Class SwapForwardBasisSystem

Hierarchy

MarketModelBasisSystem
- SwapForwardBasisSystem

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new SwapForwardBasisSystem(rateTimes: Time[], exerciseTimes: Time[]): SwapForwardBasisSystem

- Defined in ql/models/marketmodels/callability/swapforwardbasissystem.ts:12
Parameters
- rateTimes: Time[]
- exerciseTimes: Time[]
Returns SwapForwardBasisSystem

Properties

Private _currentIndex

_currentIndex: Size

Private _evolution

_evolution: EvolutionDescription

Private _exerciseTimes

_exerciseTimes: Time[]

Private _rateIndex

_rateIndex: Size[]

Private _rateTimes

_rateTimes: Time[]

Methods

clone

clone(): MarketModelBasisSystem

- Defined in ql/models/marketmodels/callability/swapforwardbasissystem.ts:102
Returns MarketModelBasisSystem

evolution

evolution(): EvolutionDescription

Overrides MarketModelNodeDataProvider.evolution
- Defined in ql/models/marketmodels/callability/swapforwardbasissystem.ts:46
Returns EvolutionDescription

isExerciseTime

isExerciseTime(): boolean[]

Overrides MarketModelNodeDataProvider.isExerciseTime
- Defined in ql/models/marketmodels/callability/swapforwardbasissystem.ts:58
Returns boolean[]

nextStep

nextStep(cs: CurveState): void

Overrides MarketModelNodeDataProvider.nextStep
- Defined in ql/models/marketmodels/callability/swapforwardbasissystem.ts:50
Parameters
- cs: CurveState
Returns void

numberOfData

numberOfData(): Size[]

Inherited from MarketModelBasisSystem.numberOfData

Overrides MarketModelNodeDataProvider.numberOfData
- Defined in ql/models/marketmodels/callability/marketmodelbasissystem.ts:14
Returns Size[]

numberOfExercises

numberOfExercises(): Size

Overrides MarketModelNodeDataProvider.numberOfExercises
- Defined in ql/models/marketmodels/callability/swapforwardbasissystem.ts:29
Returns Size

numberOfFunctions

numberOfFunctions(): Size[]

Overrides MarketModelBasisSystem.numberOfFunctions
- Defined in ql/models/marketmodels/callability/swapforwardbasissystem.ts:33
Returns Size[]

reset

reset(): void

Overrides MarketModelNodeDataProvider.reset
- Defined in ql/models/marketmodels/callability/swapforwardbasissystem.ts:54
Returns void

values

values(currentState: CurveState, results: Real[]): void

Overrides MarketModelNodeDataProvider.values
- Defined in ql/models/marketmodels/callability/swapforwardbasissystem.ts:62
Parameters
- currentState: CurveState
- results: Real[]
Returns void