Class VolatilityConstraint

Hierarchy

Constraint
- VolatilityConstraint

Index

Classes

Impl

Constructors

constructor

Properties

_impl

Methods

Constructors

constructor

new VolatilityConstraint(k: Real, theta: Real): VolatilityConstraint

Overrides Constraint.constructor
- Defined in ql/models/shortrate/onefactormodels/coxingersollross.ts:213
Parameters
- k: Real
- theta: Real
Returns VolatilityConstraint

Properties

Protected _impl

_impl: Impl = null

Methods

empty

empty(): boolean

Inherited from Constraint.empty
- Defined in ql/math/optimization/constraint.ts:16
Returns boolean

lowerBound

lowerBound(params: Real[]): Real[]

Inherited from Constraint.lowerBound
- Defined in ql/math/optimization/constraint.ts:34
Parameters
- params: Real[]
Returns Real[]

test

test(params: Real[]): boolean

Inherited from Constraint.test
- Defined in ql/math/optimization/constraint.ts:20
Parameters
- params: Real[]
Returns boolean

update

update(params: Real[], direction: Real[], beta: Real): Real

Inherited from Constraint.update
- Defined in ql/math/optimization/constraint.ts:50
first parameter params is by reference

Parameters
- params: Real[]
  
  Real[], byRef
- direction: Real[]
  
  Real[]
- beta: Real
  
  Real
Returns Real

upperBound

upperBound(params: Real[]): Real[]

Inherited from Constraint.upperBound
- Defined in ql/math/optimization/constraint.ts:24
Parameters
- params: Real[]
Returns Real[]