Class TimeHomogeneousForwardCorrelation

Hierarchy

PiecewiseConstantCorrelation
- TimeHomogeneousForwardCorrelation

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new TimeHomogeneousForwardCorrelation(fwdCorrelation: Matrix, rateTimes: Time[]): TimeHomogeneousForwardCorrelation

- Defined in ql/models/marketmodels/correlations/timehomogeneousforwardcorrelation.ts:11
Parameters
- fwdCorrelation: Matrix
- rateTimes: Time[]
Returns TimeHomogeneousForwardCorrelation

Properties

Private _correlations

_correlations: Matrix[]

Private _fwdCorrelation

_fwdCorrelation: Matrix

Private _numberOfRates

_numberOfRates: Size

Private _rateTimes

_rateTimes: Time[]

Private _times

_times: Time[]

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/timehomogeneousforwardcorrelation.ts:45
Returns Matrix[]

numberOfRates

numberOfRates(): Size

Overrides PiecewiseConstantCorrelation.numberOfRates
- Defined in ql/models/marketmodels/correlations/timehomogeneousforwardcorrelation.ts:48
Returns Size

rateTimes

rateTimes(): Time[]

Overrides PiecewiseConstantCorrelation.rateTimes
- Defined in ql/models/marketmodels/correlations/timehomogeneousforwardcorrelation.ts:42
Returns Time[]

times

times(): Time[]

Overrides PiecewiseConstantCorrelation.times
- Defined in ql/models/marketmodels/correlations/timehomogeneousforwardcorrelation.ts:39
Returns Time[]

Static evolvedMatrices

evolvedMatrices(fwdCorrelation: Matrix): Matrix[]

- Defined in ql/models/marketmodels/correlations/timehomogeneousforwardcorrelation.ts:52
Parameters
- fwdCorrelation: Matrix
Returns Matrix[]