Class CotSwapToFwdAdapter

Hierarchy

MarketModel
- CotSwapToFwdAdapter

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new CotSwapToFwdAdapter(ctModel: MarketModel): CotSwapToFwdAdapter

- Defined in ql/models/marketmodels/models/cotswaptofwdadapter.ts:14
Parameters
- ctModel: MarketModel
Returns CotSwapToFwdAdapter

Properties

Private _coterminalModel

_coterminalModel: MarketModel

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/cotswaptofwdadapter.ts:72
Returns Spread[]

evolution

evolution(): EvolutionDescription

Overrides MarketModel.evolution
- Defined in ql/models/marketmodels/models/cotswaptofwdadapter.ts:75
Returns EvolutionDescription

initialRates

initialRates(): Rate[]

Overrides MarketModel.initialRates
- Defined in ql/models/marketmodels/models/cotswaptofwdadapter.ts:69
Returns Rate[]

numberOfFactors

numberOfFactors(): Size

Overrides MarketModel.numberOfFactors
- Defined in ql/models/marketmodels/models/cotswaptofwdadapter.ts:81
Returns Size

numberOfRates

numberOfRates(): Size

Overrides MarketModel.numberOfRates
- Defined in ql/models/marketmodels/models/cotswaptofwdadapter.ts:78
Returns Size

numberOfSteps

numberOfSteps(): Size

Overrides MarketModel.numberOfSteps
- Defined in ql/models/marketmodels/models/cotswaptofwdadapter.ts:84
Returns Size

pseudoRoot

pseudoRoot(i: Size): Matrix

Overrides MarketModel.pseudoRoot
- Defined in ql/models/marketmodels/models/cotswaptofwdadapter.ts:87
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