Class AbcdVol

Hierarchy

MarketModel
- AbcdVol

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new AbcdVol(a: Real, b: Real, c: Real, d: Real, ks: Real[], corr: PiecewiseConstantCorrelation, evolution: EvolutionDescription, numberOfFactors: Size, initialRates: Rate[], displacements: Spread[]): AbcdVol

- Defined in ql/models/marketmodels/models/abcdvol.ts:13
Parameters
- a: Real
- b: Real
- c: Real
- d: Real
- ks: Real[]
- corr: PiecewiseConstantCorrelation
- evolution: EvolutionDescription
- numberOfFactors: Size
- initialRates: Rate[]
- displacements: Spread[]
Returns AbcdVol

Properties

Private _displacements

_displacements: Spread[]

Private _evolution

_evolution: EvolutionDescription

Private _initialRates

_initialRates: Rate[]

Private _numberOfFactors

_numberOfFactors: Size

Private _numberOfRates

_numberOfRates: Size

Private _numberOfSteps

_numberOfSteps: Size

Private _pseudoRoots

_pseudoRoots: Matrix[]

Methods

covariance

covariance(i: Size): Matrix

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

displacements

displacements(): Spread[]

Overrides MarketModel.displacements
- Defined in ql/models/marketmodels/models/abcdvol.ts:128
Returns Spread[]

evolution

evolution(): EvolutionDescription

Overrides MarketModel.evolution
- Defined in ql/models/marketmodels/models/abcdvol.ts:131
Returns EvolutionDescription

initialRates

initialRates(): Rate[]

Overrides MarketModel.initialRates
- Defined in ql/models/marketmodels/models/abcdvol.ts:125
Returns Rate[]

numberOfFactors

numberOfFactors(): Size

Overrides MarketModel.numberOfFactors
- Defined in ql/models/marketmodels/models/abcdvol.ts:137
Returns Size

numberOfRates

numberOfRates(): Size

Overrides MarketModel.numberOfRates
- Defined in ql/models/marketmodels/models/abcdvol.ts:134
Returns Size

numberOfSteps

numberOfSteps(): Size

Overrides MarketModel.numberOfSteps
- Defined in ql/models/marketmodels/models/abcdvol.ts:140
Returns Size

pseudoRoot

pseudoRoot(i: Size): Matrix

Overrides MarketModel.pseudoRoot
- Defined in ql/models/marketmodels/models/abcdvol.ts:144
Parameters
- i: Size
Returns Matrix

timeDependentVolatility

timeDependentVolatility(i: Size): Volatility[]

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

totalCovariance

totalCovariance(endIndex: Size): Matrix

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