LocalVolRNDCalculator

Hierarchy

RiskNeutralDensityCalculatorLazyObject
- LocalVolRNDCalculator

Implements

Index

Methods

Properties

_alwaysForward

_alwaysForward: boolean = false

_calculated

_calculated: boolean = false

_frozen

_frozen: boolean = false

Private _gaussianStepSize

_gaussianStepSize: Time

_isDisposed

_isDisposed: boolean = false

Private _localVol

_localVol: LocalVolTermStructure

Private _localVolProbEps

_localVolProbEps: Real

Private _maxIter

_maxIter: Size

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Private _rescaleTimeSteps

_rescaleTimeSteps: Size[]

Private _spot

_spot: Quote

Private _tGrid

_tGrid: Size

Private _timeGrid

_timeGrid: TimeGrid

Private _x0Density

_x0Density: Real

Private _xGrid

_xGrid: Size

Private _xm

_xm: Fdm1dMesher[]

alwaysForwardNotifications

alwaysForwardNotifications: () => void

Type declaration

- (): void
- Returns void

calculate

calculate: () => void

Type declaration

- (): void
- Returns void

deepUpdate

deepUpdate: () => void

Type declaration

- (): void
- Returns void

dispose

dispose: () => void

Type declaration

- (): void
- Returns void

freeze

freeze: () => void

Type declaration

- (): void
- Returns void

isDisposed

isDisposed: boolean

notifyObservers

notifyObservers: () => void

Type declaration

- (): void
- Returns void

recalculate

recalculate: () => void

Type declaration

- (): void
- Returns void

registerObserver

registerObserver: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

registerWith

registerWith: (h: Observable) => void

Type declaration

- (h: Observable): void
- Parameters
  - h: Observable
  Returns void

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

unfreeze

unfreeze: () => void

Type declaration

- (): void
- Returns void

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

- (h: Observable): Size
- Parameters
  - h: Observable
  Returns Size

unregisterWithAll

unregisterWithAll: () => void

Type declaration

- (): void
- Returns void

Methods

cdf

cdf(x: Real, t: Time): Real

Overrides RiskNeutralDensityCalculatorLazyObject.cdf
- Defined in ql/experimental/finitedifferences/localvolrndcalculator.ts:138
Parameters
- x: Real
- t: Time
Returns Real

invcdf

invcdf(p: Real, t: Time): Real

Overrides RiskNeutralDensityCalculatorLazyObject.invcdf
- Defined in ql/experimental/finitedifferences/localvolrndcalculator.ts:185
Parameters
- p: Real
- t: Time
Returns Real

lvrndcInit1

lvrndcInit1(spot: Quote, rTS: YieldTermStructure, qTS: YieldTermStructure, localVol: LocalVolTermStructure, xGrid?: Size, tGrid?: Size, x0Density?: Real, eps?: Real, maxIter?: Size, gaussianStepSize?: Time): LocalVolRNDCalculator

- Defined in ql/experimental/finitedifferences/localvolrndcalculator.ts:33
Parameters
- spot: Quote
- rTS: YieldTermStructure
- qTS: YieldTermStructure
- localVol: LocalVolTermStructure
- Default value xGrid: Size = 101
- Default value tGrid: Size = 51
- Default value x0Density: Real = 0.1
- Default value eps: Real = 0.000001
- Default value maxIter: Size = 10000
- Default value gaussianStepSize: Time = -QL_NULL_REAL
Returns LocalVolRNDCalculator

lvrndcInit2

lvrndcInit2(spot: Quote, rTS: YieldTermStructure, qTS: YieldTermStructure, localVol: LocalVolTermStructure, timeGrid: TimeGrid, xGrid?: Size, x0Density?: Real, eps?: Real, maxIter?: Size, gaussianStepSize?: Time): LocalVolRNDCalculator

- Defined in ql/experimental/finitedifferences/localvolrndcalculator.ts:61
Parameters
- spot: Quote
- rTS: YieldTermStructure
- qTS: YieldTermStructure
- localVol: LocalVolTermStructure
- timeGrid: TimeGrid
- Default value xGrid: Size = 101
- Default value x0Density: Real = 0.1
- Default value eps: Real = 0.000001
- Default value maxIter: Size = 10000
- Default value gaussianStepSize: Time = -QL_NULL_REAL
Returns LocalVolRNDCalculator

mesher

mesher(t: Time): Fdm1dMesher

- Defined in ql/experimental/finitedifferences/localvolrndcalculator.ts:216
Parameters
- t: Time
Returns Fdm1dMesher

pdf

pdf(x: Real, t: Time): Real

Overrides RiskNeutralDensityCalculatorLazyObject.pdf
- Defined in ql/experimental/finitedifferences/localvolrndcalculator.ts:88
Parameters
- x: Real
- t: Time
Returns Real

performCalculations

performCalculations(): void

Overrides RiskNeutralDensityCalculatorLazyObject.performCalculations
- Defined in ql/experimental/finitedifferences/localvolrndcalculator.ts:238
Returns void

probabilityInterpolation

probabilityInterpolation(idx: Size, x: Real): Real

- Defined in ql/experimental/finitedifferences/localvolrndcalculator.ts:367
Parameters
- idx: Size
- x: Real
Returns Real

rescalePDF

rescalePDF(x: Real[], p: Real[]): Real[]

- Defined in ql/experimental/finitedifferences/localvolrndcalculator.ts:378
Parameters
- x: Real[]
- p: Real[]
Returns Real[]

rescaleTimeSteps

rescaleTimeSteps(): Size[]

- Defined in ql/experimental/finitedifferences/localvolrndcalculator.ts:232
Returns Size[]

timeGrid

timeGrid(): TimeGrid

- Defined in ql/experimental/finitedifferences/localvolrndcalculator.ts:212
Returns TimeGrid

update

update(): void

Inherited from RiskNeutralDensityCalculatorLazyObject.update
- Defined in mixins/ql/experimental/riskneutraldensitycalculatorlazyobject.ts:23
Returns void

Hierarchy

Implements

Index

Properties

Methods

Properties

_alwaysForward

_calculated

_frozen

Private _gaussianStepSize

_isDisposed

Private _localVol

Private _localVolProbEps

Private _maxIter

_observables

_observers

Private _pFct

Private _pm

Private _qTS

Private _rTS

Private _rescaleTimeSteps

Private _spot

Private _tGrid

Private _timeGrid

Private _x0Density

Private _xGrid

Private _xm

alwaysForwardNotifications

Type declaration

Returns void

calculate

Type declaration

Returns void

deepUpdate

Type declaration

Returns void

dispose

Type declaration

Returns void

freeze

Type declaration

Returns void

isDisposed

notifyObservers

Type declaration

Returns void

recalculate

Type declaration

Returns void

registerObserver

Type declaration

Parameters

o: Observer

Returns void

registerWith

Type declaration

Parameters

h: Observable

Returns void

registerWithObservables

Type declaration

Parameters

o: Observer

Returns void

unfreeze

Type declaration

Returns void

unregisterObserver

Type declaration

Parameters

o: Observer

Returns void

unregisterWith

Type declaration

Parameters

h: Observable

Returns Size

unregisterWithAll

Type declaration

Returns void