Class RatePseudoRootJacobianAllElements

Hierarchy

RatePseudoRootJacobianAllElements

Index

Constructors

constructor

Properties

Methods

getBumps

Constructors

constructor

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

- Defined in ql/models/marketmodels/pathwisegreeks/ratepseudorootjacobian.ts:247
Parameters
- pseudoRoot: Matrix
- aliveIndex: Size
- numeraire: Size
- taus: Time[]
- displacements: Spread[]
Returns RatePseudoRootJacobianAllElements

Properties

Private _aliveIndex

_aliveIndex: Size

Private _displacements

_displacements: Spread[]

Private _e

Private _factors

_factors: Size

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:278
Parameters
- oldRates: Rate[]
- discountRatios: Real[]
- newRates: Rate[]
- gaussians: Real[]
- B: Matrix[]
Returns void