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Hierarchy

Index

Constructors

constructor

Properties

Private _fwdModel

_fwdModel: MarketModel

Private _initialRates

_initialRates: Rate[]

Private _numberOfFactors

_numberOfFactors: Size

Private _numberOfRates

_numberOfRates: Size

Private _numberOfSteps

_numberOfSteps: Size

Private _pseudoRoots

_pseudoRoots: Matrix[]

Methods

covariance

displacements

evolution

initialRates

  • initialRates(): Rate[]

numberOfFactors

  • numberOfFactors(): Size

numberOfRates

  • numberOfRates(): Size

numberOfSteps

  • numberOfSteps(): Size

pseudoRoot

timeDependentVolatility

totalCovariance