Class RatePseudoRootJacobian

Hierarchy

RatePseudoRootJacobian

Index

Constructors

constructor

Properties

Methods

getBumps

Constructors

constructor

new RatePseudoRootJacobian(pseudoRoot: Matrix, aliveIndex: Size, numeraire: Size, taus: Time[], pseudoBumps: Matrix[], displacements: Spread[]): RatePseudoRootJacobian

- Defined in ql/models/marketmodels/pathwisegreeks/ratepseudorootjacobian.ts:119
Parameters
- pseudoRoot: Matrix
- aliveIndex: Size
- numeraire: Size
- taus: Time[]
- pseudoBumps: Matrix[]
- displacements: Spread[]
Returns RatePseudoRootJacobian

Properties

Private _aliveIndex

_aliveIndex: Size

Private _allDerivatives

_allDerivatives: Matrix[]

Private _displacements

_displacements: Spread[]

Private _e

Private _factors

_factors: Size

Private _numberBumps

_numberBumps: Size

Private _pseudoBumps

_pseudoBumps: Matrix[]

Private _pseudoRoot

_pseudoRoot: Matrix

Private _ratios

_ratios: Real[]

Private _taus

_taus: Time[]

Methods

getBumps

getBumps(oldRates: Rate[], discountRatios: Real[], newRates: Rate[], gaussians: Real[], B: Matrix): void

- Defined in ql/models/marketmodels/pathwisegreeks/ratepseudorootjacobian.ts:165
Parameters
- oldRates: Rate[]
- discountRatios: Real[]
- newRates: Rate[]
- gaussians: Real[]
- B: Matrix
Returns void