Class rStarFinder

Hierarchy

rStarFinder

Implements

UnaryFunction<Rate, Real>

Index

Constructors

constructor

Properties

Methods

f

Constructors

constructor

new rStarFinder(model: Gaussian1dModel, nominal: Real, maturityDate: Date, valueDate: Date, fixedPayDates: Date[], amounts: Real[], startIndex: Size): rStarFinder

- Defined in ql/pricingengines/swaption/gaussian1djamshidianswaptionengine.ts:106
Parameters
- model: Gaussian1dModel
- nominal: Real
- maturityDate: Date
- valueDate: Date
- fixedPayDates: Date[]
- amounts: Real[]
- startIndex: Size
Returns rStarFinder

Properties

Private _amounts

_amounts: Real[]

Private _maturityDate

_maturityDate: Date

Private _model

_model: Gaussian1dModel

Private _startIndex

_startIndex: Size

Private _strike

_strike: Real

Private _times

_times: Date[]

Private _valueDate

_valueDate: Date

Methods

f

f(y: Rate): Real

- Defined in ql/pricingengines/swaption/gaussian1djamshidianswaptionengine.ts:120
Parameters
- y: Rate
Returns Real