Class CapPseudoDerivative

Hierarchy

CapPseudoDerivative

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new CapPseudoDerivative(inputModel: MarketModel, strike: Real, startIndex: Size, endIndex: Size, firstDF: Real): CapPseudoDerivative

- Defined in ql/models/marketmodels/pathwisegreeks/swaptionpseudojacobian.ts:133
Parameters
- inputModel: MarketModel
- strike: Real
- startIndex: Size
- endIndex: Size
- firstDF: Real
Returns CapPseudoDerivative

Properties

Private _firstDF

_firstDF: Real

Private _impliedVolatility

_impliedVolatility: Real

Private _priceDerivatives

_priceDerivatives: Matrix[]

Private _vega

_vega: Real

Private _volatilityDerivatives

_volatilityDerivatives: Matrix[]

Methods

impliedVolatility

impliedVolatility(): Real

- Defined in ql/models/marketmodels/pathwisegreeks/swaptionpseudojacobian.ts:269
Returns Real

priceDerivative

priceDerivative(i: Size): Matrix

- Defined in ql/models/marketmodels/pathwisegreeks/swaptionpseudojacobian.ts:265
Parameters
- i: Size
Returns Matrix

volatilityDerivative

volatilityDerivative(i: Size): Matrix

- Defined in ql/models/marketmodels/pathwisegreeks/swaptionpseudojacobian.ts:261
Parameters
- i: Size
Returns Matrix