Class ObjectiveFunction

Hierarchy

ObjectiveFunction

Implements

UnaryFunction<Volatility, Real>

Index

Constructors

constructor

Properties

Methods

f

Constructors

constructor

new ObjectiveFunction(type: Type, slope: Real, K: Rate, lag: Period, fixingDays: Natural, anIndex: YoYInflationIndex, surf: YoYCapFloorTermPriceSurface, p: YoYInflationCapFloorEngine, priceToMatch: Real): ObjectiveFunction

- Defined in ql/experimental/inflation/interpolatedyoyoptionletstripper.ts:168
Parameters
- type: Type
- slope: Real
- K: Rate
- lag: Period
- fixingDays: Natural
- anIndex: YoYInflationIndex
- surf: YoYCapFloorTermPriceSurface
- p: YoYInflationCapFloorEngine
- priceToMatch: Real
Returns ObjectiveFunction

Properties

Protected _K

_K: Rate

Protected _capfloor

_capfloor: YoYInflationCapFloor

Protected _dvec

_dvec: Date[]

Protected _frequency

_frequency: Frequency

Protected _indexIsInterpolated

_indexIsInterpolated: boolean

Protected _lag

_lag: Period

Protected _p

_p: YoYInflationCapFloorEngine

Protected _priceToMatch

_priceToMatch: Real

Protected _slope

_slope: Real

Protected _surf

_surf: YoYCapFloorTermPriceSurface

Protected _tvec

_tvec: Time[]

Protected _vvec

_vvec: Volatility[]

Methods

f

f(guess: Volatility): Real

- Defined in ql/experimental/inflation/interpolatedyoyoptionletstripper.ts:216
Parameters
- guess: Volatility
Returns Real