Class Dynamics

Hierarchy

ShortRateDynamics
- Dynamics

Index

Constructors

constructor

Properties

_fitting

Methods

Constructors

constructor

new Dynamics(fitting: Parameter, a: Real, sigma: Real, b: Real, eta: Real, rho: Real): Dynamics

Overrides ShortRateDynamics.constructor
- Defined in ql/models/shortrate/twofactormodels/g2.ts:207
Parameters
- fitting: Parameter
- a: Real
- sigma: Real
- b: Real
- eta: Real
- rho: Real
Returns Dynamics

Properties

Private _fitting

_fitting: Parameter

Methods

correlation

correlation(): Real

Inherited from ShortRateDynamics.correlation
- Defined in ql/models/shortrate/twofactormodel.ts:78
Returns Real

process

process(): StochasticProcess

Inherited from ShortRateDynamics.process
- Defined in ql/models/shortrate/twofactormodel.ts:82
Returns StochasticProcess

shortRate

shortRate(t: Time, x: Real, y: Real): Rate

Overrides ShortRateDynamics.shortRate
- Defined in ql/models/shortrate/twofactormodels/g2.ts:217
Parameters
- t: Time
- x: Real
- y: Real
Returns Rate

xProcess

xProcess(): StochasticProcess1D

Inherited from ShortRateDynamics.xProcess
- Defined in ql/models/shortrate/twofactormodel.ts:72
Returns StochasticProcess1D

yProcess

yProcess(): StochasticProcess1D

Inherited from ShortRateDynamics.yProcess
- Defined in ql/models/shortrate/twofactormodel.ts:75
Returns StochasticProcess1D