Class NoArbSabrSpecs

Hierarchy

NoArbSabrSpecs

Index

Methods

Methods

defaultValues

defaultValues(params: Real[], paramIsFixed: boolean[], forward: Real, expiryTime: Real, addParams: Real[]): void

- Defined in ql/experimental/volatility/noarbsabrinterpolation.ts:29
Parameters
- params: Real[]
- paramIsFixed: boolean[]
- forward: Real
- expiryTime: Real
- addParams: Real[]
Returns void

dimension

dimension(): Size

- Defined in ql/experimental/volatility/noarbsabrinterpolation.ts:21
Returns Size

direct

direct(x: Real[], paramIsFixed: boolean[], params: Real[], forward: Real): Real[]

- Defined in ql/experimental/volatility/noarbsabrinterpolation.ts:113
Parameters
- x: Real[]
- paramIsFixed: boolean[]
- params: Real[]
- forward: Real
Returns Real[]

eps

eps(): Real

- Defined in ql/experimental/volatility/noarbsabrinterpolation.ts:25
Returns Real

guess

guess(values: Real[], paramIsFixed: boolean[], forward: Real, expiryTime: Real, r: Real[], x: Real[]): void

- Defined in ql/experimental/volatility/noarbsabrinterpolation.ts:66
Parameters
- values: Real[]
- paramIsFixed: boolean[]
- forward: Real
- expiryTime: Real
- r: Real[]
- x: Real[]
Returns void

instance

instance(t: Time, forward: Real, params: Real[], addParams: Real[]): NoArbSabrWrapper

- Defined in ql/experimental/volatility/noarbsabrinterpolation.ts:169
Parameters
- t: Time
- forward: Real
- params: Real[]
- addParams: Real[]
Returns NoArbSabrWrapper

inverse

inverse(y: Real[], paramIsFixed: boolean[], params: Real[], forward: Real): Real[]

- Defined in ql/experimental/volatility/noarbsabrinterpolation.ts:91
Parameters
- y: Real[]
- paramIsFixed: boolean[]
- params: Real[]
- forward: Real
Returns Real[]

weight

weight(strike: Real, forward: Real, stdDev: Real, addParams: Real[]): Real

- Defined in ql/experimental/volatility/noarbsabrinterpolation.ts:164
Parameters
- strike: Real
- forward: Real
- stdDev: Real
- addParams: Real[]
Returns Real