Class Dynamics

Hierarchy

ShortRateDynamics
- Dynamics

Index

Constructors

constructor

Properties

_fitting

Methods

Constructors

constructor

new Dynamics(fitting: Parameter, alpha: Real, sigma: Real): Dynamics

Overrides ShortRateDynamics.constructor
- Defined in ql/models/shortrate/onefactormodels/blackkarasinski.ts:98
Parameters
- fitting: Parameter
- alpha: Real
- sigma: Real
Returns Dynamics

Properties

Private _fitting

_fitting: Parameter

Methods

process

process(): StochasticProcess1D

Inherited from ShortRateDynamics.process
- Defined in ql/models/shortrate/onefactormodel.ts:50
Returns StochasticProcess1D

shortRate

shortRate(t: Time, x: Real): Real

Overrides ShortRateDynamics.shortRate
- Defined in ql/models/shortrate/onefactormodels/blackkarasinski.ts:108
Parameters
- t: Time
- x: Real
Returns Real

variable

variable(t: Time, r: Rate): Real

Overrides ShortRateDynamics.variable
- Defined in ql/models/shortrate/onefactormodels/blackkarasinski.ts:104
Parameters
- t: Time
- r: Rate
Returns Real