Class VolatilityBumpInstrumentJacobian

Hierarchy

VolatilityBumpInstrumentJacobian

Index

Classes

Cap
Swaption

Constructors

constructor

Properties

Methods

Constructors

constructor

new VolatilityBumpInstrumentJacobian(bumps: VegaBumpCollection, swaptions: Swaption[], caps: Cap[]): VolatilityBumpInstrumentJacobian

- Defined in ql/models/marketmodels/pathwisegreeks/bumpinstrumentjacobian.ts:15
Parameters
- bumps: VegaBumpCollection
- swaptions: Swaption[]
- caps: Cap[]
Returns VolatilityBumpInstrumentJacobian

Properties

Private _allComputed

_allComputed: boolean

Private _bumpMatrix

_bumpMatrix: Matrix

Private _bumps

_bumps: VegaBumpCollection

Private _caps

_caps: Cap[]

Private _computed

_computed: boolean[]

Private _derivatives

_derivatives: Real[][]

Private _onePercentBumps

_onePercentBumps: Real[][]

Private _swaptions

_swaptions: Swaption[]

Methods

derivativesVolatility

derivativesVolatility(j: Size): Real[]

- Defined in ql/models/marketmodels/pathwisegreeks/bumpinstrumentjacobian.ts:40
Parameters
- j: Size
Returns Real[]

getAllOnePercentBumps

getAllOnePercentBumps(): Matrix

- Defined in ql/models/marketmodels/pathwisegreeks/bumpinstrumentjacobian.ts:128
Returns Matrix

getInputBumps

getInputBumps(): VegaBumpCollection

- Defined in ql/models/marketmodels/pathwisegreeks/bumpinstrumentjacobian.ts:36
Returns VegaBumpCollection

onePercentBump

onePercentBump(j: Size): Real[]

- Defined in ql/models/marketmodels/pathwisegreeks/bumpinstrumentjacobian.ts:122
Parameters
- j: Size
Returns Real[]