Class TriggeredSwapExercise

Hierarchy

MarketModelParametricExercise
- TriggeredSwapExercise

Implements

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new TriggeredSwapExercise(rateTimes: Time[], exerciseTimes: Time[], strikes: Rate[]): TriggeredSwapExercise

- Defined in ql/models/marketmodels/callability/triggeredswapexercise.ts:12
Parameters
- rateTimes: Time[]
- exerciseTimes: Time[]
- strikes: Rate[]
Returns TriggeredSwapExercise

Properties

Private _currentStep

_currentStep: Size

Private _evolution

_evolution: EvolutionDescription

Private _exerciseTimes

_exerciseTimes: Time[]

Private _rateIndex

_rateIndex: Size[]

_rateTimes

_rateTimes: Time[]

Private _strikes

_strikes: Rate[]

Methods

clone

clone(): MarketModelParametricExercise

Inherited from MarketModelParametricExercise.clone
- Defined in ql/models/marketmodels/callability/marketmodelparametricexercise.ts:15
Returns MarketModelParametricExercise

evolution

evolution(): EvolutionDescription

Overrides MarketModelNodeDataProviderParametricExercise.evolution
- Defined in ql/models/marketmodels/callability/triggeredswapexercise.ts:35
Returns EvolutionDescription

exercise

exercise(exerciseNumber: Size, parameters: Real[], variables: Real[]): boolean

Overrides MarketModelNodeDataProviderParametricExercise.exercise
- Defined in ql/models/marketmodels/callability/triggeredswapexercise.ts:66
Parameters
- exerciseNumber: Size
- parameters: Real[]
- variables: Real[]
Returns boolean

guess

guess(exerciseIndex: Size, parameters: Real[]): void

Overrides MarketModelNodeDataProviderParametricExercise.guess
- Defined in ql/models/marketmodels/callability/triggeredswapexercise.ts:71
Parameters
- exerciseIndex: Size
- parameters: Real[]
Returns void

isExerciseTime

isExerciseTime(): boolean[]

Overrides MarketModelNodeDataProviderParametricExercise.isExerciseTime
- Defined in ql/models/marketmodels/callability/triggeredswapexercise.ts:47
Returns boolean[]

nextStep

nextStep(cs: CurveState): void

Overrides MarketModelNodeDataProviderParametricExercise.nextStep
- Defined in ql/models/marketmodels/callability/triggeredswapexercise.ts:39
Parameters
- cs: CurveState
Returns void

numberOfData

numberOfData(): Size[]

Inherited from MarketModelParametricExercise.numberOfData

Overrides MarketModelNodeDataProviderParametricExercise.numberOfData
- Defined in ql/models/marketmodels/callability/marketmodelparametricexercise.ts:11
Returns Size[]

numberOfExercises

numberOfExercises(): Size

Overrides MarketModelNodeDataProviderParametricExercise.numberOfExercises
- Defined in ql/models/marketmodels/callability/triggeredswapexercise.ts:31
Returns Size

numberOfParameters

numberOfParameters(): Size[]

Overrides MarketModelNodeDataProviderParametricExercise.numberOfParameters
- Defined in ql/models/marketmodels/callability/triggeredswapexercise.ts:62
Returns Size[]

numberOfVariables

numberOfVariables(): Size[]

Overrides MarketModelNodeDataProviderParametricExercise.numberOfVariables
- Defined in ql/models/marketmodels/callability/triggeredswapexercise.ts:58
Returns Size[]

reset

reset(): void

Overrides MarketModelNodeDataProviderParametricExercise.reset
- Defined in ql/models/marketmodels/callability/triggeredswapexercise.ts:43
Returns void

values

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

Overrides MarketModelNodeDataProviderParametricExercise.values
- Defined in ql/models/marketmodels/callability/triggeredswapexercise.ts:51
Parameters
- state: CurveState
- results: Real[]
Returns void