Class SquareRootAndersen

Hierarchy

MarketModelVolProcess
- SquareRootAndersen

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new SquareRootAndersen(meanLevel: Real, reversionSpeed: Real, volVar: Real, v0: Real, evolutionTimes: Real[], numberSubSteps: Size, w1: Real, w2: Real, cutPoint?: Real): SquareRootAndersen

- Defined in ql/models/marketmodels/evolvers/volprocesses/squarerootandersen.ts:9
Parameters
- meanLevel: Real
- reversionSpeed: Real
- volVar: Real
- v0: Real
- evolutionTimes: Real[]
- numberSubSteps: Size
- w1: Real
- w2: Real
- Default value cutPoint: Real = 1.5
Returns SquareRootAndersen

Properties

Private _PsiC

_PsiC: Real

Private _currentStep

_currentStep: Size

Private _dt

_dt: Real[]

Private _eMinuskDt

_eMinuskDt: Real[]

Private _epsilon

_epsilon: Real

Private _k

_k: Real

Private _numberSubSteps

_numberSubSteps: Size

Private _state

_state: Real[]

Private _subStep

_subStep: Size

Private _theta

_theta: Real

Private _v

_v: Real

Private _v0

_v0: Real

Private _vPath

_vPath: Real[]

Private _w1

_w1: Real

Private _w2

_w2: Real

Methods

Private DoOneSubStep

DoOneSubStep(byref: byRef, z: Real, j: Size): void

- Defined in ql/models/marketmodels/evolvers/volprocesses/squarerootandersen.ts:103
Parameters
- byref: byRef
- z: Real
- j: Size
Returns void

nextPath

nextPath(): void

Overrides MarketModelVolProcess.nextPath
- Defined in ql/models/marketmodels/evolvers/volprocesses/squarerootandersen.ts:60
Returns void

nextstep

nextstep(variates: Real[]): Real

Overrides MarketModelVolProcess.nextstep
- Defined in ql/models/marketmodels/evolvers/volprocesses/squarerootandersen.ts:66
Parameters
- variates: Real[]
Returns Real

numberStateVariables

numberStateVariables(): Size

Overrides MarketModelVolProcess.numberStateVariables
- Defined in ql/models/marketmodels/evolvers/volprocesses/squarerootandersen.ts:99
Returns Size

numberSteps

numberSteps(): Size

Overrides MarketModelVolProcess.numberSteps
- Defined in ql/models/marketmodels/evolvers/volprocesses/squarerootandersen.ts:56
Returns Size

stateVariables

stateVariables(): Real[]

Overrides MarketModelVolProcess.stateVariables
- Defined in ql/models/marketmodels/evolvers/volprocesses/squarerootandersen.ts:94
Returns Real[]

stepSd

stepSd(): Real

Overrides MarketModelVolProcess.stepSd
- Defined in ql/models/marketmodels/evolvers/volprocesses/squarerootandersen.ts:78
Returns Real

variatesPerStep

variatesPerStep(): Size

Overrides MarketModelVolProcess.variatesPerStep
- Defined in ql/models/marketmodels/evolvers/volprocesses/squarerootandersen.ts:52
Returns Size