Class LmVolatilityModel

caplet volatility model

Hierarchy

LmVolatilityModel

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new LmVolatilityModel(size: Size, nArguments: Size): LmVolatilityModel

- Defined in ql/legacy/libormarketmodels/lmvolmodel.ts:10
Parameters
- size: Size
- nArguments: Size
Returns LmVolatilityModel

Properties

Protected _arguments

_arguments: Parameter[]

Protected _size

_size: Size

Methods

Private generateArguments

generateArguments(): void

- Defined in ql/legacy/libormarketmodels/lmvolmodel.ts:45
Returns void

integratedVariance

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

- Defined in ql/legacy/libormarketmodels/lmvolmodel.ts:38
Parameters
- i: Size
- j: Size
- u: Time
- Default value x: Real[] = []
Returns Real

params

params(): Parameter[]

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

setParams

setParams(args: Parameter[]): void

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

size

size(): Size

- Defined in ql/legacy/libormarketmodels/lmvolmodel.ts:16
Returns Size

volatility1

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

- Defined in ql/legacy/libormarketmodels/lmvolmodel.ts:29
Parameters
- t: Time
- Default value x: Real[] = []
Returns Real[]

volatility2

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

- Defined in ql/legacy/libormarketmodels/lmvolmodel.ts:33
Parameters
- i: Size
- t: Time
- Default value x: Real[] = []
Returns Volatility