Class VolatilityCube

Hierarchy

VolatilityCube

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new VolatilityCube(surfaces: Array<Handle<InterestRateVolSurface>>, curves: Array<Handle<AbcdAtmVolCurve>>): VolatilityCube

- Defined in ql/experimental/volatility/volcube.ts:12
Parameters
- surfaces: Array<Handle<InterestRateVolSurface>>
- curves: Array<Handle<AbcdAtmVolCurve>>
Returns VolatilityCube

Properties

Protected _curves

_curves: Array<Handle<AbcdAtmVolCurve>>

Protected _surfaces

_surfaces: Array<Handle<InterestRateVolSurface>>

Methods

curves

curves(): Array<Handle<AbcdAtmVolCurve>>

- Defined in ql/experimental/volatility/volcube.ts:54
Returns Array<Handle<AbcdAtmVolCurve>>

maxIndexTenor

maxIndexTenor(): Period

- Defined in ql/experimental/volatility/volcube.ts:46
Returns Period

minIndexTenor

minIndexTenor(): Period

- Defined in ql/experimental/volatility/volcube.ts:42
Returns Period

surfaces

surfaces(): Array<Handle<InterestRateVolSurface>>

- Defined in ql/experimental/volatility/volcube.ts:50
Returns Array<Handle<InterestRateVolSurface>>