Class VolatilityInterpolationSpecifierabcd

Hierarchy

VolatilityInterpolationSpecifier
- VolatilityInterpolationSpecifierabcd

Index

Constructors

constructor

new VolatilityInterpolationSpecifierabcd(period: Size, offset: Size, originalVariances: PiecewiseConstantAbcdVariance[], timesForSmallRates: Time[], lastCapletVol?: Real): VolatilityInterpolationSpecifierabcd

- Defined in ql/models/marketmodels/models/volatilityinterpolationspecifierabcd.ts:13
Parameters
- period: Size
- offset: Size
- originalVariances: PiecewiseConstantAbcdVariance[]
- timesForSmallRates: Time[]
- Default value lastCapletVol: Real = 0
Returns VolatilityInterpolationSpecifierabcd

Properties

Private _interpolatedVariances

_interpolatedVariances: PiecewiseConstantVariance[]

Private _lastCapletVol

_lastCapletVol: Real

Private _noBigRates

_noBigRates: Size

Private _noSmallRates

_noSmallRates: Size

Private _offset

_offset: Size

Private _originalABCDVariances

_originalABCDVariances: PiecewiseConstantAbcdVariance[]

Private _originalABCDVariancesScaled

_originalABCDVariancesScaled: PiecewiseConstantAbcdVariance[]

Private _originalVariances

_originalVariances: PiecewiseConstantVariance[]

Private _period

_period: Size

Private _scalingFactors

_scalingFactors: Real[]

Private _timesForSmallRates

_timesForSmallRates: Time[]

Methods

getNoBigRates

getNoBigRates(): Size

Overrides VolatilityInterpolationSpecifier.getNoBigRates
- Defined in ql/models/marketmodels/models/volatilityinterpolationspecifierabcd.ts:90
Returns Size

getNoSmallRates

getNoSmallRates(): Size

Overrides VolatilityInterpolationSpecifier.getNoSmallRates
- Defined in ql/models/marketmodels/models/volatilityinterpolationspecifierabcd.ts:93
Returns Size

getOffset

getOffset(): Size

Overrides VolatilityInterpolationSpecifier.getOffset
- Defined in ql/models/marketmodels/models/volatilityinterpolationspecifierabcd.ts:87
Returns Size

getPeriod

getPeriod(): Size

Overrides VolatilityInterpolationSpecifier.getPeriod
- Defined in ql/models/marketmodels/models/volatilityinterpolationspecifierabcd.ts:84
Returns Size

interpolatedVariances

interpolatedVariances(): PiecewiseConstantVariance[]

Overrides VolatilityInterpolationSpecifier.interpolatedVariances
- Defined in ql/models/marketmodels/models/volatilityinterpolationspecifierabcd.ts:77
Returns PiecewiseConstantVariance[]

originalVariances

originalVariances(): PiecewiseConstantVariance[]

Overrides VolatilityInterpolationSpecifier.originalVariances
- Defined in ql/models/marketmodels/models/volatilityinterpolationspecifierabcd.ts:80
Returns PiecewiseConstantVariance[]

Private recompute

recompute(): void

- Defined in ql/models/marketmodels/models/volatilityinterpolationspecifierabcd.ts:97
Returns void

setLastCapletVol

setLastCapletVol(vol: Real): void

Overrides VolatilityInterpolationSpecifier.setLastCapletVol
- Defined in ql/models/marketmodels/models/volatilityinterpolationspecifierabcd.ts:72
Parameters
- vol: Real
Returns void

setScalingFactors

setScalingFactors(scales: Real[]): void

Overrides VolatilityInterpolationSpecifier.setScalingFactors
- Defined in ql/models/marketmodels/models/volatilityinterpolationspecifierabcd.ts:62
Parameters
- scales: Real[]
Returns void