Class Garch11CostFunction

Hierarchy

CostFunction
- Garch11CostFunction

Index

Constructors

constructor

Properties

Accessors

isDisposed

Methods

Constructors

constructor

new Garch11CostFunction(r2: Volatility[]): Garch11CostFunction

- Defined in ql/models/volatility/garch.ts:424
Parameters
- r2: Volatility[]
Returns Garch11CostFunction

Properties

_isDisposed

_isDisposed: boolean = false

Private _r2

_r2: Volatility[]

Accessors

isDisposed

get isDisposed(): boolean

Inherited from CostFunction.isDisposed
- Defined in ql/math/optimization/costfunction.ts:85
Returns boolean

Methods

dispose

dispose(): void

Inherited from CostFunction.dispose
- Defined in ql/math/optimization/costfunction.ts:89
Returns void

finiteDifferenceEpsilon

finiteDifferenceEpsilon(): Real

Inherited from CostFunction.finiteDifferenceEpsilon
- Defined in ql/math/optimization/costfunction.ts:81
Default epsilon for finite difference method

Returns Real

gradient

gradient(grad: Real[], x: Real[]): void

Overrides CostFunction.gradient
- Defined in ql/models/volatility/garch.ts:455
Parameters
- grad: Real[]
- x: Real[]
Returns void

jacobian

jacobian(jac: Matrix, x: Real[]): void

Inherited from CostFunction.jacobian
- Defined in ql/math/optimization/costfunction.ts:55
method to overload to compute J_f, the jacobian of the cost function with respect to x

Parameters
- jac: Matrix
- x: Real[]
Returns void

value

value(x: Real[]): Real

Overrides CostFunction.value
- Defined in ql/models/volatility/garch.ts:430
Parameters
- x: Real[]
Returns Real

valueAndGradient

valueAndGradient(grad: Real[], x: Real[]): Real

Overrides CostFunction.valueAndGradient
- Defined in ql/models/volatility/garch.ts:477
Parameters
- grad: Real[]
- x: Real[]
Returns Real

values

values(x: Real[]): Real[]

Overrides CostFunction.values
- Defined in ql/models/volatility/garch.ts:442
Parameters
- x: Real[]
Returns Real[]

valuesAndJacobian

valuesAndJacobian(jac: Matrix, x: Real[]): Real[]

Inherited from CostFunction.valuesAndJacobian
- Defined in ql/math/optimization/costfunction.ts:75
method to overload to compute J_f, the jacobian of the cost function with respect to x and also the cost function

Parameters
- jac: Matrix
- x: Real[]
Returns Real[]