Class SwaptionPseudoDerivative

Hierarchy

SwaptionPseudoDerivative

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new SwaptionPseudoDerivative(inputModel: MarketModel, startIndex: Size, endIndex: Size): SwaptionPseudoDerivative

- Defined in ql/models/marketmodels/pathwisegreeks/swaptionpseudojacobian.ts:15
Parameters
- inputModel: MarketModel
- startIndex: Size
- endIndex: Size
Returns SwaptionPseudoDerivative

Properties

Private _expiry

_expiry: Real

Private _impliedVolatility

_impliedVolatility: Real

Private _variance

_variance: Real

Private _varianceDerivatives

_varianceDerivatives: Matrix[]

Private _volatilityDerivatives

_volatilityDerivatives: Matrix[]

Methods

expiry

expiry(): Real

- Defined in ql/models/marketmodels/pathwisegreeks/swaptionpseudojacobian.ts:120
Returns Real

impliedVolatility

impliedVolatility(): Real

- Defined in ql/models/marketmodels/pathwisegreeks/swaptionpseudojacobian.ts:112
Returns Real

variance

variance(): Real

- Defined in ql/models/marketmodels/pathwisegreeks/swaptionpseudojacobian.ts:116
Returns Real

varianceDerivative

varianceDerivative(i: Size): Matrix

- Defined in ql/models/marketmodels/pathwisegreeks/swaptionpseudojacobian.ts:104
Parameters
- i: Size
Returns Matrix

volatilityDerivative

volatilityDerivative(i: Size): Matrix

- Defined in ql/models/marketmodels/pathwisegreeks/swaptionpseudojacobian.ts:108
Parameters
- i: Size
Returns Matrix