Class ModelOutputs

Hierarchy

ModelOutputs

Index

Constructors

constructor

new ModelOutputs(dirty: boolean, settings: ModelSettings, expiries: Date[], tenors: Period[], atm: Real[], annuity: Real[], adjustmentFactors: Real[], digitalsAdjustmentFactors: Real[], messages: string[], smileStrikes: Real[][], marketRawCallPremium: Real[][], marketRawPutPremium: Real[][], marketCallPremium: Real[][], marketPutPremium: Real[][], modelCallPremium: Real[][], modelPutPremium: Real[][], marketVega: Real[][], marketZerorate: Real[], modelZerorate: Real[]): ModelOutputs

- Defined in ql/models/shortrate/onefactormodels/markovfunctional.ts:1448
Parameters
- dirty: boolean
- settings: ModelSettings
- expiries: Date[]
- tenors: Period[]
- atm: Real[]
- annuity: Real[]
- adjustmentFactors: Real[]
- digitalsAdjustmentFactors: Real[]
- messages: string[]
- smileStrikes: Real[][]
- marketRawCallPremium: Real[][]
- marketRawPutPremium: Real[][]
- marketCallPremium: Real[][]
- marketPutPremium: Real[][]
- modelCallPremium: Real[][]
- modelPutPremium: Real[][]
- marketVega: Real[][]
- marketZerorate: Real[]
- modelZerorate: Real[]
Returns ModelOutputs

Properties

_adjustmentFactors

_adjustmentFactors: Real[]

_annuity

_annuity: Real[]

_atm

_atm: Real[]

_digitalsAdjustmentFactors

_digitalsAdjustmentFactors: Real[]

_dirty

_dirty: boolean

_expiries

_expiries: Date[]

_marketCallPremium

_marketCallPremium: Real[][]

_marketPutPremium

_marketPutPremium: Real[][]

_marketRawCallPremium

_marketRawCallPremium: Real[][]

_marketRawPutPremium

_marketRawPutPremium: Real[][]

_marketVega

_marketVega: Real[][]

_marketZerorate

_marketZerorate: Real[]

_messages

_messages: string[]

_modelCallPremium

_modelCallPremium: Real[][]

_modelPutPremium

_modelPutPremium: Real[][]

_modelZerorate

_modelZerorate: Real[]

_settings

_settings: ModelSettings

_smileStrikes

_smileStrikes: Real[][]

_tenors

_tenors: Period[]