Class MultiStepRatchet

Hierarchy

MultiProductMultiStep
- MultiStepRatchet

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new MultiStepRatchet(rateTimes: Time[], accruals: Real[], paymentTimes: Time[], gearingOfFloor: Real, gearingOfFixing: Real, spreadOfFloor: Rate, spreadOfFixing: Rate, initialFloor: Real, payer?: boolean): MultiStepRatchet

Overrides MultiProductMultiStep.constructor
- Defined in ql/models/marketmodels/products/multistep/multistepratchet.ts:11
Parameters
- rateTimes: Time[]
- accruals: Real[]
- paymentTimes: Time[]
- gearingOfFloor: Real
- gearingOfFixing: Real
- spreadOfFloor: Rate
- spreadOfFixing: Rate
- initialFloor: Real
- Default value payer: boolean = true
Returns MultiStepRatchet

Properties

Private _accruals

_accruals: Real[]

Private _currentIndex

_currentIndex: Size

Protected _evolution

_evolution: EvolutionDescription

Private _floor

_floor: Real

Private _gearingOfFixing

_gearingOfFixing: Real

Private _gearingOfFloor

_gearingOfFloor: Real

Private _initialFloor

_initialFloor: Real

Private _lastIndex

_lastIndex: Size

Private _multiplier

_multiplier: Real

Private _paymentTimes

_paymentTimes: Time[]

Protected _rateTimes

_rateTimes: Time[]

Private _spreadOfFixing

_spreadOfFixing: Rate

Private _spreadOfFloor

_spreadOfFloor: Rate

Methods

clone

clone(): MarketModelMultiProduct

Overrides MarketModelMultiProduct.clone
- Defined in ql/models/marketmodels/products/multistep/multistepratchet.ts:68
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/multistepratchet.ts:38
Returns Size

nextTimeStep

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

Overrides MarketModelMultiProduct.nextTimeStep
- Defined in ql/models/marketmodels/products/multistep/multistepratchet.ts:47
Parameters
- currentState: CurveState
- numberCashFlowsThisStep: Size[]
- genCashFlows: CashFlow[][]
Returns boolean

numberOfProducts

numberOfProducts(): Size

Overrides MarketModelMultiProduct.numberOfProducts
- Defined in ql/models/marketmodels/products/multistep/multistepratchet.ts:34
Returns Size

possibleCashFlowTimes

possibleCashFlowTimes(): Time[]

Overrides MarketModelMultiProduct.possibleCashFlowTimes
- Defined in ql/models/marketmodels/products/multistep/multistepratchet.ts:30
Returns Time[]

reset

reset(): void

Overrides MarketModelMultiProduct.reset
- Defined in ql/models/marketmodels/products/multistep/multistepratchet.ts:42
Returns void

suggestedNumeraires

suggestedNumeraires(): Size[]

Inherited from MultiProductMultiStep.suggestedNumeraires

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