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Class BlackKarasinski

Standard Black-Karasinski model class.

This class implements the standard Black-Karasinski model defined by $$ d\ln r_t = (\theta(t) - \alpha \ln r_t)dt + \sigma dW_t, $$ where $ alpha $ and $ sigma $ are constants.

Hierarchy

Implements

Index

Classes

Constructors

Properties

Methods

Constructors

constructor

Properties

Private _a

_a: Parameter

_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

Private _sigma

_sigma: Parameter

_termStructure

_termStructure: Handle<YieldTermStructure>

calibrate1

calibrate1: (instruments: CalibrationHelperBase[], method: OptimizationMethod, endCriteria: EndCriteria, additionalConstraint?: Constraint, weights?: Real[], fixParameters?: boolean[]) => void

Type declaration

calibrate2

calibrate2: (instruments: BlackCalibrationHelper[], method: OptimizationMethod, endCriteria: EndCriteria, additionalConstraint?: Constraint, weights?: Real[], fixParameters?: boolean[]) => void

Type declaration

cmInit

cmInit: (nArguments: Size) => CalibratedModel

Type declaration

constraint

constraint: () => Constraint

Type declaration

deepUpdate

deepUpdate: () => void

Type declaration

    • (): void

    • Returns void

dispose

dispose: () => void

Type declaration

    • (): void

    • Returns void

endCriteria

endCriteria: () => Type

Type declaration

functionEvaluation

functionEvaluation: () => Integer

Type declaration

generateArguments

generateArguments: () => void

Type declaration

    • (): void

    • Returns void

isDisposed

isDisposed: boolean

notifyObservers

notifyObservers: () => void

Type declaration

    • (): void

    • Returns void

ofmInit

ofmInit: (nArguments: Size) => OneFactorModel

Type declaration

params

params: () => Real[]

Type declaration

problemValues

problemValues: () => Real[]

Type declaration

registerObserver

registerObserver: (o: Observer) => void

Type declaration

registerWith

registerWith: (h: Observable) => void

Type declaration

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

setParams

setParams: (params: Real[]) => void

Type declaration

    • (params: Real[]): void

    • Parameters

      Returns void

srmInit

srmInit: (nArguments: Size) => ShortRateModel

Type declaration

tcmInit

tcmInit: (termStructure: Handle<YieldTermStructure>) => TermStructureConsistentModel

Type declaration

termStructure

termStructure: () => Handle<YieldTermStructure>

Type declaration

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

unregisterWithAll

unregisterWithAll: () => void

Type declaration

    • (): void

    • Returns void

value1

value1: (params: Real[], instruments: CalibrationHelperBase[]) => Real

Type declaration

value2

value2: (params: Real[], instruments: BlackCalibrationHelper[]) => Real

Type declaration

Methods

a

  • Returns Real

dynamics

sigma

  • Returns Real

tree

update

  • update(): void