Class rStarFinder

Hierarchy

rStarFinder

Implements

UnaryFunction<Rate, Real>

Index

Constructors

constructor

Properties

Methods

f

Constructors

constructor

new rStarFinder(model: OneFactorAffineTermStructureConsistent, nominal: Real, maturity: Time, valueTime: Time, fixedPayTimes: Time[], amounts: Time[]): rStarFinder

- Defined in ql/pricingengines/swaption/jamshidianswaptionengine.ts:133
Parameters
- model: OneFactorAffineTermStructureConsistent
- nominal: Real
- maturity: Time
- valueTime: Time
- fixedPayTimes: Time[]
- amounts: Time[]
Returns rStarFinder

Properties

Private _amounts

_amounts: Real[]

Private _maturity

_maturity: Time

Private _model

_model: OneFactorAffineTermStructureConsistent

Private _strike

_strike: Real

Private _times

_times: Time[]

Private _valueTime

_valueTime: Time

Methods

f

f(x: Rate): Real

- Defined in ql/pricingengines/swaption/jamshidianswaptionengine.ts:146
Parameters
- x: Rate
Returns Real