Class LmConstWrapperVolatilityModel

Hierarchy

LmVolatilityModel
- LmConstWrapperVolatilityModel

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new LmConstWrapperVolatilityModel(volaModel: LmVolatilityModel): LmConstWrapperVolatilityModel

Overrides LmVolatilityModel.constructor
- Defined in ql/legacy/libormarketmodels/lmconstwrappervolmodel.ts:8
Parameters
- volaModel: LmVolatilityModel
Returns LmConstWrapperVolatilityModel

Properties

Protected _arguments

_arguments: Parameter[]

Protected _size

_size: Size

Protected _volaModel

_volaModel: LmVolatilityModel

Methods

integratedVariance

integratedVariance(i: Size, j: Size, u: Time, x?: Real[]): Real

Overrides LmVolatilityModel.integratedVariance
- Defined in ql/legacy/libormarketmodels/lmconstwrappervolmodel.ts:22
Parameters
- i: Size
- j: Size
- u: Time
- Default value x: Real[] = []
Returns Real

params

params(): Parameter[]

Inherited from LmVolatilityModel.params
- Defined in ql/legacy/libormarketmodels/lmvolmodel.ts:20
Returns Parameter[]

setParams

setParams(args: Parameter[]): void

Inherited from LmVolatilityModel.setParams
- Defined in ql/legacy/libormarketmodels/lmvolmodel.ts:24
Parameters
- args: Parameter[]
Returns void

size

size(): Size

Inherited from LmVolatilityModel.size
- Defined in ql/legacy/libormarketmodels/lmvolmodel.ts:16
Returns Size

volatility1

volatility1(t: Time, x?: Real[]): Real[]

Overrides LmVolatilityModel.volatility1
- Defined in ql/legacy/libormarketmodels/lmconstwrappervolmodel.ts:14
Parameters
- t: Time
- Default value x: Real[] = []
Returns Real[]

volatility2

volatility2(i: Size, t: Time, x?: Real[]): Volatility

Overrides LmVolatilityModel.volatility2
- Defined in ql/legacy/libormarketmodels/lmconstwrappervolmodel.ts:18
Parameters
- i: Size
- t: Time
- Default value x: Real[] = []
Returns Volatility