Class GFunctionWithShifts

Hierarchy

GFunction
- GFunctionWithShifts

Implements

UnaryFunction<Real, Real>

Index

Classes

ObjectiveFunction

Constructors

constructor

Properties

Methods

Constructors

constructor

new GFunctionWithShifts(coupon: CmsCoupon, meanReversion: Handle<Quote>): GFunctionWithShifts

- Defined in ql/cashflows/conundrumpricer.ts:284
Parameters
- coupon: CmsCoupon
- meanReversion: Handle<Quote>
Returns GFunctionWithShifts

Properties

_accruals

_accruals: Time[]

_accuracy

_accuracy: Real

_calibratedShift

_calibratedShift: Real

_discountAtStart

_discountAtStart: Real

_discountRatio

_discountRatio: Real

_meanReversion

_meanReversion: Handle<Quote>

_objectiveFunction

_objectiveFunction: ObjectiveFunction

_shapedPaymentTime

_shapedPaymentTime: Time

_shapedSwapPaymentTimes

_shapedSwapPaymentTimes: Time[]

_swapPaymentDiscounts

_swapPaymentDiscounts: Real[]

_swapRateValue

_swapRateValue: Real

_swapStartTime

_swapStartTime: Time

_tmpRs

_tmpRs: Real

Methods

calibrationOfShift

calibrationOfShift(Rs: Real): Real

- Defined in ql/cashflows/conundrumpricer.ts:377
Parameters
- Rs: Real
Returns Real

der2Rs_derX2

der2Rs_derX2(x: Real): Real

- Defined in ql/cashflows/conundrumpricer.ts:491
Parameters
- x: Real
Returns Real

der2Z_derX2

der2Z_derX2(x: Real): Real

- Defined in ql/cashflows/conundrumpricer.ts:576
Parameters
- x: Real
Returns Real

derRs_derX

derRs_derX(x: Real): Real

- Defined in ql/cashflows/conundrumpricer.ts:433
Parameters
- x: Real
Returns Real

derZ_derX

derZ_derX(x: Real): Real

- Defined in ql/cashflows/conundrumpricer.ts:468
Parameters
- x: Real
Returns Real

f

f(Rs: Real): Real

Overrides GFunction.f
- Defined in ql/cashflows/conundrumpricer.ts:337
Parameters
- Rs: Real
Returns Real

firstDerivative

firstDerivative(Rs: Real): Real

Overrides GFunction.firstDerivative
- Defined in ql/cashflows/conundrumpricer.ts:343
Parameters
- Rs: Real
Returns Real

functionZ

functionZ(x: Real): Real

- Defined in ql/cashflows/conundrumpricer.ts:423
Parameters
- x: Real
Returns Real

secondDerivative

secondDerivative(Rs: Real): Real

Overrides GFunction.secondDerivative
- Defined in ql/cashflows/conundrumpricer.ts:353
Parameters
- Rs: Real
Returns Real

shapeOfShift

shapeOfShift(s: Real): Real

- Defined in ql/cashflows/conundrumpricer.ts:366
Parameters
- s: Real
Returns Real