Class GFunctionFactory

Hierarchy

GFunctionFactory

Index

Enumerations

YieldCurveModel

Classes

Methods

Methods

Static newGFunctionExactYield

newGFunctionExactYield(coupon: CmsCoupon): GFunction

- Defined in ql/cashflows/conundrumpricer.ts:96
Parameters
- coupon: CmsCoupon
Returns GFunction

Static newGFunctionStandard

newGFunctionStandard(q: Size, delta: Real, swapLength: Size): GFunction

- Defined in ql/cashflows/conundrumpricer.ts:91
Parameters
- q: Size
- delta: Real
- swapLength: Size
Returns GFunction

Static newGFunctionWithShifts

newGFunctionWithShifts(coupon: CmsCoupon, meanReversion: Handle<Quote>): GFunction

- Defined in ql/cashflows/conundrumpricer.ts:100
Parameters
- coupon: CmsCoupon
- meanReversion: Handle<Quote>
Returns GFunction