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Class LatticeShortRateModelEngine<ArgumentsType, ResultsType>

Engine for a short-rate model specialized on a lattice

Derived engines only need to implement the calculate() method

Type parameters

Hierarchy

Implements

Index

Properties

Methods

Properties

_arguments

_arguments: ArgumentsType

_isDisposed

_isDisposed: boolean = false

Protected _lattice

_lattice: Lattice

_model

_model: Handle<ShortRateModel>

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

_results

_results: ResultsType

Protected _timeGrid

_timeGrid: TimeGrid

Protected _timeSteps

_timeSteps: Size

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

registerWith

registerWith: (h: Observable) => void

Type declaration

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

unregisterWithAll

unregisterWithAll: () => void

Type declaration

    • (): void

    • Returns void

Methods

calculate

  • calculate(): void

getArguments

  • getArguments(): ArgumentsType

getResults

  • getResults(): ResultsType

init1

init2

lsrmeInit1

lsrmeInit2

lsrmeInit3

reset

  • reset(): void

update

  • update(): void

  • Returns void