Class ConstantEstimator

Constant-estimator volatility model

Volatilities are assumed to be expressed on an annual basis.

Hierarchy

VolatilityCompositor
- ConstantEstimator

Index

Constructors

constructor

Properties

_size

Accessors

isDisposed

Methods

Constructors

constructor

new ConstantEstimator(size: Size): ConstantEstimator

- Defined in ql/models/volatility/constantestimator.ts:15
Parameters
- size: Size
Returns ConstantEstimator

Properties

Private _size

_size: Size

Accessors

isDisposed

get isDisposed(): boolean

Inherited from VolatilityCompositor.isDisposed
- Defined in ql/volatilitymodel.ts:36
Returns boolean

Methods

calculate1

calculate1(volatilitySeries: TimeSeries<Volatility>): TimeSeries<Volatility>

Overrides VolatilityCompositor.calculate1
- Defined in ql/models/volatility/constantestimator.ts:21
Parameters
- volatilitySeries: TimeSeries<Volatility>
Returns TimeSeries<Volatility>

calibrate

calibrate(v: TimeSeries<Volatility>): void

- Defined in ql/models/volatility/constantestimator.ts:42
Parameters
- v: TimeSeries<Volatility>
Returns void

calibrate1

calibrate1(volatilitySeries: TimeSeries<Volatility>): void

Inherited from VolatilityCompositor.calibrate1
- Defined in ql/volatilitymodel.ts:32
Parameters
- volatilitySeries: TimeSeries<Volatility>
Returns void

dispose

dispose(): void

Inherited from VolatilityCompositor.dispose
- Defined in ql/volatilitymodel.ts:40
Returns void