LogNormalFwdRateEulerConstrained

Hierarchy

ConstrainedEvolver
- LogNormalFwdRateEulerConstrained

Index

Constructors

constructor

Methods

Constructors

constructor

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

- Defined in ql/models/marketmodels/evolvers/lognormalfwdrateeulerconstrained.ts:19
Parameters
- marketModel: MarketModel
- factory: BrownianGeneratorFactory
- numeraires: Size[]
- Default value initialStep: Size = 0
Returns LogNormalFwdRateEulerConstrained

Properties

Private _alive

_alive: Size[]

Private _brownians

_brownians: Real[]

Private _calculators

_calculators: LMMDriftCalculator[]

Private _covariances

_covariances: Real[][]

Private _currentStep

_currentStep: Size

Private _curveState

_curveState: LMMCurveState

Private _displacements

_displacements: Rate[]

Private _drifts1

_drifts1: Real[]

Private _endIndexOfSwapRate

_endIndexOfSwapRate: Size[]

Private _fixedDrifts

_fixedDrifts: Real[][]

Private _forwards

_forwards: Rate[]

Private _generator

_generator: BrownianGenerator

Private _initialDrifts

_initialDrifts: Real[]

Private _initialLogForwards

_initialLogForwards: Rate[]

Private _initialStep

_initialStep: Size

Private _isConstraintActive

_isConstraintActive: boolean[]

Private _logForwards

_logForwards: Rate[]

Private _marketModel

_marketModel: MarketModel

Private _numberOfFactors

_numberOfFactors: Size

Private _numberOfRates

_numberOfRates: Size

Private _numeraires

_numeraires: Size[]

Private _rateConstraints

_rateConstraints: Rate[]

Private _startIndexOfSwapRate

_startIndexOfSwapRate: Size[]

Private _variances

_variances: Real[][]

Methods

advanceStep

advanceStep(): Real

Overrides MarketModelEvolver.advanceStep
- Defined in ql/models/marketmodels/evolvers/lognormalfwdrateeulerconstrained.ts:139
Returns Real

currentState

currentState(): CurveState

Overrides MarketModelEvolver.currentState
- Defined in ql/models/marketmodels/evolvers/lognormalfwdrateeulerconstrained.ts:218
Returns CurveState

currentStep

currentStep(): Real

Overrides MarketModelEvolver.currentStep
- Defined in ql/models/marketmodels/evolvers/lognormalfwdrateeulerconstrained.ts:214
Returns Real

numeraires

numeraires(): Size[]

Overrides MarketModelEvolver.numeraires
- Defined in ql/models/marketmodels/evolvers/lognormalfwdrateeulerconstrained.ts:126
Returns Size[]

setConstraintType

setConstraintType(startIndexOfSwapRate: Size[], EndIndexOfSwapRate: Size[]): void

Inherited from ConstrainedEvolver.setConstraintType
- Defined in ql/models/marketmodels/constrainedevolver.ts:24
Parameters
- startIndexOfSwapRate: Size[]
- EndIndexOfSwapRate: Size[]
Returns void

setConstraintType1

setConstraintType1(startIndexOfSwapRate: Size[], endIndexOfSwapRate: Size[]): void

- Defined in ql/models/marketmodels/evolvers/lognormalfwdrateeulerconstrained.ts:70
Parameters
- startIndexOfSwapRate: Size[]
- endIndexOfSwapRate: Size[]
Returns void

setConstraintType2

setConstraintType2(rateConstraints: Rate[], isConstraintActive: boolean[]): void

- Defined in ql/models/marketmodels/evolvers/lognormalfwdrateeulerconstrained.ts:106
Parameters
- rateConstraints: Rate[]
- isConstraintActive: boolean[]
Returns void

Private setForwards

setForwards(forwards: Real[]): void

- Defined in ql/models/marketmodels/evolvers/lognormalfwdrateeulerconstrained.ts:226
Parameters
- forwards: Real[]
Returns void

setInitialState

setInitialState(cs: CurveState): void

Overrides MarketModelEvolver.setInitialState
- Defined in ql/models/marketmodels/evolvers/lognormalfwdrateeulerconstrained.ts:222
Parameters
- cs: CurveState
Returns void

setThisConstraint

setThisConstraint(rateConstraints: Rate[], isConstraintActive: boolean[]): void

Inherited from ConstrainedEvolver.setThisConstraint
- Defined in ql/models/marketmodels/constrainedevolver.ts:29
Parameters
- rateConstraints: Rate[]
- isConstraintActive: boolean[]
Returns void

startNewPath

startNewPath(): Real

Overrides MarketModelEvolver.startNewPath
- Defined in ql/models/marketmodels/evolvers/lognormalfwdrateeulerconstrained.ts:130
Returns Real

Hierarchy

Index

Constructors

Properties

Methods

Constructors

constructor

Parameters

marketModel: MarketModel

factory: BrownianGeneratorFactory

numeraires: Size[]

Default value initialStep: Size = 0

Returns LogNormalFwdRateEulerConstrained

Properties

Private _alive

Private _brownians

Private _calculators

Private _covariances

Private _currentStep

Private _curveState

Private _displacements

Private _drifts1

Private _endIndexOfSwapRate

Private _fixedDrifts

Private _forwards

Private _generator

Private _initialDrifts

Private _initialLogForwards

Private _initialStep

Private _isConstraintActive

Private _logForwards

Private _marketModel

Private _numberOfFactors

Private _numberOfRates

Private _numeraires

Private _rateConstraints

Private _startIndexOfSwapRate

Private _variances

Methods

advanceStep

Returns Real

currentState

Returns CurveState

currentStep

Returns Real

numeraires

Returns Size[]

setConstraintType

Parameters

startIndexOfSwapRate: Size[]

EndIndexOfSwapRate: Size[]

Returns void

setConstraintType1

Parameters

startIndexOfSwapRate: Size[]

endIndexOfSwapRate: Size[]

Returns void

setConstraintType2

Parameters

rateConstraints: Rate[]

isConstraintActive: boolean[]

Returns void

Private setForwards

Parameters

forwards: Real[]

Returns void

setInitialState

Parameters

cs: CurveState

Returns void

setThisConstraint

Parameters

rateConstraints: Rate[]

isConstraintActive: boolean[]

Returns void

startNewPath

Returns Real