Class LogNormalFwdRateIpc

Hierarchy

MarketModelEvolver
- LogNormalFwdRateIpc

Index

Constructors

constructor

Methods

Constructors

constructor

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

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

Properties

Private _alive

_alive: Size[]

Private _brownians

_brownians: Real[]

Private _calculators

_calculators: LMMDriftCalculator[]

Private _currentStep

_currentStep: Size

Private _curveState

_curveState: LMMCurveState

Private _displacements

_displacements: Rate[]

Private _drifts1

_drifts1: Real[]

Private _fixedDrifts

_fixedDrifts: Real[][]

Private _forwards

_forwards: Rate[]

Private _g

_g: Real[]

Private _generator

_generator: BrownianGenerator

Private _initialDrifts

_initialDrifts: Real[]

Private _initialLogForwards

_initialLogForwards: Rate[]

Private _initialStep

_initialStep: Size

Private _logForwards

_logForwards: Rate[]

Private _marketModel

_marketModel: MarketModel

Private _numberOfFactors

_numberOfFactors: Size

Private _numberOfRates

_numberOfRates: Size

Private _numeraires

_numeraires: Size[]

Private _rateTaus

_rateTaus: Time[]

Methods

advanceStep

advanceStep(): Real

Overrides MarketModelEvolver.advanceStep
- Defined in ql/models/marketmodels/evolvers/lognormalfwdrateipc.ts:82
Returns Real

currentState

currentState(): CurveState

Overrides MarketModelEvolver.currentState
- Defined in ql/models/marketmodels/evolvers/lognormalfwdrateipc.ts:130
Returns CurveState

currentStep

currentStep(): Real

Overrides MarketModelEvolver.currentStep
- Defined in ql/models/marketmodels/evolvers/lognormalfwdrateipc.ts:126
Returns Real

numeraires

numeraires(): Size[]

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

Private setForwards

setForwards(forwards: Real[]): void

- Defined in ql/models/marketmodels/evolvers/lognormalfwdrateipc.ts:138
Parameters
- forwards: Real[]
Returns void

setInitialState

setInitialState(cs: CurveState): void

Overrides MarketModelEvolver.setInitialState
- Defined in ql/models/marketmodels/evolvers/lognormalfwdrateipc.ts:134
Parameters
- cs: CurveState
Returns void

startNewPath

startNewPath(): Real

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