Class YoYInflationVolatilityTraits

traits for inflation-volatility bootstrap

Hierarchy

YoYInflationVolatilityTraits

Index

Classes

curve

Methods

Methods

Static guess

guess(i: Size, c: InflationCurve, validData: boolean, s: Size): Real

- Defined in ql/experimental/inflation/piecewiseyoyoptionletvolatility.ts:41
Parameters
- i: Size
- c: InflationCurve
- validData: boolean
- s: Size
Returns Real

Static initialDate

initialDate(s: YoYOptionletVolatilitySurface): Date

- Defined in ql/experimental/inflation/piecewiseyoyoptionletvolatility.ts:26
Parameters
- s: YoYOptionletVolatilitySurface
Returns Date

Static initialValue

initialValue(s: YoYOptionletVolatilitySurface): Real

- Defined in ql/experimental/inflation/piecewiseyoyoptionletvolatility.ts:31
Parameters
- s: YoYOptionletVolatilitySurface
Returns Real

Static maxIterations

maxIterations(): Size

- Defined in ql/experimental/inflation/piecewiseyoyoptionletvolatility.ts:71
Returns Size

Static maxValueAfter

maxValueAfter(i: Size, c: InflationCurve, validData: boolean, s: Size): Real

- Defined in ql/experimental/inflation/piecewiseyoyoptionletvolatility.ts:60
Parameters
- i: Size
- c: InflationCurve
- validData: boolean
- s: Size
Returns Real

Static minValueAfter

minValueAfter(i: Size, c: InflationCurve, validData: boolean, s: Size): Real

- Defined in ql/experimental/inflation/piecewiseyoyoptionletvolatility.ts:55
Parameters
- i: Size
- c: InflationCurve
- validData: boolean
- s: Size
Returns Real

Static updateGuess

updateGuess(vols: Real[], level: Real, i: Size): void

- Defined in ql/experimental/inflation/piecewiseyoyoptionletvolatility.ts:66
Parameters
- vols: Real[]
- level: Real
- i: Size
Returns void