Gsr | quantlib.js

One factor gsr model, formulation is in forward measure

Hierarchy

Gaussian1dModelCalibratedModel
- Gsr

Implements

Index

Classes

Properties

_alwaysForward

_alwaysForward: boolean = false

_arguments

_arguments: Parameter[]

_calculated

_calculated: boolean = false

_constraint

_constraint: Constraint

_enforcesTodaysHistoricFixings

_enforcesTodaysHistoricFixings: boolean

_evaluationDate

_evaluationDate: Date

_frozen

_frozen: boolean = false

_functionEvaluation

_functionEvaluation: Integer

_isDisposed

_isDisposed: boolean = false

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

_problemValues

_problemValues: Real[]

Private _reversion

_reversion: Parameter

Private _reversionObserver

_reversionObserver: ReversionObserver

Private _reversions

_reversions: Array<Handle<Quote>>

_shortRateEndCriteria

_shortRateEndCriteria: Type

Private _volatilities

_volatilities: Array<Handle<Quote>>

Private _volatilityObserver

_volatilityObserver: VolatilityObserver

Private _volstepdates

_volstepdates: Date[]

Private _volsteptimes

_volsteptimes: Time[]

Private _volsteptimesArray

_volsteptimesArray: Real[]

alwaysForwardNotifications

alwaysForwardNotifications: () => void

Type declaration

- (): void
- Returns void

calculate

calculate: () => void

Type declaration

- (): void
- Returns void

calibrate1

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

Type declaration

- (instruments: CalibrationHelperBase[], method: OptimizationMethod, endCriteria: EndCriteria, additionalConstraint?: Constraint, weights?: Real[], fixParameters?: boolean[]): void
- Parameters
  - instruments: CalibrationHelperBase[]
  - method: OptimizationMethod
  - endCriteria: EndCriteria
  - Optional additionalConstraint: Constraint
  - Optional weights: Real[]
  - Optional fixParameters: boolean[]
  Returns void

calibrate2

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

Type declaration

- (instruments: BlackCalibrationHelper[], method: OptimizationMethod, endCriteria: EndCriteria, additionalConstraint?: Constraint, weights?: Real[], fixParameters?: boolean[]): void
- Parameters
  - instruments: BlackCalibrationHelper[]
  - method: OptimizationMethod
  - endCriteria: EndCriteria
  - Optional additionalConstraint: Constraint
  - Optional weights: Real[]
  - Optional fixParameters: boolean[]
  Returns void

cmInit

cmInit: (nArguments: Size) => CalibratedModel

Type declaration

- (nArguments: Size): CalibratedModel
- Parameters
  - nArguments: Size
  Returns CalibratedModel

constraint

constraint: () => Constraint

Type declaration

- (): Constraint
- Returns Constraint

deepUpdate

deepUpdate: () => void

Type declaration

- (): void
- Returns void

dispose

dispose: () => void

Type declaration

- (): void
- Returns void

endCriteria

endCriteria: () => Type

Type declaration

- (): Type
- Returns Type

forwardRate

forwardRate: (fixing: Date, referenceDate?: Date, y?: Real, iborIdx?: IborIndex) => Real

Type declaration

- (fixing: Date, referenceDate?: Date, y?: Real, iborIdx?: IborIndex): Real
- Parameters
  - fixing: Date
  - Optional referenceDate: Date
  - Optional y: Real
  - Optional iborIdx: IborIndex
  Returns Real

freeze

freeze: () => void

Type declaration

- (): void
- Returns void

functionEvaluation

functionEvaluation: () => Integer

Type declaration

- (): Integer
- Returns Integer

g1dmInit

g1dmInit: (yieldTermStructure: Handle<YieldTermStructure>) => Gaussian1dModel

Type declaration

- (yieldTermStructure: Handle<YieldTermStructure>): Gaussian1dModel
- Parameters
  - yieldTermStructure: Handle<YieldTermStructure>
  Returns Gaussian1dModel

isDisposed

isDisposed: boolean

notifyObservers

notifyObservers: () => void

Type declaration

- (): void
- Returns void

numeraire1

numeraire1: (t: Time, y?: Real, yts?: Handle<YieldTermStructure>) => Real

Type declaration

- (t: Time, y?: Real, yts?: Handle<YieldTermStructure>): Real
- Parameters
  - t: Time
  - Optional y: Real
  - Optional yts: Handle<YieldTermStructure>
  Returns Real

numeraire2

numeraire2: (referenceDate: Date, y?: Real, yts?: Handle<YieldTermStructure>) => Real

Type declaration

- (referenceDate: Date, y?: Real, yts?: Handle<YieldTermStructure>): Real
- Parameters
  - referenceDate: Date
  - Optional y: Real
  - Optional yts: Handle<YieldTermStructure>
  Returns Real

params

params: () => Real[]

Type declaration

- (): Real[]
- Returns Real[]

problemValues

problemValues: () => Real[]

Type declaration

- (): Real[]
- Returns Real[]

recalculate

recalculate: () => void

Type declaration

- (): void
- Returns void

registerObserver

registerObserver: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

registerWith

registerWith: (h: Observable) => void

Type declaration

- (h: Observable): void
- Parameters
  - h: Observable
  Returns void

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

setParams

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

Type declaration

- (params: Real[]): void
- Parameters
  - params: Real[]
  Returns void

stateProcess

stateProcess: () => StochasticProcess1D

Type declaration

- (): StochasticProcess1D
- Returns StochasticProcess1D

swapAnnuity

swapAnnuity: (fixing: Date, tenor: Period, referenceDate?: Date, y?: Real, swapIdx?: SwapIndex) => Real

Type declaration

- (fixing: Date, tenor: Period, referenceDate?: Date, y?: Real, swapIdx?: SwapIndex): Real
- Parameters
  - fixing: Date
  - tenor: Period
  - Optional referenceDate: Date
  - Optional y: Real
  - Optional swapIdx: SwapIndex
  Returns Real

swapRate

swapRate: (fixing: Date, tenor: Period, referenceDate?: Date, y?: Real, swapIdx?: SwapIndex) => Real

Type declaration

- (fixing: Date, tenor: Period, referenceDate?: Date, y?: Real, swapIdx?: SwapIndex): Real
- Parameters
  - fixing: Date
  - tenor: Period
  - Optional referenceDate: Date
  - Optional y: Real
  - Optional swapIdx: SwapIndex
  Returns Real

tcmInit

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

Type declaration

- (termStructure: Handle<YieldTermStructure>): TermStructureConsistentModel
- Parameters
  - termStructure: Handle<YieldTermStructure>
  Returns TermStructureConsistentModel

termStructure

termStructure: () => Handle<YieldTermStructure>

Type declaration

- (): Handle<YieldTermStructure>
- Returns Handle<YieldTermStructure>

underlyingSwap

underlyingSwap: (index: SwapIndex, expiry: Date, tenor: Period) => VanillaSwap

Type declaration

- (index: SwapIndex, expiry: Date, tenor: Period): VanillaSwap
- Parameters
  - index: SwapIndex
  - expiry: Date
  - tenor: Period
  Returns VanillaSwap

unfreeze

unfreeze: () => void

Type declaration

- (): void
- Returns void

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

- (h: Observable): Size
- Parameters
  - h: Observable
  Returns Size

unregisterWithAll

unregisterWithAll: () => void

Type declaration

- (): void
- Returns void

value1

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

Type declaration

- (params: Real[], instruments: CalibrationHelperBase[]): Real
- Parameters
  - params: Real[]
  - instruments: CalibrationHelperBase[]
  Returns Real

value2

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

Type declaration

- (params: Real[], instruments: BlackCalibrationHelper[]): Real
- Parameters
  - params: Real[]
  - instruments: BlackCalibrationHelper[]
  Returns Real

yGrid

yGrid: (stdDevs: Real, gridPoints: Size, T?: Real, t?: Real, y?: Real) => Real[]

Type declaration

- (stdDevs: Real, gridPoints: Size, T?: Real, t?: Real, y?: Real): Real[]
- Parameters
  - stdDevs: Real
  - gridPoints: Size
  - Optional T: Real
  - Optional t: Real
  - Optional y: Real
  Returns Real[]

zerobond1

zerobond1: (T: Time, t?: Time, y?: Real, yts?: Handle<YieldTermStructure>) => Real

Type declaration

- (T: Time, t?: Time, y?: Real, yts?: Handle<YieldTermStructure>): Real
- Parameters
  - T: Time
  - Optional t: Time
  - Optional y: Real
  - Optional yts: Handle<YieldTermStructure>
  Returns Real

zerobond2

zerobond2: (maturity: Date, referenceDate?: Date, y?: Real, yts?: Handle<YieldTermStructure>) => Real

Type declaration

- (maturity: Date, referenceDate?: Date, y?: Real, yts?: Handle<YieldTermStructure>): Real
- Parameters
  - maturity: Date
  - Optional referenceDate: Date
  - Optional y: Real
  - Optional yts: Handle<YieldTermStructure>
  Returns Real

zerobondOption

zerobondOption: (type: Type, expiry: Date, valueDate: Date, maturity: Date, strike: Rate, referenceDate?: Date, y?: Real, yts?: Handle<YieldTermStructure>, yStdDevs?: Real, yGridPoints?: Size, extrapolatePayoff?: boolean, flatPayoffExtrapolation?: boolean) => Real

Type declaration

- (type: Type, expiry: Date, valueDate: Date, maturity: Date, strike: Rate, referenceDate?: Date, y?: Real, yts?: Handle<YieldTermStructure>, yStdDevs?: Real, yGridPoints?: Size, extrapolatePayoff?: boolean, flatPayoffExtrapolation?: boolean): Real
- Parameters
  - type: Type
  - expiry: Date
  - valueDate: Date
  - maturity: Date
  - strike: Rate
  - Optional referenceDate: Date
  - Optional y: Real
  - Optional yts: Handle<YieldTermStructure>
  - Optional yStdDevs: Real
  - Optional yGridPoints: Size
  - Optional extrapolatePayoff: boolean
  - Optional flatPayoffExtrapolation: boolean
  Returns Real

Methods

FixedReversions

FixedReversions(): boolean[]

- Defined in ql/models/shortrate/onefactormodels/gsr.ts:136
Returns boolean[]

FixedVolatilities

FixedVolatilities(): boolean[]

- Defined in ql/models/shortrate/onefactormodels/gsr.ts:144
Returns boolean[]

MoveReversion

MoveReversion(i: Size): boolean[]

- Defined in ql/models/shortrate/onefactormodels/gsr.ts:165
Parameters
- i: Size
Returns boolean[]

MoveVolatility

MoveVolatility(i: Size): boolean[]

- Defined in ql/models/shortrate/onefactormodels/gsr.ts:153
Parameters
- i: Size
Returns boolean[]

calibrateReversionsIterative

calibrateReversionsIterative(helpers: CalibrationHelper[], method: OptimizationMethod, endCriteria: EndCriteria, constraint?: Constraint, weights?: Real[]): void

- Defined in ql/models/shortrate/onefactormodels/gsr.ts:197
Parameters
- helpers: CalibrationHelper[]
- method: OptimizationMethod
- endCriteria: EndCriteria
- Default value constraint: Constraint = new Constraint()
- Default value weights: Real[] = []
Returns void

calibrateVolatilitiesIterative

calibrateVolatilitiesIterative(helpers: CalibrationHelper[], method: OptimizationMethod, endCriteria: EndCriteria, constraint?: Constraint, weights?: Real[]): void

- Defined in ql/models/shortrate/onefactormodels/gsr.ts:183
Parameters
- helpers: CalibrationHelper[]
- method: OptimizationMethod
- endCriteria: EndCriteria
- Default value constraint: Constraint = new Constraint()
- Default value weights: Real[] = []
Returns void

generateArguments

generateArguments(): void

Overrides Gaussian1dModelCalibratedModel.generateArguments
- Defined in ql/models/shortrate/onefactormodels/gsr.ts:247
Returns void

gsrInit1

gsrInit1(termStructure: Handle<YieldTermStructure>, volstepdates: Date[], volatilities: Real[], reversion: Real, T?: Real): Gsr

- Defined in ql/models/shortrate/onefactormodels/gsr.ts:26
Parameters
- termStructure: Handle<YieldTermStructure>
- volstepdates: Date[]
- volatilities: Real[]
- reversion: Real
- Default value T: Real = 60
Returns Gsr

gsrInit2

gsrInit2(termStructure: Handle<YieldTermStructure>, volstepdates: Date[], volatilities: Real[], reversions: Real[], T?: Real): Gsr

- Defined in ql/models/shortrate/onefactormodels/gsr.ts:52
Parameters
- termStructure: Handle<YieldTermStructure>
- volstepdates: Date[]
- volatilities: Real[]
- reversions: Real[]
- Default value T: Real = 60
Returns Gsr

gsrInit3

gsrInit3(termStructure: Handle<YieldTermStructure>, volstepdates: Date[], volatilities: Array<Handle<Quote>>, reversion: Handle<Quote>, T?: Real): Gsr

- Defined in ql/models/shortrate/onefactormodels/gsr.ts:80
Parameters
- termStructure: Handle<YieldTermStructure>
- volstepdates: Date[]
- volatilities: Array<Handle<Quote>>
- reversion: Handle<Quote>
- Default value T: Real = 60
Returns Gsr

gsrInit4

gsrInit4(termStructure: Handle<YieldTermStructure>, volstepdates: Date[], volatilities: Array<Handle<Quote>>, reversions: Array<Handle<Quote>>, T?: Real): Gsr

- Defined in ql/models/shortrate/onefactormodels/gsr.ts:101
Parameters
- termStructure: Handle<YieldTermStructure>
- volstepdates: Date[]
- volatilities: Array<Handle<Quote>>
- reversions: Array<Handle<Quote>>
- Default value T: Real = 60
Returns Gsr

initialize

initialize(T: Real): void

- Defined in ql/models/shortrate/onefactormodels/gsr.ts:303
Parameters
- T: Real
Returns void

numeraireImpl

numeraireImpl(t: Time, y: Real, yts: Handle<YieldTermStructure>): Real

Overrides Gaussian1dModelCalibratedModel.numeraireImpl
- Defined in ql/models/shortrate/onefactormodels/gsr.ts:208
Parameters
- t: Time
- y: Real
- yts: Handle<YieldTermStructure>
Returns Real

numeraireTime1

numeraireTime1(): Real

- Defined in ql/models/shortrate/onefactormodels/gsr.ts:121
Returns Real

numeraireTime2

numeraireTime2(T: Real): void

- Defined in ql/models/shortrate/onefactormodels/gsr.ts:125
Parameters
- T: Real
Returns void

performCalculations

performCalculations(): void

Overrides Gaussian1dModelCalibratedModel.performCalculations
- Defined in ql/models/shortrate/onefactormodels/gsr.ts:259
Returns void

reversion

reversion(): Real[]

- Defined in ql/models/shortrate/onefactormodels/gsr.ts:129
Returns Real[]

update

update(): void

Overrides Gaussian1dModelCalibratedModel.update
- Defined in ql/models/shortrate/onefactormodels/gsr.ts:252
Returns void

updateReversion

updateReversion(): void

- Defined in ql/models/shortrate/onefactormodels/gsr.ts:296
Returns void

updateTimes

updateTimes(): void

- Defined in ql/models/shortrate/onefactormodels/gsr.ts:264
Returns void

updateVolatility

updateVolatility(): void

- Defined in ql/models/shortrate/onefactormodels/gsr.ts:289
Returns void

volatility

volatility(): Real[]

- Defined in ql/models/shortrate/onefactormodels/gsr.ts:132
Returns Real[]

zerobondImpl

zerobondImpl(T: Time, t: Time, y: Real, yts: Handle<YieldTermStructure>): Real

Overrides Gaussian1dModelCalibratedModel.zerobondImpl
- Defined in ql/models/shortrate/onefactormodels/gsr.ts:222
Parameters
- T: Time
- t: Time
- y: Real
- yts: Handle<YieldTermStructure>
Returns Real

Hierarchy

Implements

Index

Classes

Properties

Methods

Properties

_alwaysForward

_arguments

_calculated

_constraint

_enforcesTodaysHistoricFixings

_evaluationDate

_frozen

_functionEvaluation

_isDisposed

_observables

_observers

_problemValues

Private _reversion

Private _reversionObserver

Private _reversions

_shortRateEndCriteria

Private _sigma

_stateProcess

_swapCache

_termStructure

Private _volatilities

Private _volatilityObserver

Private _volstepdates

Private _volsteptimes

Private _volsteptimesArray

alwaysForwardNotifications

Type declaration

Returns void

calculate

Type declaration

Returns void

calibrate1

Type declaration

Parameters

instruments: CalibrationHelperBase[]

method: OptimizationMethod

endCriteria: EndCriteria

Optional additionalConstraint: Constraint

Optional weights: Real[]

Optional fixParameters: boolean[]

Returns void

calibrate2

Type declaration

Parameters

instruments: BlackCalibrationHelper[]

method: OptimizationMethod

endCriteria: EndCriteria

Optional additionalConstraint: Constraint

Optional weights: Real[]

Optional fixParameters: boolean[]

Returns void

cmInit

Type declaration

Parameters

nArguments: Size

Returns CalibratedModel

constraint

Type declaration

Returns Constraint

deepUpdate

Type declaration

Returns void

dispose

Type declaration

Returns void

endCriteria

Type declaration

Returns Type

forwardRate

Type declaration

Parameters

fixing: Date

Optional referenceDate: Date