Class ProportionalNotionalRisk

Hierarchy

NotionalRisk
- ProportionalNotionalRisk

Index

Constructors

constructor

Properties

Methods

updatePath

Constructors

constructor

new ProportionalNotionalRisk(paymentOffset: EventPaymentOffset, attachement: Real, exhaustion: Real): ProportionalNotionalRisk

Overrides NotionalRisk.constructor
- Defined in ql/experimental/catbonds/riskynotional.ts:84
Parameters
- paymentOffset: EventPaymentOffset
- attachement: Real
- exhaustion: Real
Returns ProportionalNotionalRisk

Properties

Protected _attachement

_attachement: Real

Protected _exhaustion

_exhaustion: Real

Protected _paymentOffset

_paymentOffset: EventPaymentOffset

Methods

updatePath

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

Overrides NotionalRisk.updatePath
- Defined in ql/experimental/catbonds/riskynotional.ts:96
Parameters
- events: Array<[Integer, Real]>
- path: NotionalPath
Returns void