Class CotSwapFromFwdCorrelation

Hierarchy

PiecewiseConstantCorrelation
- CotSwapFromFwdCorrelation

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new CotSwapFromFwdCorrelation(fwdCorr: PiecewiseConstantCorrelation, curveState: CurveState, displacement: Spread): CotSwapFromFwdCorrelation

- Defined in ql/models/marketmodels/correlations/cotswapfromfwdcorrelation.ts:12
Parameters
- fwdCorr: PiecewiseConstantCorrelation
- curveState: CurveState
- displacement: Spread
Returns CotSwapFromFwdCorrelation

Properties

Private _fwdCorr

_fwdCorr: PiecewiseConstantCorrelation

Private _numberOfRates

_numberOfRates: Size

Private _swapCorrMatrices

_swapCorrMatrices: Matrix[]

Methods

correlation

correlation(i: Size): Matrix

Inherited from PiecewiseConstantCorrelation.correlation
- Defined in ql/models/marketmodels/piecewiseconstantcorrelation.ts:21
Parameters
- i: Size
Returns Matrix

correlations

correlations(): Matrix[]

Overrides PiecewiseConstantCorrelation.correlations
- Defined in ql/models/marketmodels/correlations/cotswapfromfwdcorrelation.ts:59
Returns Matrix[]

numberOfRates

numberOfRates(): Size

Overrides PiecewiseConstantCorrelation.numberOfRates
- Defined in ql/models/marketmodels/correlations/cotswapfromfwdcorrelation.ts:63
Returns Size

rateTimes

rateTimes(): Time[]

Overrides PiecewiseConstantCorrelation.rateTimes
- Defined in ql/models/marketmodels/correlations/cotswapfromfwdcorrelation.ts:55
Returns Time[]

times

times(): Time[]

Overrides PiecewiseConstantCorrelation.times
- Defined in ql/models/marketmodels/correlations/cotswapfromfwdcorrelation.ts:51
Returns Time[]