Class LmConstWrapperCorrelationModel

Hierarchy

LmCorrelationModel
- LmConstWrapperCorrelationModel

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new LmConstWrapperCorrelationModel(corrModel: LmCorrelationModel): LmConstWrapperCorrelationModel

Overrides LmCorrelationModel.constructor
- Defined in ql/legacy/libormarketmodels/lmconstwrappercorrmodel.ts:10
Parameters
- corrModel: LmCorrelationModel
Returns LmConstWrapperCorrelationModel

Properties

Protected _arguments

_arguments: Parameter[]

Protected _corrModel

_corrModel: LmCorrelationModel

Protected _size

_size: Size

Methods

correlation1

correlation1(t: Time, x?: Real[]): Matrix

Overrides LmCorrelationModel.correlation1
- Defined in ql/legacy/libormarketmodels/lmconstwrappercorrmodel.ts:20
Parameters
- t: Time
- Default value x: Real[] = []
Returns Matrix

correlation2

correlation2(i: Size, j: Size, t: Time, x?: Real[]): Real

Overrides LmCorrelationModel.correlation2
- Defined in ql/legacy/libormarketmodels/lmconstwrappercorrmodel.ts:28
Parameters
- i: Size
- j: Size
- t: Time
- Default value x: Real[] = []
Returns Real

factors

factors(): Size

Overrides LmCorrelationModel.factors
- Defined in ql/legacy/libormarketmodels/lmconstwrappercorrmodel.ts:16
Returns Size

Protected generateArguments

generateArguments(): void

Overrides LmCorrelationModel.generateArguments
- Defined in ql/legacy/libormarketmodels/lmconstwrappercorrmodel.ts:36
Returns void

isTimeIndependent

isTimeIndependent(): boolean

Overrides LmCorrelationModel.isTimeIndependent
- Defined in ql/legacy/libormarketmodels/lmconstwrappercorrmodel.ts:32
Returns boolean

params

params(): Parameter[]

Inherited from LmCorrelationModel.params
- Defined in ql/legacy/libormarketmodels/lmcorrmodel.ts:25
Returns Parameter[]

pseudoSqrt

pseudoSqrt(t: Time, x?: Real[]): Matrix

Overrides LmCorrelationModel.pseudoSqrt
- Defined in ql/legacy/libormarketmodels/lmconstwrappercorrmodel.ts:24
Parameters
- t: Time
- Default value x: Real[] = []
Returns Matrix

setParams

setParams(args: Parameter[]): void

Inherited from LmCorrelationModel.setParams
- Defined in ql/legacy/libormarketmodels/lmcorrmodel.ts:29
Parameters
- args: Parameter[]
Returns void

size

size(): Size

Inherited from LmCorrelationModel.size
- Defined in ql/legacy/libormarketmodels/lmcorrmodel.ts:18
Returns Size