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Class BasketGeneratingEngineGenericModelEngine<ModelType, ArgumentsType, ResultsType>

Type parameters

Hierarchy

Implements

Index

Properties

Methods

Properties

_arguments

_arguments: ArgumentsType

_discountCurve

_discountCurve: Handle<YieldTermStructure>

_isDisposed

_isDisposed: boolean = false

_model

_model: Handle<ModelType>

_oas

_oas: Handle<Quote>

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

_onefactormodel

_onefactormodel: Handle<Gaussian1dModel>

_results

_results: ResultsType

bgeInit1

bgeInit1: (model: Gaussian1dModel, oas: Handle<Quote>, discountCurve: Handle<YieldTermStructure>) => BasketGeneratingEngine

Type declaration

bgeInit2

bgeInit2: (model: Handle<Gaussian1dModel>, oas: Handle<Quote>, discountCurve: Handle<YieldTermStructure>) => BasketGeneratingEngine

Type declaration

calibrationBasket

calibrationBasket: (exercise: Exercise, standardSwapBase: SwapIndex, swaptionVolatility: SwaptionVolatilityStructure, basketType?: CalibrationBasketType) => CalibrationHelper[]

Type declaration

deepUpdate

deepUpdate: () => void

Type declaration

    • (): void

    • Returns void

dispose

dispose: () => void

Type declaration

    • (): void

    • Returns void

getArguments

getArguments: () => ArgumentsType

Type declaration

    • (): ArgumentsType

    • Returns ArgumentsType

getResults

getResults: () => ResultsType

Type declaration

    • (): ResultsType

    • Returns ResultsType

init1

init1: (model: Handle<ModelType>) => GenericModelEngine<ModelType, ArgumentsType, ResultsType>

Type declaration

init2

init2: (model: ModelType) => GenericModelEngine<ModelType, ArgumentsType, ResultsType>

Type declaration

isDisposed

isDisposed: boolean

notifyObservers

notifyObservers: () => 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

reset

reset: () => 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

update

update: () => void

Type declaration

    • (): void

    • Returns void

Methods

calculate

  • calculate(): void

  • Returns void

initialGuess

  • initialGuess(expiry: Date): Real[]

  • Parameters

    • expiry: Date

    Returns Real[]

underlyingLastDate

  • underlyingLastDate(): Date

  • Returns Date

underlyingNpv

  • underlyingNpv(expiry: Date, y: Real): Real

  • Parameters

    • expiry: Date
    • y: Real

    Returns Real

underlyingType

  • underlyingType(): Type

  • Returns Type