Class ImpliedSwaptionVolHelper

Hierarchy

ImpliedSwaptionVolHelper

Implements

UnaryFunction<Volatility, Real>

Index

Constructors

constructor

Properties

Methods

d
f

Constructors

constructor

new ImpliedSwaptionVolHelper(swaption: Swaption, discountCurve: Handle<YieldTermStructure>, targetValue: Real, displacement: Real, type: VolatilityType): ImpliedSwaptionVolHelper

- Defined in ql/instruments/swaption.ts:158
Parameters
- swaption: Swaption
- discountCurve: Handle<YieldTermStructure>
- targetValue: Real
- displacement: Real
- type: VolatilityType
Returns ImpliedSwaptionVolHelper

Properties

Private _discountCurve

_discountCurve: Handle<YieldTermStructure>

Private _engine

_engine: PricingEngine

Private _results

_results: Results

Private _targetValue

_targetValue: Real

Private _vol

_vol: SimpleQuote

Methods

d

d(x: Volatility): Real

- Defined in ql/instruments/swaption.ts:194
Parameters
- x: Volatility
Returns Real

f

f(x: Volatility): Real

- Defined in ql/instruments/swaption.ts:186
Parameters
- x: Volatility
Returns Real