Class PiecewiseConstantAbcdVariance

Hierarchy

PiecewiseConstantVariance
- PiecewiseConstantAbcdVariance

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new PiecewiseConstantAbcdVariance(a: Real, b: Real, c: Real, d: Real, resetIndex: Size, rateTimes: Time[]): PiecewiseConstantAbcdVariance

- Defined in ql/models/marketmodels/models/piecewiseconstantabcdvariance.ts:12
Parameters
- a: Real
- b: Real
- c: Real
- d: Real
- resetIndex: Size
- rateTimes: Time[]
Returns PiecewiseConstantAbcdVariance

Properties

Private _a

_a: Real

Private _b

_b: Real

Private _c

_c: Real

Private _d

_d: Real

Private _rateTimes

_rateTimes: Time[]

Private _variances

_variances: Real[]

Private _volatilities

_volatilities: Real[]

Methods

getABCD

getABCD(byref: byRef): void

- Defined in ql/models/marketmodels/models/piecewiseconstantabcdvariance.ts:53
Parameters
- byref: byRef
Returns void

rateTimes

rateTimes(): Time[]

Overrides PiecewiseConstantVariance.rateTimes
- Defined in ql/models/marketmodels/models/piecewiseconstantabcdvariance.ts:49
Returns Time[]

totalVariance

totalVariance(i: Size): Real

Inherited from PiecewiseConstantVariance.totalVariance
- Defined in ql/models/marketmodels/models/piecewiseconstantvariance.ts:30
Parameters
- i: Size
Returns Real

totalVolatility

totalVolatility(i: Size): Volatility

Inherited from PiecewiseConstantVariance.totalVolatility
- Defined in ql/models/marketmodels/models/piecewiseconstantvariance.ts:41
Parameters
- i: Size
Returns Volatility

variance

variance(i: Size): Real

Inherited from PiecewiseConstantVariance.variance
- Defined in ql/models/marketmodels/models/piecewiseconstantvariance.ts:18
Parameters
- i: Size
Returns Real

variances

variances(): Real[]

Overrides PiecewiseConstantVariance.variances
- Defined in ql/models/marketmodels/models/piecewiseconstantabcdvariance.ts:43
Returns Real[]

volatilities

volatilities(): Real[]

Overrides PiecewiseConstantVariance.volatilities
- Defined in ql/models/marketmodels/models/piecewiseconstantabcdvariance.ts:46
Returns Real[]

volatility

volatility(i: Size): Volatility

Inherited from PiecewiseConstantVariance.volatility
- Defined in ql/models/marketmodels/models/piecewiseconstantvariance.ts:24
Parameters
- i: Size
Returns Volatility