Class ModelSettings

Hierarchy

ModelSettings

Properties

_adjustments

_adjustments: Size

_digitalGap

_digitalGap: Real

_gaussHermitePoints

_gaussHermitePoints: Size

_lowerRateBound

_lowerRateBound: Real

_marketRateAccuracy

_marketRateAccuracy: Real

_smileMoneynessCheckpoints

_smileMoneynessCheckpoints: Real[]

_upperRateBound

_upperRateBound: Real

_yGridPoints

_yGridPoints: Size

_yStdDevs

_yStdDevs: Real

Methods

addAdjustment

addAdjustment(a: Size): ModelSettings

- Defined in ql/models/shortrate/onefactormodels/markovfunctional.ts:1371
Parameters
- a: Size
Returns ModelSettings

init1

init1(): ModelSettings

- Defined in ql/models/shortrate/onefactormodels/markovfunctional.ts:1295
Returns ModelSettings

init2

init2(yGridPoints: Size, yStdDevs: Real, gaussHermitePoints: Size, digitalGap: Real, marketRateAccuracy: Real, lowerRateBound: Real, upperRateBound: Real, adjustments: Size, smileMoneynessCheckpoints: Real[]): ModelSettings

- Defined in ql/models/shortrate/onefactormodels/markovfunctional.ts:1312
Parameters
- yGridPoints: Size
- yStdDevs: Real
- gaussHermitePoints: Size
- digitalGap: Real
- marketRateAccuracy: Real
- lowerRateBound: Real
- upperRateBound: Real
- adjustments: Size
- smileMoneynessCheckpoints: Real[]
Returns ModelSettings

removeAdjustment

removeAdjustment(a: Size): ModelSettings

- Defined in ql/models/shortrate/onefactormodels/markovfunctional.ts:1376
Parameters
- a: Size
Returns ModelSettings

validate

validate(): void

- Defined in ql/models/shortrate/onefactormodels/markovfunctional.ts:1329
Returns void

withAdjustments

withAdjustments(a: Size): ModelSettings

- Defined in ql/models/shortrate/onefactormodels/markovfunctional.ts:1366
Parameters
- a: Size
Returns ModelSettings

withDigitalGap

withDigitalGap(d: Real): ModelSettings

- Defined in ql/models/shortrate/onefactormodels/markovfunctional.ts:1346
Parameters
- d: Real
Returns ModelSettings

withGaussHermitePoints

withGaussHermitePoints(n: Size): ModelSettings

- Defined in ql/models/shortrate/onefactormodels/markovfunctional.ts:1341
Parameters
- n: Size
Returns ModelSettings

withLowerRateBound

withLowerRateBound(l: Real): ModelSettings

- Defined in ql/models/shortrate/onefactormodels/markovfunctional.ts:1361
Parameters
- l: Real
Returns ModelSettings

withMarketRateAccuracy

withMarketRateAccuracy(a: Real): ModelSettings

- Defined in ql/models/shortrate/onefactormodels/markovfunctional.ts:1351
Parameters
- a: Real
Returns ModelSettings

withSmileMoneynessCheckpoints

withSmileMoneynessCheckpoints(m: Real[]): ModelSettings

- Defined in ql/models/shortrate/onefactormodels/markovfunctional.ts:1381
Parameters
- m: Real[]
Returns ModelSettings

withUpperRateBound

withUpperRateBound(u: Real): ModelSettings

- Defined in ql/models/shortrate/onefactormodels/markovfunctional.ts:1356
Parameters
- u: Real
Returns ModelSettings

withYGridPoints

withYGridPoints(n: Size): ModelSettings

- Defined in ql/models/shortrate/onefactormodels/markovfunctional.ts:1331
Parameters
- n: Size
Returns ModelSettings

withYStdDevs

withYStdDevs(s: Real): ModelSettings

- Defined in ql/models/shortrate/onefactormodels/markovfunctional.ts:1336
Parameters
- s: Real
Returns ModelSettings