Class DigitalNotionalRisk

Hierarchy

NotionalRisk
- DigitalNotionalRisk

Index

Constructors

constructor

Properties

Methods

updatePath

Constructors

constructor

new DigitalNotionalRisk(paymentOffset: EventPaymentOffset, threshold: Real): DigitalNotionalRisk

Overrides NotionalRisk.constructor
- Defined in ql/experimental/catbonds/riskynotional.ts:65
Parameters
- paymentOffset: EventPaymentOffset
- threshold: Real
Returns DigitalNotionalRisk

Properties

Protected _paymentOffset

_paymentOffset: EventPaymentOffset

Protected _threshold

_threshold: Real

Methods

updatePath

updatePath(events: Array<[Integer, Real]>, path: NotionalPath): void

Overrides NotionalRisk.updatePath
- Defined in ql/experimental/catbonds/riskynotional.ts:71
Parameters
- events: Array<[Integer, Real]>
- path: NotionalPath
Returns void