Class VolatilityInterpolationSpecifier

Hierarchy

VolatilityInterpolationSpecifier
- VolatilityInterpolationSpecifierabcd

Index

Methods

Methods

getNoBigRates

getNoBigRates(): Size

- Defined in ql/models/marketmodels/models/volatilityinterpolationspecifier.ts:29
Returns Size

getNoSmallRates

getNoSmallRates(): Size

- Defined in ql/models/marketmodels/models/volatilityinterpolationspecifier.ts:32
Returns Size

getOffset

getOffset(): Size

- Defined in ql/models/marketmodels/models/volatilityinterpolationspecifier.ts:26
Returns Size

getPeriod

getPeriod(): Size

- Defined in ql/models/marketmodels/models/volatilityinterpolationspecifier.ts:23
Returns Size

interpolatedVariances

interpolatedVariances(): PiecewiseConstantVariance[]

- Defined in ql/models/marketmodels/models/volatilityinterpolationspecifier.ts:17
Returns PiecewiseConstantVariance[]

originalVariances

originalVariances(): PiecewiseConstantVariance[]

- Defined in ql/models/marketmodels/models/volatilityinterpolationspecifier.ts:20
Returns PiecewiseConstantVariance[]

setLastCapletVol

setLastCapletVol(vol: Real): void

- Defined in ql/models/marketmodels/models/volatilityinterpolationspecifier.ts:14
Parameters
- vol: Real
Returns void

setScalingFactors

setScalingFactors(scales: Real[]): void

- Defined in ql/models/marketmodels/models/volatilityinterpolationspecifier.ts:11
Parameters
- scales: Real[]
Returns void