Class ImpliedVolHelper

Hierarchy

ImpliedVolHelper

Implements

UnaryFunction<Volatility, Real>

Index

Constructors

constructor

Properties

Methods

f

Constructors

constructor

new ImpliedVolHelper(cdsoption: CdsOption, probability: Handle<DefaultProbabilityTermStructure>, recoveryRate: Real, termStructure: Handle<YieldTermStructure>, targetValue: Real): ImpliedVolHelper

- Defined in ql/experimental/credit/cdsoption.ts:132
Parameters
- cdsoption: CdsOption
- probability: Handle<DefaultProbabilityTermStructure>
- recoveryRate: Real
- termStructure: Handle<YieldTermStructure>
- targetValue: Real
Returns ImpliedVolHelper

Properties

Private _engine

_engine: PricingEngine

Private _results

_results: Results

Private _targetValue

_targetValue: Real

Private _vol

_vol: SimpleQuote

Methods

f

f(x: Volatility): Real

- Defined in ql/experimental/credit/cdsoption.ts:148
Parameters
- x: Volatility
Returns Real