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Class G2SwaptionEngine

Swaption priced by means of the Black formula

warning

The engine assumes that the exercise date equals the start date of the passed swap.

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

  • Parameters

    Returns G2SwaptionEngine

Properties

_arguments

_arguments: Arguments

Private _intervals

_intervals: Size

_isDisposed

_isDisposed: boolean = false

_model

_model: Handle<G2>

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Private _range

_range: Real

_results

_results: Results

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

getResults

init1

init2

reset

  • reset(): void

update

  • update(): void