Class SwaptionPricingFunction

Hierarchy

SwaptionPricingFunction

Implements

UnaryFunction<Real, Real>

Index

Classes

SolvingFunction

Constructors

constructor

Properties

Methods

Constructors

constructor

new SwaptionPricingFunction(a: Real, sigma: Real, b: Real, eta: Real, rho: Real, w: Real, start: Real, payTimes: Time[], fixedRate: Rate, model: G2): SwaptionPricingFunction

- Defined in ql/models/shortrate/twofactormodels/g2.ts:283
Parameters
- a: Real
- sigma: Real
- b: Real
- eta: Real
- rho: Real
- w: Real
- start: Real
- payTimes: Time[]
- fixedRate: Rate
- model: G2
Returns SwaptionPricingFunction

Properties

Private _A

_A: Real[]

Private _Ba

_Ba: Real[]

Private _Bb

_Bb: Real[]

Private _T

_T: Time

Private _a

_a: Real

Private _b

_b: Real

Private _eta

_eta: Real

Private _mux

_mux: Real

Private _muy

_muy: Real

Private _rate

_rate: Rate

Private _rho

_rho: Real

Private _rhoxy

_rhoxy: Real

Private _sigma

_sigma: Real

Private _sigmax

_sigmax: Real

Private _sigmay

_sigmay: Real

Private _size

_size: Size

Private _t

_t: Time[]

Private _w

_w: Real

Methods

f

f(x: Real): Real

- Defined in ql/models/shortrate/twofactormodels/g2.ts:342
Parameters
- x: Real
Returns Real

mux

mux(): Real

- Defined in ql/models/shortrate/twofactormodels/g2.ts:334
Returns Real

sigmax

sigmax(): Real

- Defined in ql/models/shortrate/twofactormodels/g2.ts:338
Returns Real