Class QuickCap

Hierarchy

QuickCap

Implements

UnaryFunction<Real, Real>

Index

Constructors

constructor

Properties

Methods

f
vega

Constructors

constructor

new QuickCap(strike: Real, annuities: Real[], currentRates: Real[], expiries: Real[], price: Real): QuickCap

- Defined in ql/models/marketmodels/pathwisegreeks/swaptionpseudojacobian.ts:282
Parameters
- strike: Real
- annuities: Real[]
- currentRates: Real[]
- expiries: Real[]
- price: Real
Returns QuickCap

Properties

Private _annuities

_annuities: Real[]

Private _currentRates

_currentRates: Real[]

Private _expiries

_expiries: Real[]

Private _price

_price: Real

Private _strike

_strike: Real

Methods

f

f(volatility: Real): Real

- Defined in ql/models/marketmodels/pathwisegreeks/swaptionpseudojacobian.ts:293
Parameters
- volatility: Real
Returns Real

vega

vega(volatility: Real): Real

- Defined in ql/models/marketmodels/pathwisegreeks/swaptionpseudojacobian.ts:303
Parameters
- volatility: Real
Returns Real