Class BetaRiskSimulation

Hierarchy

CatSimulation
- BetaRiskSimulation

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new BetaRiskSimulation(start: Date, end: Date, maxLoss: Real, lambda: Real, alpha: Real, beta: Real): BetaRiskSimulation

Overrides CatSimulation.constructor
- Defined in ql/experimental/catbonds/catrisk.ts:138
Parameters
- start: Date
- end: Date
- maxLoss: Real
- lambda: Real
- alpha: Real
- beta: Real
Returns BetaRiskSimulation

Properties

Private _dayCount

_dayCount: Integer

Protected _end

_end: Date

Private _exponential

_exponential: exponential_distribution

Private _gammaAlpha

_gammaAlpha: gamma_distribution

Private _gammaBeta

_gammaBeta: gamma_distribution

Private _maxLoss

_maxLoss: Real

Private _rng

Protected _start

_start: Date

Private _yearFraction

_yearFraction: Real

Methods

generateBeta

generateBeta(): Real

- Defined in ql/experimental/catbonds/catrisk.ts:170
Returns Real

nextPath

nextPath(path: Array<[Integer, Real]>): boolean

Overrides CatSimulation.nextPath
- Defined in ql/experimental/catbonds/catrisk.ts:153
Parameters
- path: Array<[Integer, Real]>
Returns boolean