Class FittingParameter

Hierarchy

TermStructureFittingParameter
- FittingParameter

Implements

UnaryFunction<Time, Real>

Index

Classes

Constructors

constructor

Properties

Methods

Constructors

constructor

new FittingParameter(termStructure: Handle<YieldTermStructure>, a: Real, sigma: Real): FittingParameter

- Defined in ql/models/shortrate/onefactormodels/hullwhite.ts:233
Parameters
- termStructure: Handle<YieldTermStructure>
- a: Real
- sigma: Real
Returns FittingParameter

Properties

Protected _constraint

_constraint: Constraint

Protected _impl

_impl: Impl

Protected _params

_params: Real[] = []

Methods

constraint

constraint(): Constraint

Inherited from Parameter.constraint
- Defined in ql/models/parameter.ts:56
Returns Constraint

f

f(t: Time): Real

Inherited from Parameter.f
- Defined in ql/models/parameter.ts:48
Parameters
- t: Time
Returns Real

implementation

implementation(): Impl

Inherited from Parameter.implementation
- Defined in ql/models/parameter.ts:52
Returns Impl

init1

init1(): Parameter

Inherited from Parameter.init1
- Defined in ql/models/parameter.ts:17
Returns Parameter

init2

init2(size: Size, impl: Impl, constraint: Constraint): Parameter

Inherited from Parameter.init2
- Defined in ql/models/parameter.ts:25
Parameters
- size: Size
- impl: Impl
- constraint: Constraint
Returns Parameter

params

params(): Real[]

Inherited from Parameter.params
- Defined in ql/models/parameter.ts:32
Returns Real[]

setParam

setParam(i: Size, x: Real): void

Inherited from Parameter.setParam
- Defined in ql/models/parameter.ts:36
Parameters
- i: Size
- x: Real
Returns void

size

size(): Size

Inherited from Parameter.size
- Defined in ql/models/parameter.ts:44
Returns Size

testParams

testParams(params: Real[]): boolean

Inherited from Parameter.testParams
- Defined in ql/models/parameter.ts:40
Parameters
- params: Real[]
Returns boolean

tfpInit1

tfpInit1(impl: Impl): TermStructureFittingParameter

Inherited from TermStructureFittingParameter.tfpInit1
- Defined in ql/models/parameter.ts:159
Parameters
- impl: Impl
Returns TermStructureFittingParameter

tfpInit2

tfpInit2(term: Handle<YieldTermStructure>): TermStructureFittingParameter

Inherited from TermStructureFittingParameter.tfpInit2
- Defined in ql/models/parameter.ts:167
Parameters
- term: Handle<YieldTermStructure>
Returns TermStructureFittingParameter