Class HistoricalForwardRatesAnalysisImpl

Hierarchy

HistoricalForwardRatesAnalysis
- HistoricalForwardRatesAnalysisImpl

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new HistoricalForwardRatesAnalysisImpl(traits: Traits, i: Interpolator, stats: SequenceStatistics, startDate: Date, endDate: Date, step: Period, fwdIndex: InterestRateIndex, initialGap: Period, horizon: Period, iborIndexes: IborIndex[], swapIndexes: SwapIndex[], yieldCurveDayCounter: DayCounter, yieldCurveAccuracy: Real): HistoricalForwardRatesAnalysisImpl

- Defined in ql/models/marketmodels/historicalforwardratesanalysis.ts:180
Parameters
- traits: Traits
- i: Interpolator
- stats: SequenceStatistics
- startDate: Date
- endDate: Date
- step: Period
- fwdIndex: InterestRateIndex
- initialGap: Period
- horizon: Period
- iborIndexes: IborIndex[]
- swapIndexes: SwapIndex[]
- yieldCurveDayCounter: DayCounter
- yieldCurveAccuracy: Real
Returns HistoricalForwardRatesAnalysisImpl

Properties

Private _failedDates

_failedDates: Date[]

Private _failedDatesErrorMessage

_failedDatesErrorMessage: string[]

Private _fixingPeriods

_fixingPeriods: Period[]

Private _skippedDates

_skippedDates: Date[]

Private _skippedDatesErrorMessage

_skippedDatesErrorMessage: string[]

Private _stats

_stats: SequenceStatistics

Methods

failedDates

failedDates(): Date[]

Overrides HistoricalForwardRatesAnalysis.failedDates
- Defined in ql/models/marketmodels/historicalforwardratesanalysis.ts:209
Returns Date[]

failedDatesErrorMessage

failedDatesErrorMessage(): string[]

Overrides HistoricalForwardRatesAnalysis.failedDatesErrorMessage
- Defined in ql/models/marketmodels/historicalforwardratesanalysis.ts:213
Returns string[]

fixingPeriods

fixingPeriods(): Period[]

Overrides HistoricalForwardRatesAnalysis.fixingPeriods
- Defined in ql/models/marketmodels/historicalforwardratesanalysis.ts:197
Returns Period[]

skippedDates

skippedDates(): Date[]

Overrides HistoricalForwardRatesAnalysis.skippedDates
- Defined in ql/models/marketmodels/historicalforwardratesanalysis.ts:201
Returns Date[]

skippedDatesErrorMessage

skippedDatesErrorMessage(): string[]

Overrides HistoricalForwardRatesAnalysis.skippedDatesErrorMessage
- Defined in ql/models/marketmodels/historicalforwardratesanalysis.ts:205
Returns string[]