Class MarketModelDiscounter

Hierarchy

MarketModelDiscounter

Index

Constructors

constructor

Properties

Methods

numeraireBonds

Constructors

constructor

new MarketModelDiscounter(paymentTime: Time, rateTimes: Time[]): MarketModelDiscounter

- Defined in ql/models/marketmodels/discounter.ts:11
Parameters
- paymentTime: Time
- rateTimes: Time[]
Returns MarketModelDiscounter

Properties

Private _before

_before: Size

Private _beforeWeight

_beforeWeight: Real

Methods

numeraireBonds

numeraireBonds(curveState: CurveState, numeraire: Size): Real

- Defined in ql/models/marketmodels/discounter.ts:28
Parameters
- curveState: CurveState
- numeraire: Size
Returns Real