Class RatePseudoRootJacobianNumerical
Hierarchy
RatePseudoRootJacobianNumerical
Constructors
constructor
Defined in ql/models/marketmodels/pathwisegreeks/ratepseudorootjacobian.ts:19
Parameters
Properties
Private _aliveIndex
Defined in ql/models/marketmodels/pathwisegreeks/ratepseudorootjacobian.ts:107
Private _bumpedRates
Defined in ql/models/marketmodels/pathwisegreeks/ratepseudorootjacobian.ts:116
Private _displacements
Defined in ql/models/marketmodels/pathwisegreeks/ratepseudorootjacobian.ts:110
Private _drifts
Defined in ql/models/marketmodels/pathwisegreeks/ratepseudorootjacobian.ts:115
Private _driftsComputers
Defined in ql/models/marketmodels/pathwisegreeks/ratepseudorootjacobian.ts:112
Private _factors
Defined in ql/models/marketmodels/pathwisegreeks/ratepseudorootjacobian.ts:113
Private _numberBumps
Defined in ql/models/marketmodels/pathwisegreeks/ratepseudorootjacobian.ts:111
Private _pseudoBumped
Defined in ql/models/marketmodels/pathwisegreeks/ratepseudorootjacobian.ts:109
Private _pseudoRoot
Defined in ql/models/marketmodels/pathwisegreeks/ratepseudorootjacobian.ts:106
Private _taus
Defined in ql/models/marketmodels/pathwisegreeks/ratepseudorootjacobian.ts:108
Methods
getBumps
Defined in ql/models/marketmodels/pathwisegreeks/ratepseudorootjacobian.ts:63
Parameters
Returns void
Legend
Module Object literal Variable Function Function with type parameter Index signature Type alias Type alias with type parameter
Enumeration Enumeration member Property Method
Interface Interface with type parameter Constructor Property Method Index signature
Class Class with type parameter Constructor Property Method Accessor Index signature
Inherited constructor Inherited property Inherited method Inherited accessor
Protected property Protected method Protected accessor
Private property Private method Private accessor
Static property Static method
Classes for computing derivative of the map taking rates one step to the next with respect to a change in the pseudo-root. We do it both numerically and analytically to provide an easy test of the analytic method. This is useful for pathwise vegas.
Evolution is log Euler.
One is tested against the other in MarketModelTest::testPathwiseVegas