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Predictor-Corrector

Hierarchy

Index

Constructors

constructor

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

currentState

currentStep

  • currentStep(): Size

numeraires

  • numeraires(): Size[]

Private setCMSwapRates

  • setCMSwapRates(swapRates: Real[]): void
  • Parameters

    Returns void

setInitialState

startNewPath

  • startNewPath(): Real