Class PseudoRootFacade

Hierarchy

MarketModel
- PseudoRootFacade

Index

Properties

Methods

Properties

Private _covariancePseudoRoots

_covariancePseudoRoots: Matrix[]

Private _displacements

_displacements: Spread[]

Private _evolution

_evolution: EvolutionDescription

Private _initialRates

_initialRates: Rate[]

Private _numberOfFactors

_numberOfFactors: Size

Private _numberOfRates

_numberOfRates: Size

Private _numberOfSteps

_numberOfSteps: Size

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/pseudorootfacade.ts:89
Returns Spread[]

evolution

evolution(): EvolutionDescription

Overrides MarketModel.evolution
- Defined in ql/models/marketmodels/models/pseudorootfacade.ts:92
Returns EvolutionDescription

initialRates

initialRates(): Rate[]

Overrides MarketModel.initialRates
- Defined in ql/models/marketmodels/models/pseudorootfacade.ts:86
Returns Rate[]

numberOfFactors

numberOfFactors(): Size

Overrides MarketModel.numberOfFactors
- Defined in ql/models/marketmodels/models/pseudorootfacade.ts:98
Returns Size

numberOfRates

numberOfRates(): Size

Overrides MarketModel.numberOfRates
- Defined in ql/models/marketmodels/models/pseudorootfacade.ts:95
Returns Size

numberOfSteps

numberOfSteps(): Size

Overrides MarketModel.numberOfSteps
- Defined in ql/models/marketmodels/models/pseudorootfacade.ts:101
Returns Size

prfInit1

prfInit1(c: CTSMMCapletCalibration): PseudoRootFacade

- Defined in ql/models/marketmodels/models/pseudorootfacade.ts:15
Parameters
- c: CTSMMCapletCalibration
Returns PseudoRootFacade

prfInit2

prfInit2(covariancePseudoRoots: Matrix[], rateTimes: Rate[], initialRates: Rate[], displacements: Spread[]): PseudoRootFacade

- Defined in ql/models/marketmodels/models/pseudorootfacade.ts:27
Parameters
- covariancePseudoRoots: Matrix[]
- rateTimes: Rate[]
- initialRates: Rate[]
- displacements: Spread[]
Returns PseudoRootFacade

pseudoRoot

pseudoRoot(i: Size): Matrix

Overrides MarketModel.pseudoRoot
- Defined in ql/models/marketmodels/models/pseudorootfacade.ts:105
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