Class MarketModel

base class for market models

For each time step, generates the pseudo-square root of the covariance matrix for that time step.

Hierarchy

MarketModel

Index

Properties

Methods

Properties

Private _covariance

_covariance: Matrix[]

Private _totalCovariance

_totalCovariance: Matrix[]

Methods

covariance

covariance(i: Size): Matrix

- Defined in ql/models/marketmodels/marketmodel.ts:42
Parameters
- i: Size
Returns Matrix

displacements

displacements(): Spread[]

- Defined in ql/models/marketmodels/marketmodel.ts:23
Returns Spread[]

evolution

evolution(): EvolutionDescription

- Defined in ql/models/marketmodels/marketmodel.ts:26
Returns EvolutionDescription

initialRates

initialRates(): Rate[]

- Defined in ql/models/marketmodels/marketmodel.ts:20
Returns Rate[]

numberOfFactors

numberOfFactors(): Size

- Defined in ql/models/marketmodels/marketmodel.ts:32
Returns Size

numberOfRates

numberOfRates(): Size

- Defined in ql/models/marketmodels/marketmodel.ts:29
Returns Size

numberOfSteps

numberOfSteps(): Size

- Defined in ql/models/marketmodels/marketmodel.ts:35
Returns Size

pseudoRoot

pseudoRoot(i: Size): Matrix

- Defined in ql/models/marketmodels/marketmodel.ts:38
Parameters
- i: Size
Returns Matrix

timeDependentVolatility

timeDependentVolatility(i: Size): Volatility[]

- Defined in ql/models/marketmodels/marketmodel.ts:77
Parameters
- i: Size
Returns Volatility[]

totalCovariance

totalCovariance(endIndex: Size): Matrix

- Defined in ql/models/marketmodels/marketmodel.ts:58
Parameters
- endIndex: Size
Returns Matrix