Class HullWhiteCapFloorPricer<ValueType>

Type parameters

ValueType

Hierarchy

PathPricer<Path>
- HullWhiteCapFloorPricer

Implements

UnaryFunction<Path, ValueType>

Index

Constructors

constructor

Properties

Methods

f

Constructors

constructor

new HullWhiteCapFloorPricer(args: Arguments, model: HullWhite, forwardMeasureTime: Time): HullWhiteCapFloorPricer

- Defined in ql/pricingengines/capfloor/mchullwhiteengine.ts:206
Parameters
- args: Arguments
- model: HullWhite
- forwardMeasureTime: Time
Returns HullWhiteCapFloorPricer

Properties

Private _args

_args: Arguments

Private _endDiscount

_endDiscount: DiscountFactor

Private _endTimes

_endTimes: Time[]

Private _fixingTimes

_fixingTimes: Time[]

Private _forwardMeasureTime

_forwardMeasureTime: Time

Private _model

_model: HullWhite

Private _startTimes

_startTimes: Time[]

Methods

f

f(path: Path): Real

Overrides PathPricer.f
- Defined in ql/pricingengines/capfloor/mchullwhiteengine.ts:242
Parameters
- path: Path
Returns Real