Class BermudanSwaptionExerciseValue

Hierarchy

MarketModelExerciseValue
- BermudanSwaptionExerciseValue

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new BermudanSwaptionExerciseValue(rateTimes: Time[], payoffs: Payoff[]): BermudanSwaptionExerciseValue

- Defined in ql/models/marketmodels/callability/bermudanswaptionexercisevalue.ts:15
Parameters
- rateTimes: Time[]
- payoffs: Payoff[]
Returns BermudanSwaptionExerciseValue

Properties

Private _cf

Private _currentIndex

_currentIndex: Size

Private _evolution

_evolution: EvolutionDescription

Private _numberOfExercises

_numberOfExercises: Size

Private _payoffs

_payoffs: Payoff[]

Private _rateTimes

_rateTimes: Time[]

Methods

clone

clone(): MarketModelExerciseValue

Overrides MarketModelExerciseValue.clone
- Defined in ql/models/marketmodels/callability/bermudanswaptionexercisevalue.ts:69
Returns MarketModelExerciseValue

evolution

evolution(): EvolutionDescription

Overrides MarketModelExerciseValue.evolution
- Defined in ql/models/marketmodels/callability/bermudanswaptionexercisevalue.ts:36
Returns EvolutionDescription

isExerciseTime

isExerciseTime(): boolean[]

Overrides MarketModelExerciseValue.isExerciseTime
- Defined in ql/models/marketmodels/callability/bermudanswaptionexercisevalue.ts:61
Returns boolean[]

nextStep

nextStep(state: CurveState): void

Overrides MarketModelExerciseValue.nextStep
- Defined in ql/models/marketmodels/callability/bermudanswaptionexercisevalue.ts:48
Parameters
- state: CurveState
Returns void

numberOfExercises

numberOfExercises(): Size

Overrides MarketModelExerciseValue.numberOfExercises
- Defined in ql/models/marketmodels/callability/bermudanswaptionexercisevalue.ts:32
Returns Size

possibleCashFlowTimes

possibleCashFlowTimes(): Time[]

Overrides MarketModelExerciseValue.possibleCashFlowTimes
- Defined in ql/models/marketmodels/callability/bermudanswaptionexercisevalue.ts:40
Returns Time[]

reset

reset(): void

Overrides MarketModelExerciseValue.reset
- Defined in ql/models/marketmodels/callability/bermudanswaptionexercisevalue.ts:44
Returns void

value

value(cs: CurveState): CashFlow

Overrides MarketModelExerciseValue.value
- Defined in ql/models/marketmodels/callability/bermudanswaptionexercisevalue.ts:65
Parameters
- cs: CurveState
Returns CashFlow