Gaussian1dCapFloorEngine

Gaussian1d cap/floor engine

Hierarchy

GenericModelEngine<Gaussian1dModel, Arguments, Results>
- Gaussian1dCapFloorEngine

Implements

Index

Constructors

constructor

Methods

Constructors

constructor

new Gaussian1dCapFloorEngine(model: Gaussian1dModel, integrationPoints?: Integer, stddevs?: Real, extrapolatePayoff?: boolean, flatPayoffExtrapolation?: boolean, discountCurve?: Handle<YieldTermStructure>): Gaussian1dCapFloorEngine

- Defined in ql/pricingengines/capfloor/gaussian1dcapfloorengine.ts:18
Parameters
- model: Gaussian1dModel
- Default value integrationPoints: Integer = 64
- Default value stddevs: Real = 7
- Default value extrapolatePayoff: boolean = true
- Default value flatPayoffExtrapolation: boolean = false
- Default value discountCurve: Handle<YieldTermStructure> = new Handle()
Returns Gaussian1dCapFloorEngine

Properties

_arguments

_arguments: Arguments

Private _discountCurve

_discountCurve: Handle<YieldTermStructure>

Private _extrapolatePayoff

_extrapolatePayoff: boolean

Private _flatPayoffExtrapolation

_flatPayoffExtrapolation: boolean

Private _integrationPoints

_integrationPoints: Integer

_isDisposed

_isDisposed: boolean = false

_model

_model: Handle<Gaussian1dModel>

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

_results

_results: Results

Private _stddevs

_stddevs: Real

deepUpdate

deepUpdate: () => void

Type declaration

- (): void
- Returns void

dispose

dispose: () => void

Type declaration

- (): void
- Returns void

isDisposed

isDisposed: boolean

notifyObservers

notifyObservers: () => void

Type declaration

- (): void
- Returns void

registerObserver

registerObserver: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

registerWith

registerWith: (h: Observable) => void

Type declaration

- (h: Observable): void
- Parameters
  - h: Observable
  Returns void

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

- (h: Observable): Size
- Parameters
  - h: Observable
  Returns Size

unregisterWithAll

unregisterWithAll: () => void

Type declaration

- (): void
- Returns void

Methods

calculate

calculate(): void

Overrides PricingEngineObserver.calculate
- Defined in ql/pricingengines/capfloor/gaussian1dcapfloorengine.ts:38
Returns void

getArguments

getArguments(): Arguments

Inherited from GenericEngine.getArguments

Overrides PricingEngineObserver.getArguments
- Defined in ql/genericengine.ts:17
Returns Arguments

getResults

getResults(): Results

Inherited from GenericEngine.getResults

Overrides PricingEngineObserver.getResults
- Defined in ql/genericengine.ts:21
Returns Results

init1

init1(model?: Handle<Gaussian1dModel>): GenericModelEngine<Gaussian1dModel, Arguments, Results>

Inherited from GenericModelEngine.init1
- Defined in ql/pricingengines/genericmodelengine.ts:20
Parameters
- Default value model: Handle<Gaussian1dModel> = new Handle()
Returns GenericModelEngine<Gaussian1dModel, Arguments, Results>

init2

init2(model: Gaussian1dModel): GenericModelEngine<Gaussian1dModel, Arguments, Results>

Inherited from GenericModelEngine.init2
- Defined in ql/pricingengines/genericmodelengine.ts:28
Parameters
- model: Gaussian1dModel
Returns GenericModelEngine<Gaussian1dModel, Arguments, Results>

reset

reset(): void

Inherited from GenericEngine.reset

Overrides PricingEngineObserver.reset
- Defined in ql/genericengine.ts:25
Returns void

update

update(): void

Inherited from GenericEngine.update

Overrides PricingEngineObserver.update
- Defined in ql/genericengine.ts:29
Returns void

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Parameters

model: Gaussian1dModel

Default value integrationPoints: Integer = 64

Default value stddevs: Real = 7

Default value extrapolatePayoff: boolean = true

Default value flatPayoffExtrapolation: boolean = false

Default value discountCurve: Handle<YieldTermStructure> = new Handle()

Returns Gaussian1dCapFloorEngine

Properties

_arguments

Private _discountCurve

Private _extrapolatePayoff

Private _flatPayoffExtrapolation

Private _integrationPoints

_isDisposed

_model

_observables

_observers

_results

Private _stddevs

deepUpdate

Type declaration

Returns void

dispose

Type declaration

Returns void

isDisposed

notifyObservers

Type declaration

Returns void

registerObserver

Type declaration

Parameters

o: Observer

Returns void

registerWith

Type declaration

Parameters

h: Observable

Returns void

registerWithObservables

Type declaration

Parameters

o: Observer

Returns void

unregisterObserver

Type declaration

Parameters

o: Observer

Returns void

unregisterWith

Type declaration

Parameters

h: Observable

Returns Size

unregisterWithAll

Type declaration

Returns void

Methods

calculate

Returns void

getArguments

Returns Arguments

getResults

Returns Results

init1

Parameters

Default value model: Handle<Gaussian1dModel> = new Handle()

Returns GenericModelEngine<Gaussian1dModel, Arguments, Results>

init2

Parameters

model: Gaussian1dModel