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Hierarchy

Index

Constructors

constructor

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

currentState

currentStep

  • currentStep(): Real

numeraires

  • numeraires(): Size[]

Private setForwards

  • setForwards(forwards: Real[]): void
  • Parameters

    Returns void

setInitialState

startNewPath

  • startNewPath(): Real