Class MarketModelPathwiseCoterminalSwaptionsNumericalDeflated

Easiest way to test MarketModelPathwiseCoterminalSwaptionsDeflated is by doing a numerical differentiation version.

Hierarchy

MarketModelPathwiseMultiProduct
- MarketModelPathwiseCoterminalSwaptionsNumericalDeflated

Index

Classes

CashFlow

Constructors

constructor

Properties

Methods

Constructors

constructor

new MarketModelPathwiseCoterminalSwaptionsNumericalDeflated(rateTimes: Time[], strikes: Time[], bumpSize: Real): MarketModelPathwiseCoterminalSwaptionsNumericalDeflated

- Defined in ql/models/marketmodels/products/pathwise/pathwiseproductswaption.ts:134
Parameters
- rateTimes: Time[]
- strikes: Time[]
- bumpSize: Real
Returns MarketModelPathwiseCoterminalSwaptionsNumericalDeflated

Properties

Private _bumpSize

_bumpSize: Real

Private _currentIndex

_currentIndex: Size

Private _down

_down: LMMCurveState

Private _evolution

_evolution: EvolutionDescription

Private _forwards

_forwards: Rate[]

Private _numberRates

_numberRates: Size

Private _rateTimes

_rateTimes: Real[]

Private _strikes

_strikes: Rate[]

Private _up

_up: LMMCurveState

Methods

alreadyDeflated

alreadyDeflated(): boolean

Overrides MarketModelPathwiseMultiProduct.alreadyDeflated
- Defined in ql/models/marketmodels/products/pathwise/pathwiseproductswaption.ts:244
Returns boolean

clone

clone(): MarketModelPathwiseMultiProduct

Overrides MarketModelPathwiseMultiProduct.clone
- Defined in ql/models/marketmodels/products/pathwise/pathwiseproductswaption.ts:239
Returns MarketModelPathwiseMultiProduct

evolution

evolution(): EvolutionDescription

Overrides MarketModelPathwiseMultiProduct.evolution
- Defined in ql/models/marketmodels/products/pathwise/pathwiseproductswaption.ts:169
Returns EvolutionDescription

maxNumberOfCashFlowsPerProductPerStep

maxNumberOfCashFlowsPerProductPerStep(): Size

Overrides MarketModelPathwiseMultiProduct.maxNumberOfCashFlowsPerProductPerStep
- Defined in ql/models/marketmodels/products/pathwise/pathwiseproductswaption.ts:181
Returns Size

nextTimeStep

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

Overrides MarketModelPathwiseMultiProduct.nextTimeStep
- Defined in ql/models/marketmodels/products/pathwise/pathwiseproductswaption.ts:189
Parameters
- currentState: CurveState
- numberCashFlowsThisStep: Size[]
- cashFlowsGenerated: CashFlow[][]
Returns boolean

numberOfProducts

numberOfProducts(): Size

Overrides MarketModelPathwiseMultiProduct.numberOfProducts
- Defined in ql/models/marketmodels/products/pathwise/pathwiseproductswaption.ts:177
Returns Size

possibleCashFlowTimes

possibleCashFlowTimes(): Time[]

Overrides MarketModelPathwiseMultiProduct.possibleCashFlowTimes
- Defined in ql/models/marketmodels/products/pathwise/pathwiseproductswaption.ts:173
Returns Time[]

reset

reset(): void

Overrides MarketModelPathwiseMultiProduct.reset
- Defined in ql/models/marketmodels/products/pathwise/pathwiseproductswaption.ts:185
Returns void

suggestedNumeraires

suggestedNumeraires(): Size[]

Overrides MarketModelPathwiseMultiProduct.suggestedNumeraires
- Defined in ql/models/marketmodels/products/pathwise/pathwiseproductswaption.ts:160
Returns Size[]