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Class CalibratedModel

Calibrated model class

Hierarchy

Implements

Implemented by

Index

Classes

Properties

Methods

Properties

_arguments

_arguments: Parameter[]

_constraint

_constraint: Constraint

_functionEvaluation

_functionEvaluation: Integer

_isDisposed

_isDisposed: boolean = false

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

_problemValues

_problemValues: Real[]

_shortRateEndCriteria

_shortRateEndCriteria: Type

dispose

dispose: () => void

Type declaration

    • (): void

    • Returns void

isDisposed

isDisposed: boolean

notifyObservers

notifyObservers: () => void

Type declaration

    • (): void

    • Returns void

registerObserver

registerObserver: (o: Observer) => void

Type declaration

registerWith

registerWith: (h: Observable) => void

Type declaration

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

unregisterWithAll

unregisterWithAll: () => void

Type declaration

    • (): void

    • Returns void

Methods

calibrate1

  • Calibrate to a set of market instruments (usually caps/swaptions) An additional constraint can be passed which must be satisfied in addition to the constraints of the model.

    Parameters

    Returns void

calibrate2

cmInit

constraint

  • Returns Constraint

deepUpdate

  • deepUpdate(): void

endCriteria

  • endCriteria(): Type

  • Returns Type

functionEvaluation

  • Returns Integer

generateArguments

  • generateArguments(): void

  • Returns void

params

  • Returns Real[]

problemValues

  • problemValues(): Real[]

  • Returns Real[]

setParams

  • setParams(params: Real[]): void

  • Parameters

    Returns void

update

  • update(): void

value1

value2