Class AbcdMathFunction

Abcd functional form

$$ f(t) = [ a + b * t ] e^{-c * t} + d $$

following Rebonato's notation.

Hierarchy

AbcdMathFunction
- AbcdFunction

Implements

UnaryFunction<Time, Real>

Index

Properties

Methods

Properties

Private _K

_K: Real

Protected _a

_a: Real

Private _abcd

_abcd: Real[]

Protected _b

_b: Real

Protected _c

_c: Real

Protected _d

_d: Real

Private _da

_da: Real

Private _dabcd

_dabcd: Real[] = [null, null, null, null]

Private _db

_db: Real

Private _diacplusbcc

_diacplusbcc: Real

Private _dibc

_dibc: Real

Private _pa

_pa: Real

Private _pb

_pb: Real

Methods

Private _initialize

_initialize(): void

- Defined in ql/math/abcdmathfunction.ts:210
Returns void

a

a(): Real

- Defined in ql/math/abcdmathfunction.ts:118
Returns Real

b

b(): Real

- Defined in ql/math/abcdmathfunction.ts:122
Returns Real

c

c(): Real

- Defined in ql/math/abcdmathfunction.ts:126
Returns Real

coefficients

coefficients(): Real[]

- Defined in ql/math/abcdmathfunction.ts:134
Returns Real[]

d

d(): Real

- Defined in ql/math/abcdmathfunction.ts:130
Returns Real

definiteDerivativeCoefficients

definiteDerivativeCoefficients(t: Time, t2: Time): Real[]

- Defined in ql/math/abcdmathfunction.ts:164
coefficients of a AbcdMathFunction defined as definite derivative on a rolling window of length tau, with tau = t2-t

Parameters
- t: Time
- t2: Time
Returns Real[]

definiteIntegral

definiteIntegral(t1: Time, t2: Time): Real

- Defined in ql/math/abcdmathfunction.ts:112
definite integral of the function between t1 and t2

$$ \int_{t1}^{t2} f(t)dt $$

Parameters
- t1: Time
- t2: Time
Returns Real

definiteIntegralCoefficients

definiteIntegralCoefficients(t: Time, t2: Time): Real[]

- Defined in ql/math/abcdmathfunction.ts:148
coefficients of a AbcdMathFunction defined as definite integral on a rolling window of length tau, with tau = t2-t

Parameters
- t: Time
- t2: Time
Returns Real[]

derivative

derivative(t: Time): Real

- Defined in ql/math/abcdmathfunction.ts:86
first derivative of the function at time t

$$ f'(t) = [ ( b-c * a ) + ( -c * b)*t) ] e^{-c*t} $$

Parameters
- t: Time
Returns Real

derivativeCoefficients

derivativeCoefficients(): Real[]

- Defined in ql/math/abcdmathfunction.ts:138
Returns Real[]

f

f(t: Time): Real

- Defined in ql/math/abcdmathfunction.ts:43
function value at time t: $ f(t) $

Parameters
- t: Time
Returns Real

init1

init1(a?: Real, b?: Real, c?: Real, d?: Real): AbcdMathFunction

- Defined in ql/math/abcdmathfunction.ts:20
Parameters
- Default value a: Real = 0.002
- Default value b: Real = 0.001
- Default value c: Real = 0.16
- Default value d: Real = 0.0005
Returns AbcdMathFunction

init2

init2(abcd: Real[]): AbcdMathFunction

- Defined in ql/math/abcdmathfunction.ts:32
Parameters
- abcd: Real[]
Returns AbcdMathFunction

longTermValue

longTermValue(): Real

- Defined in ql/math/abcdmathfunction.ts:75
function value at time +inf: $ f(\inf) $

Returns Real

maximumLocation

maximumLocation(): Time

- Defined in ql/math/abcdmathfunction.ts:50
time at which the function reaches maximum (if any)

Returns Time

maximumValue

maximumValue(): Real

- Defined in ql/math/abcdmathfunction.ts:67
maximum value of the function

Returns Real

primitive1

primitive1(t: Time): Real

- Defined in ql/math/abcdmathfunction.ts:98
indefinite integral of the function at time t

$$ \int f(t)dt = [ (-a/c-b/c^2) + (-b/c)*t ] e^{-c*t} + d*t $$

Parameters
- t: Time
Returns Real

Static validate

validate(a: Real, b: Real, c: Real, d: Real): void

- Defined in ql/math/abcdmathfunction.ts:176
Parameters
- a: Real
- b: Real
- c: Real
- d: Real
Returns void