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Class NoArbSabrInterpolation

Hierarchy

Implements

Index

Classes

Constructors

Properties

Methods

Constructors

constructor

  • Parameters

    • x: Real[]
    • xBegin: Size
    • xEnd: Size
    • y: Real[]
    • yBegin: Size
    • t: Time
    • forward: Real
    • alpha: Real
    • beta: Real
    • nu: Real
    • rho: Real
    • alphaIsFixed: boolean
    • betaIsFixed: boolean
    • nuIsFixed: boolean
    • rhoIsFixed: boolean
    • Default value vegaWeighted: boolean = true
    • Default value endCriteria: EndCriteria = null
    • Default value optMethod: OptimizationMethod = null
    • Default value errorAccept: Real = 0.002
    • Default value useMaxError: boolean = false
    • Default value maxGuesses: Size = 50
    • Default value shift: Real = 0

    Returns NoArbSabrInterpolation

Properties

Private _coeffs

_coeffs: XABRCoeffHolder

_extrapolate

_extrapolate: boolean = false

Protected _impl

_impl: Impl = null

Methods

allowsExtrapolation

  • allowsExtrapolation(): boolean

  • tells whether extrapolation is enabled

    Returns boolean

alpha

  • Returns Real

beta

  • Returns Real

Protected checkRange

  • checkRange(x: Real, extrapolate: boolean): void

derivative

  • derivative(x: Real, allowExtrapolation?: boolean): Real

  • Parameters

    • x: Real
    • Default value allowExtrapolation: boolean = false

    Returns Real

disableExtrapolation

  • disableExtrapolation(b?: boolean): void

  • disable extrapolation in subsequent calls

    Parameters

    • Default value b: boolean = true

    Returns void

empty

  • empty(): boolean

  • Returns boolean

enableExtrapolation

  • enableExtrapolation(b?: boolean): void

  • enable extrapolation in subsequent calls

    Parameters

    • Default value b: boolean = true

    Returns void

endCriteria

  • endCriteria(): Type

  • Returns Type

expiry

  • Returns Real

f

  • f(x: Real, allowExtrapolation?: boolean): Real

  • Parameters

    • x: Real
    • Default value allowExtrapolation: boolean = false

    Returns Real

forward

  • Returns Real

getExistingHelpers

  • getExistingHelpers(): any

interpolationWeights

  • interpolationWeights(): Real[]

  • Returns Real[]

isInRange

  • isInRange(x: Real): boolean

maxError

  • Returns Real

nu

  • Returns Real

primitive

  • primitive(x: Real, allowExtrapolation?: boolean): Real

  • Parameters

    • x: Real
    • Default value allowExtrapolation: boolean = false

    Returns Real

rho

  • Returns Real

rmsError

  • Returns Real

secondDerivative

  • secondDerivative(x: Real, allowExtrapolation?: boolean): Real

update

  • update(): void

xMax

xMin