Class VannaVolga

VannaVolga-interpolation factory and traits

Hierarchy

VannaVolga

Implements

Interpolator

Index

Constructors

constructor

Properties

Methods

interpolate

Constructors

constructor

new VannaVolga(spot: Real, dDiscount: DiscountFactor, fDiscount: DiscountFactor, T: Time): VannaVolga

- Defined in ql/experimental/barrieroption/vannavolgainterpolation.ts:28
Parameters
- spot: Real
- dDiscount: DiscountFactor
- fDiscount: DiscountFactor
- T: Time
Returns VannaVolga

Properties

Private _T

_T: Time

Private _dDiscount

_dDiscount: DiscountFactor

Private _fDiscount

_fDiscount: DiscountFactor

Private _spot

_spot: Real

Static requiredPoints

requiredPoints: Size = 3

Methods

interpolate

interpolate(x: Real[], xBegin: Size, xEnd: Size, y: Real[], yBegin: Size): Interpolation

- Defined in ql/experimental/barrieroption/vannavolgainterpolation.ts:38
Parameters
- x: Real[]
- xBegin: Size
- xEnd: Size
- y: Real[]
- yBegin: Size
Returns Interpolation