Class OrthogonalizedBumpFinder

Hierarchy

OrthogonalizedBumpFinder

Index

Constructors

constructor

Properties

Methods

GetVegaBumps

Constructors

constructor

new OrthogonalizedBumpFinder(bumps: VegaBumpCollection, swaptions: Swaption[], caps: Cap[], multiplierCutOff: Real, tolerance: Real): OrthogonalizedBumpFinder

- Defined in ql/models/marketmodels/pathwisegreeks/bumpinstrumentjacobian.ts:162
Parameters
- bumps: VegaBumpCollection
- swaptions: Swaption[]
- caps: Cap[]
- multiplierCutOff: Real
- tolerance: Real
Returns OrthogonalizedBumpFinder

Properties

Private _derivativesProducer

_derivativesProducer: VolatilityBumpInstrumentJacobian

Private _multiplierCutOff

_multiplierCutOff: Real

Private _tolerance

_tolerance: Real

Methods

GetVegaBumps

GetVegaBumps(theBumps: Matrix[][]): void

- Defined in ql/models/marketmodels/pathwisegreeks/bumpinstrumentjacobian.ts:174
Parameters
- theBumps: Matrix[][]
Returns void