declaration

functionEvaluation

functionEvaluation: () => Integer

Type declaration

isDisposed

isDisposed: boolean

lambda

lambda: () => Real

Type declaration

notifyObservers

notifyObservers: () => void

Type declaration

    • (): void
    • Returns void

ofamInit

ofamInit: (nArguments: Size) => OneFactorAffineModel

Type declaration

ofmInit

ofmInit: (nArguments: Size) => OneFactorModel

Type declaration

params

params: () => Real[]

Type declaration

problemValues

problemValues: () => Real[]

Type declaration

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

sigma

sigma: () => Real

Type declaration

srmInit

srmInit: (nArguments: Size) => ShortRateModel

Type declaration

tcmInit

Type declaration

termStructure

termStructure: () => Handle<YieldTermStructure>

Type declaration

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

unregisterWithAll

unregisterWithAll: () => void

Type declaration

    • (): void
    • Returns void

vInit

vInit: (r0?: Rate, a?: Real, b?: Real, sigma?: Real, lambda?: Real) => Vasicek

Type declaration

value1

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

Type declaration

value2

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

Type declaration

Methods

A

  • Parameters

    Returns Real

discountBondOption1

  • Parameters

    Returns Real

discountBondOption2

  • Parameters

    Returns Real

dynamics

  • Returns ShortRateDynamics

generateArguments

  • generateArguments(): void
  • Returns void

tree

  • Parameters

    Returns Lattice

update

  • update(): void
  • Returns void