Class DecoratedHedge

Hierarchy

CallSpecifiedMultiProduct
- DecoratedHedge

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new DecoratedHedge(product: CallSpecifiedMultiProduct): DecoratedHedge

Overrides CallSpecifiedMultiProduct.constructor
- Defined in ql/models/marketmodels/callability/upperboundengine.ts:266
Parameters
- product: CallSpecifiedMultiProduct
Returns DecoratedHedge

Properties

Private _cashFlowsGenerated

_cashFlowsGenerated: CashFlow[][]

Private _lastSavedStep

_lastSavedStep: Size

Private _numberCashFlowsThisStep

_numberCashFlowsThisStep: Size[]

_rebate

_rebate: MarketModelMultiProduct

Private _recording

_recording: boolean

Private _savedStates

_savedStates: CurveState[]

_strategy

_strategy: ExerciseStrategy

_underlying

_underlying: MarketModelMultiProduct

Methods

clear

clear(): void

- Defined in ql/models/marketmodels/callability/upperboundengine.ts:309
Returns void

clone

clone(): MarketModelMultiProduct

Overrides CallSpecifiedMultiProduct.clone
- Defined in ql/models/marketmodels/callability/upperboundengine.ts:323
Returns MarketModelMultiProduct

disableCallability

disableCallability(): void

Inherited from CallSpecifiedMultiProduct.disableCallability
- Defined in ql/models/marketmodels/products/multistep/callspecifiedmultiproduct.ts:174
Returns void

enableCallability

enableCallability(): void

Inherited from CallSpecifiedMultiProduct.enableCallability
- Defined in ql/models/marketmodels/products/multistep/callspecifiedmultiproduct.ts:170
Returns void

evolution

evolution(): EvolutionDescription

Inherited from CallSpecifiedMultiProduct.evolution

Overrides MarketModelMultiProduct.evolution
- Defined in ql/models/marketmodels/products/multistep/callspecifiedmultiproduct.ts:81
Returns EvolutionDescription

maxNumberOfCashFlowsPerProductPerStep

maxNumberOfCashFlowsPerProductPerStep(): Size

Inherited from CallSpecifiedMultiProduct.maxNumberOfCashFlowsPerProductPerStep

Overrides MarketModelMultiProduct.maxNumberOfCashFlowsPerProductPerStep
- Defined in ql/models/marketmodels/products/multistep/callspecifiedmultiproduct.ts:93
Returns Size

nextTimeStep

nextTimeStep(currentState: CurveState, numberCashFlowsThisStep: Size[], cashFlowsGenerated: CashFlow[][]): boolean

Overrides CallSpecifiedMultiProduct.nextTimeStep
- Defined in ql/models/marketmodels/callability/upperboundengine.ts:295
Parameters
- currentState: CurveState
- numberCashFlowsThisStep: Size[]
- cashFlowsGenerated: CashFlow[][]
Returns boolean

numberOfProducts

numberOfProducts(): Size

Inherited from CallSpecifiedMultiProduct.numberOfProducts

Overrides MarketModelMultiProduct.numberOfProducts
- Defined in ql/models/marketmodels/products/multistep/callspecifiedmultiproduct.ts:89
Returns Size

possibleCashFlowTimes

possibleCashFlowTimes(): Time[]

Inherited from CallSpecifiedMultiProduct.possibleCashFlowTimes

Overrides MarketModelMultiProduct.possibleCashFlowTimes
- Defined in ql/models/marketmodels/products/multistep/callspecifiedmultiproduct.ts:85
Returns Time[]

rebate

rebate(): MarketModelMultiProduct

Inherited from CallSpecifiedMultiProduct.rebate
- Defined in ql/models/marketmodels/products/multistep/callspecifiedmultiproduct.ts:166
Returns MarketModelMultiProduct

reset

reset(): void

Overrides CallSpecifiedMultiProduct.reset
- Defined in ql/models/marketmodels/callability/upperboundengine.ts:284
Returns void

save

save(): void

- Defined in ql/models/marketmodels/callability/upperboundengine.ts:305
Returns void

startRecording

startRecording(): void

- Defined in ql/models/marketmodels/callability/upperboundengine.ts:315
Returns void

stopRecording

stopRecording(): void

- Defined in ql/models/marketmodels/callability/upperboundengine.ts:319
Returns void

strategy

strategy(): ExerciseStrategy

Inherited from CallSpecifiedMultiProduct.strategy
- Defined in ql/models/marketmodels/products/multistep/callspecifiedmultiproduct.ts:162
Returns ExerciseStrategy

suggestedNumeraires

suggestedNumeraires(): Size[]

Inherited from CallSpecifiedMultiProduct.suggestedNumeraires

Overrides MarketModelMultiProduct.suggestedNumeraires
- Defined in ql/models/marketmodels/products/multistep/callspecifiedmultiproduct.ts:77
Returns Size[]

underlying

underlying(): MarketModelMultiProduct

Inherited from CallSpecifiedMultiProduct.underlying
- Defined in ql/models/marketmodels/products/multistep/callspecifiedmultiproduct.ts:158
Returns MarketModelMultiProduct