Class LogNormalCmSwapRatePc

Predictor-Corrector

Hierarchy

MarketModelEvolver
- LogNormalCmSwapRatePc

Index

Constructors

constructor

Methods

Constructors

constructor

new LogNormalCmSwapRatePc(spanningForwards: Size, marketModel: MarketModel, factory: BrownianGeneratorFactory, numeraires: Size[], initialStep?: Size): LogNormalCmSwapRatePc

- Defined in ql/models/marketmodels/evolvers/lognormalcmswapratepc.ts:17
Parameters
- spanningForwards: Size
- marketModel: MarketModel
- factory: BrownianGeneratorFactory
- numeraires: Size[]
- Default value initialStep: Size = 0
Returns LogNormalCmSwapRatePc

Properties

Private _alive

_alive: Size[]

Private _brownians

_brownians: Real[]

Private _calculators

_calculators: CMSMMDriftCalculator[]

_correlatedBrownians

_correlatedBrownians: Real[]

Private _currentStep

_currentStep: Size

Private _curveState

_curveState: CMSwapCurveState

Private _displacements

_displacements: Rate[]

Private _drifts1

_drifts1: Real[]

Private _drifts2

_drifts2: Real[]

Private _fixedDrifts

_fixedDrifts: Real[][]

Private _generator

_generator: BrownianGenerator

Private _initialDrifts

_initialDrifts: Real[]

Private _initialLogSwapRates

_initialLogSwapRates: Rate[]

Private _initialStep

_initialStep: Size

Private _logSwapRates

_logSwapRates: Rate[]

Private _marketModel

_marketModel: MarketModel

Private _numberOfFactors

_numberOfFactors: Size

Private _numberOfRates

_numberOfRates: Size

Private _numeraires

_numeraires: Size[]

Private _spanningForwards

_spanningForwards: Size

Private _swapRates

_swapRates: Rate[]

Methods

advanceStep

advanceStep(): Real

Overrides MarketModelEvolver.advanceStep
- Defined in ql/models/marketmodels/evolvers/lognormalcmswapratepc.ts:79
Returns Real

currentState

currentState(): CurveState

Overrides MarketModelEvolver.currentState
- Defined in ql/models/marketmodels/evolvers/lognormalcmswapratepc.ts:131
Returns CurveState

currentStep

currentStep(): Size

Overrides MarketModelEvolver.currentStep
- Defined in ql/models/marketmodels/evolvers/lognormalcmswapratepc.ts:127
Returns Size

numeraires

numeraires(): Size[]

Overrides MarketModelEvolver.numeraires
- Defined in ql/models/marketmodels/evolvers/lognormalcmswapratepc.ts:69
Returns Size[]

Private setCMSwapRates

setCMSwapRates(swapRates: Real[]): void

- Defined in ql/models/marketmodels/evolvers/lognormalcmswapratepc.ts:141
Parameters
- swapRates: Real[]
Returns void

setInitialState

setInitialState(cs: CurveState): void

Overrides MarketModelEvolver.setInitialState
- Defined in ql/models/marketmodels/evolvers/lognormalcmswapratepc.ts:135
Parameters
- cs: CurveState
Returns void

startNewPath

startNewPath(): Real

Overrides MarketModelEvolver.startNewPath
- Defined in ql/models/marketmodels/evolvers/lognormalcmswapratepc.ts:73
Returns Real