Class AlphaFinder

Hierarchy

AlphaFinder

Index

Constructors

constructor

new AlphaFinder(parametricform: AlphaForm): AlphaFinder

- Defined in ql/models/marketmodels/models/alphafinder.ts:11
Parameters
- parametricform: AlphaForm
Returns AlphaFinder

Properties

Private _constantPart

_constantPart: Real

Private _correlations

_correlations: Real[]

Private _linearPart

_linearPart: Real

Private _parametricform

_parametricform: AlphaForm

Private _putativevols

_putativevols: Volatility[]

Private _quadraticPart

_quadraticPart: Real

Private _rateonevols

_rateonevols: Volatility[]

Private _ratetwohomogeneousvols

_ratetwohomogeneousvols: Volatility[]

Private _stepindex

_stepindex: Integer

Private _targetVariance

_targetVariance: Real

Private _totalVar

_totalVar: Real

Private _w0

_w0: Real

Private _w1

_w1: Real

Methods

Private computeLinearPart

computeLinearPart(alpha: Real): Real

- Defined in ql/models/marketmodels/models/alphafinder.ts:220
Parameters
- alpha: Real
Returns Real

Private computeQuadraticPart

computeQuadraticPart(alpha: Real): Real

- Defined in ql/models/marketmodels/models/alphafinder.ts:234
Parameters
- alpha: Real
Returns Real

Private finalPart

finalPart(alphaFound: Real, stepindex: Integer, ratetwohomogeneousvols: Volatility[], quadraticPart: Real, linearPart: Real, constantPart: Real, byref: byRef, ratetwovols: Volatility[]): boolean

- Defined in ql/models/marketmodels/models/alphafinder.ts:276
Parameters
- alphaFound: Real
- stepindex: Integer
- ratetwohomogeneousvols: Volatility[]
- quadraticPart: Real
- linearPart: Real
- constantPart: Real
- byref: byRef
- ratetwovols: Volatility[]
Returns boolean

Private homogeneityfailure

homogeneityfailure(alpha: Real): Real

- Defined in ql/models/marketmodels/models/alphafinder.ts:312
Parameters
- alpha: Real
Returns Real

Private minusValueAtTurningPoint

minusValueAtTurningPoint(alpha: Real): Real

- Defined in ql/models/marketmodels/models/alphafinder.ts:258
Parameters
- alpha: Real
Returns Real

solve

solve(alpha0: Real, stepindex: Integer, rateonevols: Volatility[], ratetwohomogeneousvols: Volatility[], correlations: Real[], w0: Real, w1: Real, targetVariance: Real, tolerance: Real, alphaMax: Real, alphaMin: Real, steps: Integer, byref: byRef, ratetwovols: Volatility[]): boolean

- Defined in ql/models/marketmodels/models/alphafinder.ts:16
Parameters
- alpha0: Real
- stepindex: Integer
- rateonevols: Volatility[]
- ratetwohomogeneousvols: Volatility[]
- correlations: Real[]
- w0: Real
- w1: Real
- targetVariance: Real
- tolerance: Real
- alphaMax: Real
- alphaMin: Real
- steps: Integer
- byref: byRef
- ratetwovols: Volatility[]
Returns boolean

solveWithMaxHomogeneity

solveWithMaxHomogeneity(alpha0: Real, stepindex: Integer, rateonevols: Volatility[], ratetwohomogeneousvols: Volatility[], correlations: Real[], w0: Real, w1: Real, targetVariance: Real, tolerance: Real, alphaMax: Real, alphaMin: Real, steps: Integer, byref: byRef, ratetwovols: Volatility[]): boolean

- Defined in ql/models/marketmodels/models/alphafinder.ts:113
Parameters
- alpha0: Real
- stepindex: Integer
- rateonevols: Volatility[]
- ratetwohomogeneousvols: Volatility[]
- correlations: Real[]
- w0: Real
- w1: Real
- targetVariance: Real
- tolerance: Real
- alphaMax: Real
- alphaMin: Real
- steps: Integer
- byref: byRef
- ratetwovols: Volatility[]
Returns boolean

Private testIfSolutionExists

testIfSolutionExists(alpha: Real): boolean

- Defined in ql/models/marketmodels/models/alphafinder.ts:262
Parameters
- alpha: Real
Returns boolean

Private valueAtTurningPoint

valueAtTurningPoint(alpha: Real): Real

- Defined in ql/models/marketmodels/models/alphafinder.ts:248
Parameters
- alpha: Real
Returns Real