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Class FlatVolFactory

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Properties

Private _beta

_beta: Real

Private _displacement

_displacement: Spread

_isDisposed

_isDisposed: boolean = false

Private _longTermCorrelation

_longTermCorrelation: Real

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Private _times

_times: Time[]

Private _volatility

_volatility: Interpolation

Private _vols

_vols: Volatility[]

Private _yieldCurve

_yieldCurve: Handle<YieldTermStructure>

deepUpdate

deepUpdate: () => void

Type declaration

    • (): void

    • Returns void

dispose

dispose: () => void

Type declaration

    • (): void

    • Returns void

isDisposed

isDisposed: boolean

notifyObservers

notifyObservers: () => void

Type declaration

    • (): void

    • Returns void

registerObserver

registerObserver: (o: Observer) => void

Type declaration

registerWith

registerWith: (h: Observable) => void

Type declaration

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

unregisterWithAll

unregisterWithAll: () => void

Type declaration

    • (): void

    • Returns void

Methods

create

update

  • update(): void