Class SwapRateTrigger

Hierarchy

ExerciseStrategy
- SwapRateTrigger

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new SwapRateTrigger(rateTimes: Time[], swapTriggers: Rate[], exerciseTimes: Time[]): SwapRateTrigger

- Defined in ql/models/marketmodels/callability/swapratetrigger.ts:10
Parameters
- rateTimes: Time[]
- swapTriggers: Rate[]
- exerciseTimes: Time[]
Returns SwapRateTrigger

Properties

Private _currentIndex

_currentIndex: Size

Private _exerciseTimes

_exerciseTimes: Time[]

Private _rateIndex

_rateIndex: Size[]

Private _rateTimes

_rateTimes: Time[]

Private _swapTriggers

_swapTriggers: Rate[]

Methods

clone

clone(): ExerciseStrategy

Overrides ExerciseStrategy.clone
- Defined in ql/models/marketmodels/callability/swapratetrigger.ts:59
Returns ExerciseStrategy

exercise

exercise(currentState: CurveState): boolean

Overrides ExerciseStrategy.exercise
- Defined in ql/models/marketmodels/callability/swapratetrigger.ts:49
Parameters
- currentState: CurveState
Returns boolean

exerciseTimes

exerciseTimes(): Time[]

Overrides ExerciseStrategy.exerciseTimes
- Defined in ql/models/marketmodels/callability/swapratetrigger.ts:37
Returns Time[]

nextStep

nextStep(cs: CurveState): void

Overrides ExerciseStrategy.nextStep
- Defined in ql/models/marketmodels/callability/swapratetrigger.ts:55
Parameters
- cs: CurveState
Returns void

relevantTimes

relevantTimes(): Time[]

Overrides ExerciseStrategy.relevantTimes
- Defined in ql/models/marketmodels/callability/swapratetrigger.ts:41
Returns Time[]

reset

reset(): void

Overrides ExerciseStrategy.reset
- Defined in ql/models/marketmodels/callability/swapratetrigger.ts:45
Returns void