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Class SVDDFwdRatePc

Displaced diffusion LMM with uncorrelated vol process. Called "Shifted BGM" with Heston vol by Brac in "Engineering BGM." Vol process is an external input.

Hierarchy

Index

Constructors

Properties

Methods

Constructors

constructor

Properties

Private _alive

_alive: Size[]

Private _allBrownians

_allBrownians: Real[]

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 _drifts2

_drifts2: Real[]

Private _firstVolatilityFactor

_firstVolatilityFactor: 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 _isVolVariate

_isVolVariate: boolean[]

Private _logForwards

_logForwards: Rate[]

Private _marketModel

_marketModel: MarketModel

Private _numberOfFactors

_numberOfFactors: Size

Private _numberOfRates

_numberOfRates: Size

Private _numeraires

_numeraires: Size[]

Private _volBrownians

_volBrownians: Real[]

Private _volFactorsPerStep

_volFactorsPerStep: Size

Private _volProcess

_volProcess: MarketModelVolProcess

Methods

advanceStep

  • advanceStep(): Real

currentState

currentStep

  • currentStep(): Real

numeraires

  • numeraires(): Size[]

Private setForwards

  • setForwards(forwards: Real[]): void

  • Parameters

    Returns void

setInitialState

startNewPath

  • startNewPath(): Real