Class VannaVolgaInterpolationImpl

Hierarchy

templateImpl
- VannaVolgaInterpolationImpl

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new VannaVolgaInterpolationImpl(x: Real[], xBegin: Size, xEnd: Size, y: Real[], yBegin: Size, spot: Real, dDiscount: DiscountFactor, fDiscount: DiscountFactor, T: Time): VannaVolgaInterpolationImpl

- Defined in ql/experimental/barrieroption/vannavolgainterpolation.ts:54
Parameters
- x: Real[]
- xBegin: Size
- xEnd: Size
- y: Real[]
- yBegin: Size
- spot: Real
- dDiscount: DiscountFactor
- fDiscount: DiscountFactor
- T: Time
Returns VannaVolgaInterpolationImpl

Properties

Private _T

_T: Time

Private _atmVol

_atmVol: Real

Private _dDiscount

_dDiscount: DiscountFactor

Private _fDiscount

_fDiscount: DiscountFactor

Private _fwd

_fwd: Real

Private _spot

_spot: Real

_x

_x: Real[]

_xBegin

_xBegin: Size

_xEnd

_xEnd: Size

_y

_y: Real[]

_yBegin

_yBegin: Size

Private premiaBS

premiaBS: Real[]

Private premiaMKT

premiaMKT: Real[]

Private vegas

vegas: Real[]

Methods

derivative

derivative(x: Real): Real

Overrides Impl.derivative
- Defined in ql/experimental/barrieroption/vannavolgainterpolation.ts:119
Parameters
- x: Real
Returns Real

isInRange

isInRange(x: Real): boolean

Inherited from templateImpl.isInRange

Overrides Impl.isInRange
- Defined in ql/math/interpolation.ts:160
Parameters
- x: Real
Returns boolean

locate

locate(x: Real): Size

Inherited from templateImpl.locate
- Defined in ql/math/interpolation.ts:174
Parameters
- x: Real
Returns Size

primitive

primitive(x: Real): Real

Overrides Impl.primitive
- Defined in ql/experimental/barrieroption/vannavolgainterpolation.ts:115
Parameters
- x: Real
Returns Real

secondDerivative

secondDerivative(x: Real): Real

Overrides Impl.secondDerivative
- Defined in ql/experimental/barrieroption/vannavolgainterpolation.ts:123
Parameters
- x: Real
Returns Real

tiInit

tiInit(x: Real[], xBegin: Size, xEnd: Size, y: Real[], yBegin: Size, requiredPoints?: Integer): templateImpl

Inherited from templateImpl.tiInit
- Defined in ql/math/interpolation.ts:125
Parameters
- x: Real[]
- xBegin: Size
- xEnd: Size
- y: Real[]
- yBegin: Size
- Default value requiredPoints: Integer = 2
Returns templateImpl

update

update(): void

Overrides Impl.update
- Defined in ql/experimental/barrieroption/vannavolgainterpolation.ts:72
Returns void

value1

value1(k: Real): Real

Overrides Impl.value1
- Defined in ql/experimental/barrieroption/vannavolgainterpolation.ts:87
Parameters
- k: Real
Returns Real

value2

value2(y: Real[], x: Real): Real

Inherited from Impl.value2
- Defined in ql/math/interpolation.ts:105
Parameters
- y: Real[]
- x: Real
Returns Real

Private vega

vega(k: Real): Real

- Defined in ql/experimental/barrieroption/vannavolgainterpolation.ts:127
Parameters
- k: Real
Returns Real

xMax

xMax(): Real

Inherited from templateImpl.xMax

Overrides Impl.xMax
- Defined in ql/math/interpolation.ts:147
Returns Real

xMin

xMin(): Real

Inherited from templateImpl.xMin

Overrides Impl.xMin
- Defined in ql/math/interpolation.ts:143
Returns Real

xValues

xValues(): Real[]

Inherited from templateImpl.xValues

Overrides Impl.xValues
- Defined in ql/math/interpolation.ts:151
Returns Real[]

yValues

yValues(): Real[]

Inherited from templateImpl.yValues

Overrides Impl.yValues
- Defined in ql/math/interpolation.ts:155
Returns Real[]