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Class MCHullWhiteCapFloorEngine

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

  • Parameters

    • Default value RNG: rng_traits = new PseudoRandom()
    • Default value S: any = new RiskStatistics()

    Returns MCHullWhiteCapFloorEngine

Properties

MC

MC: mc_traits

RNG

RNG: rng_traits

S

S: any

_antitheticVariate

_antitheticVariate: boolean

_arguments

_arguments: Arguments = new CapFloorEngine.Arguments()

Protected _brownianBridge

_brownianBridge: boolean

_controlVariate

_controlVariate: boolean

_isDisposed

_isDisposed: boolean = false

Protected _maxSamples

_maxSamples: Size

_mcModel

_mcModel: MonteCarloModel

Protected _model

_model: HullWhite

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Protected _requiredSamples

_requiredSamples: Size

Protected _requiredTolerance

_requiredTolerance: Real

_results

_results: Results = new CapFloorEngine.Results()

Protected _seed

_seed: BigNatural

calculate1

calculate1: (requiredTolerance: Real, requiredSamples: Size, maxSamples: Size) => void

Type declaration

    • (requiredTolerance: Real, requiredSamples: Size, maxSamples: Size): void

    • Parameters

      • requiredTolerance: Real
      • requiredSamples: Size
      • maxSamples: Size

      Returns void

controlPathGenerator

controlPathGenerator: () => PathGenerator

Type declaration

controlPathPricer

controlPathPricer: () => PathPricer<Path | MultiPath>

Type declaration

controlPricingEngine

controlPricingEngine: () => PricingEngine

Type declaration

controlVariateValue

controlVariateValue: () => Real

Type declaration

deepUpdate

deepUpdate: () => void

Type declaration

    • (): void

    • Returns void

dispose

dispose: () => void

Type declaration

    • (): void

    • Returns void

errorEstimate

errorEstimate: () => Real

Type declaration

getArguments

getArguments: () => Arguments

Type declaration

getResults

getResults: () => Results

Type declaration

isDisposed

isDisposed: boolean

mcsInit

mcsInit: (antitheticVariate: boolean, controlVariate: boolean) => McSimulation

Type declaration

    • (antitheticVariate: boolean, controlVariate: boolean): McSimulation

    • Parameters

      • antitheticVariate: boolean
      • controlVariate: boolean

      Returns McSimulation

notifyObservers

notifyObservers: () => void

Type declaration

    • (): void

    • Returns void

registerObserver

registerObserver: (o: Observer) => void

Type declaration

registerWith

registerWith: (h: Observable) => void

Type declaration

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

reset

reset: () => void

Type declaration

    • (): void

    • Returns void

sampleAccumulator

sampleAccumulator: () => RiskStatistics

Type declaration

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

unregisterWithAll

unregisterWithAll: () => void

Type declaration

    • (): void

    • Returns void

update

update: () => void

Type declaration

    • (): void

    • Returns void

value

value: (tolerance: Real, maxSamples: Size, minSamples: Size) => Real

Type declaration

valueWithSamples

valueWithSamples: (samples: Size) => Real

Type declaration

Methods

calculate

  • calculate(): void

mchwcfeInit

pathGenerator

pathPricer

timeGrid