Class Settings

Hierarchy

Settings

Index

Enumerations

Strategy

Properties

Methods

Properties

_defaultBounds

_defaultBounds: boolean

_lowerRateBound

_lowerRateBound: Real

_priceThreshold

_priceThreshold: Real

_stdDevs

_stdDevs: Real

_strategy

_strategy: Strategy

_upperRateBound

_upperRateBound: Real

_vegaRatio

_vegaRatio: Real

Methods

withBSStdDevs1

withBSStdDevs1(stdDevs?: Real): Settings

- Defined in ql/cashflows/lineartsrpricer.ts:580
Parameters
- Default value stdDevs: Real = 3
Returns Settings

withBSStdDevs2

withBSStdDevs2(stdDevs: Real, lowerRateBound: Real): Settings

- Defined in ql/cashflows/lineartsrpricer.ts:589
Parameters
- stdDevs: Real
- lowerRateBound: Real
Returns Settings

withBSStdDevs3

withBSStdDevs3(stdDevs: Real, lowerRateBound: Real, upperRateBound: Real): Settings

- Defined in ql/cashflows/lineartsrpricer.ts:598
Parameters
- stdDevs: Real
- lowerRateBound: Real
- upperRateBound: Real
Returns Settings

withPriceThreshold1

withPriceThreshold1(priceThreshold?: Real): Settings

- Defined in ql/cashflows/lineartsrpricer.ts:551
Parameters
- Default value priceThreshold: Real = 1e-8
Returns Settings

withPriceThreshold2

withPriceThreshold2(priceThreshold: Real, lowerRateBound: Real): Settings

- Defined in ql/cashflows/lineartsrpricer.ts:560
Parameters
- priceThreshold: Real
- lowerRateBound: Real
Returns Settings

withPriceThreshold3

withPriceThreshold3(priceThreshold: Real, lowerRateBound: Real, upperRateBound: Real): Settings

- Defined in ql/cashflows/lineartsrpricer.ts:569
Parameters
- priceThreshold: Real
- lowerRateBound: Real
- upperRateBound: Real
Returns Settings

withRateBound

withRateBound(lowerRateBound?: Real, upperRateBound?: Real): Settings

- Defined in ql/cashflows/lineartsrpricer.ts:513
Parameters
- Default value lowerRateBound: Real = LinearTsrPricer.defaultLowerBound
- Default value upperRateBound: Real = LinearTsrPricer.defaultUpperBound
Returns Settings

withVegaRatio1

withVegaRatio1(vegaRatio?: Real): Settings

- Defined in ql/cashflows/lineartsrpricer.ts:523
Parameters
- Default value vegaRatio: Real = 0.01
Returns Settings

withVegaRatio2

withVegaRatio2(vegaRatio: Real, lowerRateBound: Real): Settings

- Defined in ql/cashflows/lineartsrpricer.ts:532
Parameters
- vegaRatio: Real
- lowerRateBound: Real
Returns Settings

withVegaRatio3

withVegaRatio3(vegaRatio: Real, lowerRateBound: Real, upperRateBound: Real): Settings

- Defined in ql/cashflows/lineartsrpricer.ts:541
Parameters
- vegaRatio: Real
- lowerRateBound: Real
- upperRateBound: Real
Returns Settings