Class ProxyGreekEngine

Hierarchy

ProxyGreekEngine

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new ProxyGreekEngine(evolver: MarketModelEvolver, constrainedEvolvers: ConstrainedEvolver[][], diffWeights: Real[][][], startIndexOfConstraint: Size[], endIndexOfConstraint: Size[], product: MarketModelMultiProduct, initialNumeraireValue: Real): ProxyGreekEngine

- Defined in ql/models/marketmodels/proxygreekengine.ts:13
Parameters
- evolver: MarketModelEvolver
- constrainedEvolvers: ConstrainedEvolver[][]
- diffWeights: Real[][][]
- startIndexOfConstraint: Size[]
- endIndexOfConstraint: Size[]
- product: MarketModelMultiProduct
- initialNumeraireValue: Real
Returns ProxyGreekEngine

Properties

Private _cashFlowsGenerated

_cashFlowsGenerated: CashFlow[][]

Private _constrainedEvolvers

_constrainedEvolvers: ConstrainedEvolver[][]

Private _constraints

_constraints: Rate[]

Private _constraintsActive

_constraintsActive: boolean[]

Private _diffWeights

_diffWeights: Real[][][]

Private _discounters

_discounters: MarketModelDiscounter[]

Private _endIndexOfConstraint

_endIndexOfConstraint: Size[]

Private _initialNumeraireValue

_initialNumeraireValue: Real

Private _numberCashFlowsThisStep

_numberCashFlowsThisStep: Size[]

Private _numberProducts

_numberProducts: Size

Private _numerairesHeld

_numerairesHeld: Real[]

Private _originalEvolver

_originalEvolver: MarketModelEvolver

Private _product

_product: MarketModelMultiProduct

Private _startIndexOfConstraint

_startIndexOfConstraint: Size[]

Methods

multiplePathValues

multiplePathValues(stats: SequenceStatisticsInc, modifiedStats: SequenceStatisticsInc[][], numberOfPaths: Size): void

- Defined in ql/models/marketmodels/proxygreekengine.ts:45
Parameters
- stats: SequenceStatisticsInc
- modifiedStats: SequenceStatisticsInc[][]
- numberOfPaths: Size
Returns void

singleEvolverValues

singleEvolverValues(evolver: MarketModelEvolver, values: Real[], storeRates?: boolean): void

- Defined in ql/models/marketmodels/proxygreekengine.ts:93
Parameters
- evolver: MarketModelEvolver
- values: Real[]
- Default value storeRates: boolean = false
Returns void

singlePathValues

singlePathValues(values: Real[], modifiedValues: Real[][][]): void

- Defined in ql/models/marketmodels/proxygreekengine.ts:81
Parameters
- values: Real[]
- modifiedValues: Real[][][]
Returns void