Class ConundrumIntegrand

Hierarchy

Function
- ConundrumIntegrand

Implements

UnaryFunction<Real, Real>

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new ConundrumIntegrand(o: VanillaOptionPricer, rateCurve: YieldTermStructure, gFunction: GFunction, fixingDate: Date, paymentDate: Date, annuity: Real, forwardValue: Real, strike: Real, optionType: Type): ConundrumIntegrand

- Defined in ql/cashflows/conundrumpricer.ts:1103
Parameters
- o: VanillaOptionPricer
- rateCurve: YieldTermStructure
- gFunction: GFunction
- fixingDate: Date
- paymentDate: Date
- annuity: Real
- forwardValue: Real
- strike: Real
- optionType: Type
Returns ConundrumIntegrand

Properties

Protected _annuity

_annuity: Real

Protected _fixingDate

_fixingDate: Date

Protected _forwardValue

_forwardValue: Real

Protected _gFunction

_gFunction: GFunction

Protected _optionType

_optionType: Type

Protected _paymentDate

_paymentDate: Date

Protected _strike

_strike: Real

Protected _vanillaOptionPricer

_vanillaOptionPricer: VanillaOptionPricer

Methods

Protected annuity

annuity(): Real

- Defined in ql/cashflows/conundrumpricer.ts:1152
Returns Real

f

f(x: Real): Real

Overrides Function.f
- Defined in ql/cashflows/conundrumpricer.ts:1120
Parameters
- x: Real
Returns Real

firstDerivativeOfF

firstDerivativeOfF(x: Real): Real

- Defined in ql/cashflows/conundrumpricer.ts:1133
Parameters
- x: Real
Returns Real

Protected fixingDate

fixingDate(): Date

- Defined in ql/cashflows/conundrumpricer.ts:1156
Returns Date

functionF

functionF(x: Real): Real

- Defined in ql/cashflows/conundrumpricer.ts:1126
Parameters
- x: Real
Returns Real

secondDerivativeOfF

secondDerivativeOfF(x: Real): Real

- Defined in ql/cashflows/conundrumpricer.ts:1141
Parameters
- x: Real
Returns Real

Protected setStrike

setStrike(strike: Real): void

- Defined in ql/cashflows/conundrumpricer.ts:1160
Parameters
- strike: Real
Returns void

Protected strike

strike(): Real

- Defined in ql/cashflows/conundrumpricer.ts:1148
Returns Real