Class PiecewiseConstantVariance

Hierarchy

PiecewiseConstantVariance
- PiecewiseConstantAbcdVariance

Index

Methods

Methods

rateTimes

rateTimes(): Time[]

- Defined in ql/models/marketmodels/models/piecewiseconstantvariance.ts:15
Returns Time[]

totalVariance

totalVariance(i: Size): Real

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

totalVolatility

totalVolatility(i: Size): Volatility

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

variance

variance(i: Size): Real

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

variances

variances(): Real[]

- Defined in ql/models/marketmodels/models/piecewiseconstantvariance.ts:9
Returns Real[]

volatilities

volatilities(): Volatility[]

- Defined in ql/models/marketmodels/models/piecewiseconstantvariance.ts:12
Returns Volatility[]

volatility

volatility(i: Size): Volatility

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