Class SABRSpecs

Hierarchy

SABRSpecs

Index

Methods

Methods

defaultValues

defaultValues(params: Real[], dummy: boolean[], forward: Real, expiryTime: Real, addParams: Real[]): void

- Defined in ql/math/interpolations/sabrinterpolation.ts:47
Parameters
- params: Real[]
- dummy: boolean[]
- forward: Real
- expiryTime: Real
- addParams: Real[]
Returns void

dilationFactor

dilationFactor(): Real

- Defined in ql/math/interpolations/sabrinterpolation.ts:102
Returns Real

dimension

dimension(): Size

- Defined in ql/math/interpolations/sabrinterpolation.ts:43
Returns Size

direct

direct(x: Real[], dummy1: boolean[], dummy2: Real[], dummy3: Real): Real[]

- Defined in ql/math/interpolations/sabrinterpolation.ts:118
Parameters
- x: Real[]
- dummy1: boolean[]
- dummy2: Real[]
- dummy3: Real
Returns Real[]

eps1

eps1(): Real

- Defined in ql/math/interpolations/sabrinterpolation.ts:94
Returns Real

eps2

eps2(): Real

- Defined in ql/math/interpolations/sabrinterpolation.ts:98
Returns Real

guess

guess(values: Real[], paramIsFixed: boolean[], forward: Real, expiryTime: Real, r: Real[], addParams: Real[]): void

- Defined in ql/math/interpolations/sabrinterpolation.ts:70
Parameters
- values: Real[]
- paramIsFixed: boolean[]
- forward: Real
- expiryTime: Real
- r: Real[]
- addParams: Real[]
Returns void

instance

instance(t: Time, forward: Real, params: Real[], addParams: Real[]): SABRWrapper

- Defined in ql/math/interpolations/sabrinterpolation.ts:139
Parameters
- t: Time
- forward: Real
- params: Real[]
- addParams: Real[]
Returns SABRWrapper

inverse

inverse(y: Real[], dummy1: boolean[], dummy2: Real[], dummy3: Real): Real[]

- Defined in ql/math/interpolations/sabrinterpolation.ts:106
Parameters
- y: Real[]
- dummy1: boolean[]
- dummy2: Real[]
- dummy3: Real
Returns Real[]

weight

weight(strike: Real, forward: Real, stdDev: Real, addParams: Real[]): Real

- Defined in ql/math/interpolations/sabrinterpolation.ts:134
Parameters
- strike: Real
- forward: Real
- stdDev: Real
- addParams: Real[]
Returns Real