Class D0Interpolator

Hierarchy

D0Interpolator

Index

Constructors

constructor

Properties

Methods

d0
f
phi

Constructors

constructor

new D0Interpolator(forward: Real, expiryTime: Time, alpha: Real, beta: Real, nu: Real, rho: Real): D0Interpolator

- Defined in ql/experimental/volatility/noarbsabr.ts:328
Parameters
- forward: Real
- expiryTime: Time
- alpha: Real
- beta: Real
- nu: Real
- rho: Real
Returns D0Interpolator

Properties

Private _alpha

_alpha: Real

Private _beta

_beta: Real

Private _betaG

_betaG: Real[]

Private _expiryTime

_expiryTime: Real

Private _forward

_forward: Real

Private _gamma

_gamma: Real

Private _nu

_nu: Real

Private _nuG

_nuG: Real[]

Private _rho

_rho: Real

Private _rhoG

_rhoG: Real[]

Private _sigmaI

_sigmaI: Real

Private _sigmaIG

_sigmaIG: Real[]

Private _tauG

_tauG: Real[]

Methods

Private d0

d0(phi: Real): Real

- Defined in ql/experimental/volatility/noarbsabr.ts:479
Parameters
- phi: Real
Returns Real

f

f(): Real

- Defined in ql/experimental/volatility/noarbsabr.ts:369
Returns Real

Private phi

phi(d0: Real): Real

- Defined in ql/experimental/volatility/noarbsabr.ts:471
Parameters
- d0: Real
Returns Real