Class MultiStepInverseFloater

Hierarchy

MultiProductMultiStep
- MultiStepInverseFloater

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new MultiStepInverseFloater(rateTimes: Time[], fixedAccruals: Real[], floatingAccruals: Real[], fixedStrikes: Real[], fixedMultipliers: Real[], floatingSpreads: Real[], paymentTimes: Time[], payer?: boolean): MultiStepInverseFloater

Overrides MultiProductMultiStep.constructor
- Defined in ql/models/marketmodels/products/multistep/multistepinversefloater.ts:11
Parameters
- rateTimes: Time[]
- fixedAccruals: Real[]
- floatingAccruals: Real[]
- fixedStrikes: Real[]
- fixedMultipliers: Real[]
- floatingSpreads: Real[]
- paymentTimes: Time[]
- Default value payer: boolean = true
Returns MultiStepInverseFloater

Properties

Private _currentIndex

_currentIndex: Size

Protected _evolution

_evolution: EvolutionDescription

Private _fixedAccruals

_fixedAccruals: Real[]

Private _fixedMultipliers

_fixedMultipliers: Real[]

Private _fixedStrikes

_fixedStrikes: Real[]

Private _floatingAccruals

_floatingAccruals: Real[]

Private _floatingSpreads

_floatingSpreads: Real[]

Private _lastIndex

_lastIndex: Size

Private _multiplier

_multiplier: Real

Private _paymentTimes

_paymentTimes: Time[]

Protected _rateTimes

_rateTimes: Time[]

Methods

clone

clone(): MarketModelMultiProduct

Overrides MarketModelMultiProduct.clone
- Defined in ql/models/marketmodels/products/multistep/multistepinversefloater.ts:99
Returns MarketModelMultiProduct

evolution

evolution(): EvolutionDescription

Inherited from MultiProductMultiStep.evolution

Overrides MarketModelMultiProduct.evolution
- Defined in ql/models/marketmodels/products/multiproductmultistep.ts:46
Returns EvolutionDescription

maxNumberOfCashFlowsPerProductPerStep

maxNumberOfCashFlowsPerProductPerStep(): Size

Overrides MarketModelMultiProduct.maxNumberOfCashFlowsPerProductPerStep
- Defined in ql/models/marketmodels/products/multistep/multistepinversefloater.ts:67
Returns Size

nextTimeStep

nextTimeStep(currentState: CurveState, numberCashFlowsThisStep: Size[], genCashFlows: CashFlow[][]): boolean

Overrides MarketModelMultiProduct.nextTimeStep
- Defined in ql/models/marketmodels/products/multistep/multistepinversefloater.ts:75
Parameters
- currentState: CurveState
- numberCashFlowsThisStep: Size[]
- genCashFlows: CashFlow[][]
Returns boolean

numberOfProducts

numberOfProducts(): Size

Overrides MarketModelMultiProduct.numberOfProducts
- Defined in ql/models/marketmodels/products/multistep/multistepinversefloater.ts:63
Returns Size

possibleCashFlowTimes

possibleCashFlowTimes(): Time[]

Overrides MarketModelMultiProduct.possibleCashFlowTimes
- Defined in ql/models/marketmodels/products/multistep/multistepinversefloater.ts:59
Returns Time[]

reset

reset(): void

Overrides MarketModelMultiProduct.reset
- Defined in ql/models/marketmodels/products/multistep/multistepinversefloater.ts:71
Returns void

suggestedNumeraires

suggestedNumeraires(): Size[]

Inherited from MultiProductMultiStep.suggestedNumeraires

Overrides MarketModelMultiProduct.suggestedNumeraires
- Defined in ql/models/marketmodels/products/multiproductmultistep.ts:36
Returns Size[]