VarianceGammaModel | quantlib.js

Variance Gamma model

References:

Dilip B. Madan, Peter Carr, Eric C. Chang (1998) "The variance gamma process and option pricing," European Finance Review, 2, 79-105

warning: calibration is not implemented for VG

Hierarchy

CalibratedModel
- VarianceGammaModel

Implements

Index

Classes

Constructors

constructor

Properties

Methods

Constructors

constructor

new VarianceGammaModel(process: VarianceGammaProcess): VarianceGammaModel

- Defined in ql/experimental/variancegamma/variancegammamodel.ts:23
Parameters
- process: VarianceGammaProcess
Returns VarianceGammaModel

Properties

_arguments

_arguments: Parameter[]

_constraint

_constraint: Constraint

_functionEvaluation

_functionEvaluation: Integer

_isDisposed

_isDisposed: boolean = false

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

_problemValues

_problemValues: Real[]

Protected _process

_process: VarianceGammaProcess

_shortRateEndCriteria

_shortRateEndCriteria: Type

dispose

dispose: () => void

Type declaration

- (): void
- Returns void

isDisposed

isDisposed: boolean

notifyObservers

notifyObservers: () => 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

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

calibrate1

calibrate1(instruments: CalibrationHelperBase[], method: OptimizationMethod, endCriteria: EndCriteria, additionalConstraint?: Constraint, weights?: Real[], fixParameters?: boolean[]): void

Inherited from CalibratedModel.calibrate1
- Defined in ql/models/model.ts:95
Calibrate to a set of market instruments (usually caps/swaptions) An additional constraint can be passed which must be satisfied in addition to the constraints of the model.

Parameters
- instruments: CalibrationHelperBase[]
- method: OptimizationMethod
- endCriteria: EndCriteria
- Default value additionalConstraint: Constraint = new Constraint()
- Default value weights: Real[] = []
- Default value fixParameters: boolean[] = []
Returns void

calibrate2

calibrate2(instruments: BlackCalibrationHelper[], method: OptimizationMethod, endCriteria: EndCriteria, additionalConstraint?: Constraint, weights?: Real[], fixParameters?: boolean[]): void

Inherited from CalibratedModel.calibrate2
- Defined in ql/models/model.ts:145
Parameters
- instruments: BlackCalibrationHelper[]
- method: OptimizationMethod
- endCriteria: EndCriteria
- Default value additionalConstraint: Constraint = new Constraint()
- Default value weights: Real[] = []
- Default value fixParameters: boolean[] = []
Returns void

cmInit

cmInit(nArguments: Size): CalibratedModel

Inherited from CalibratedModel.cmInit
- Defined in ql/models/model.ts:78
Parameters
- nArguments: Size
Returns CalibratedModel

constraint

constraint(): Constraint

Inherited from CalibratedModel.constraint
- Defined in ql/models/model.ts:174
Returns Constraint

deepUpdate

deepUpdate(): void

Inherited from ObserverObservable.deepUpdate
- Defined in mixins/ql/patterns/observerobservable.ts:23
Returns void

endCriteria

endCriteria(): Type

Inherited from CalibratedModel.endCriteria
- Defined in ql/models/model.ts:178
Returns Type

functionEvaluation

functionEvaluation(): Integer

Inherited from CalibratedModel.functionEvaluation
- Defined in ql/models/model.ts:217
Returns Integer

generateArguments

generateArguments(): void

Overrides CalibratedModel.generateArguments
- Defined in ql/experimental/variancegamma/variancegammamodel.ts:58
Returns void

nu

nu(): Real

- Defined in ql/experimental/variancegamma/variancegammamodel.ts:46
Returns Real

params

params(): Real[]

Inherited from CalibratedModel.params
- Defined in ql/models/model.ts:186
Returns Real[]

problemValues

problemValues(): Real[]

Inherited from CalibratedModel.problemValues
- Defined in ql/models/model.ts:182
Returns Real[]

process

process(): VarianceGammaProcess

- Defined in ql/experimental/variancegamma/variancegammamodel.ts:54
Returns VarianceGammaProcess

setParams

setParams(params: Real[]): void

Inherited from CalibratedModel.setParams
- Defined in ql/models/model.ts:200
Parameters
- params: Real[]
Returns void

sigma

sigma(): Real

- Defined in ql/experimental/variancegamma/variancegammamodel.ts:42
Returns Real

theta

theta(): Real

- Defined in ql/experimental/variancegamma/variancegammamodel.ts:50
Returns Real

update

update(): void

Inherited from CalibratedModel.update

Overrides ObserverObservable.update
- Defined in ql/models/model.ts:85
Returns void

value1

value1(params: Real[], instruments: CalibrationHelperBase[]): Real

Inherited from CalibratedModel.value1
- Defined in ql/models/model.ts:158
Parameters
- params: Real[]
- instruments: CalibrationHelperBase[]
Returns Real

value2

value2(params: Real[], instruments: BlackCalibrationHelper[]): Real

Inherited from CalibratedModel.value2
- Defined in ql/models/model.ts:166
Parameters
- params: Real[]
- instruments: BlackCalibrationHelper[]
Returns Real

Hierarchy

Implements

Index

Classes

Constructors

Properties

Methods

Constructors

constructor

Parameters

process: VarianceGammaProcess

Returns VarianceGammaModel

Properties

_arguments

_constraint

_functionEvaluation

_isDisposed

_observables

_observers

_problemValues

Protected _process

_shortRateEndCriteria

dispose

Type declaration

Returns void

isDisposed

notifyObservers

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

unregisterObserver

Type declaration

Parameters

o: Observer

Returns void

unregisterWith

Type declaration

Parameters

h: Observable

Returns Size

unregisterWithAll

Type declaration

Returns void

Methods

calibrate1

Parameters

instruments: CalibrationHelperBase[]

method: OptimizationMethod

endCriteria: EndCriteria

Default value additionalConstraint: Constraint = new Constraint()

Default value weights: Real[] = []

Default value fixParameters: boolean[] = []

Returns void

calibrate2

Parameters

instruments: BlackCalibrationHelper[]

method: OptimizationMethod

endCriteria: EndCriteria

Default value additionalConstraint: Constraint = new Constraint()

Default value weights: Real[] = []

Default value fixParameters: boolean[] = []

Returns void

cmInit

Parameters

nArguments: Size

Returns CalibratedModel