Class GsrProcessCore

Hierarchy

GsrProcessCore

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new GsrProcessCore(times: Real[], vols: Real[], reversions: Real[], T?: Real): GsrProcessCore

- Defined in ql/processes/gsrprocesscore.ts:10
Parameters
- times: Real[]
- vols: Real[]
- reversions: Real[]
- Default value T: Real = 60
Returns GsrProcessCore

Properties

Private _T

_T: Time

Private _cache1

_cache1: Map<string, Real> = new Map()

Private _cache2a

_cache2a: Map<string, Real> = new Map()

Private _cache2b

_cache2b: Map<string, Real> = new Map()

Private _cache3

_cache3: Map<string, Real> = new Map()

Private _cache4

_cache4: Map<Real, Real> = new Map()

Private _cache5

_cache5: Map<string, Real> = new Map()

Private _revZero

_revZero: boolean[]

Protected _reversions

_reversions: Real[]

Protected _times

_times: Real[]

Protected _vols

_vols: Real[]

Methods

G

G(t: Time, w: Time): Real

- Defined in ql/processes/gsrprocesscore.ts:304
Parameters
- t: Time
- w: Time
Returns Real

Private cappedTime

cappedTime(index: Size, cap?: Real): Real

- Defined in ql/processes/gsrprocesscore.ts:384
Parameters
- index: Size
- Default value cap: Real = QL_NULL_REAL
Returns Real

expectation_rn_part

expectation_rn_part(w: Time, dt: Time): Real

- Defined in ql/processes/gsrprocesscore.ts:57
Parameters
- w: Time
- dt: Time
Returns Real

expectation_tf_part

expectation_tf_part(w: Time, dt: Time): Real

- Defined in ql/processes/gsrprocesscore.ts:145
Parameters
- w: Time
- dt: Time
Returns Real

expectation_x0dep_part

expectation_x0dep_part(w: Time, xw: Real, dt: Time): Real

- Defined in ql/processes/gsrprocesscore.ts:39
Parameters
- w: Time
- xw: Real
- dt: Time
Returns Real

Private flooredTime

flooredTime(index: Size, floor?: Real): Real

- Defined in ql/processes/gsrprocesscore.ts:389
Parameters
- index: Size
- Default value floor: Real = QL_NULL_REAL
Returns Real

flushCache

flushCache(): void

- Defined in ql/processes/gsrprocesscore.ts:341
Returns void

Private lowerIndex

lowerIndex(t: Time): Size

- Defined in ql/processes/gsrprocesscore.ts:359
Parameters
- t: Time
Returns Size

Private rev

rev(index: Size): Real

- Defined in ql/processes/gsrprocesscore.ts:401
Parameters
- index: Size
Returns Real

Private revZero

revZero(index: Size): boolean

- Defined in ql/processes/gsrprocesscore.ts:408
Parameters
- index: Size
Returns boolean

reversion

reversion(t: Time): Real

- Defined in ql/processes/gsrprocesscore.ts:337
Parameters
- t: Time
Returns Real

sigma

sigma(t: Time): Real

- Defined in ql/processes/gsrprocesscore.ts:333
Parameters
- t: Time
Returns Real

Private time2

time2(index: Size): Real

- Defined in ql/processes/gsrprocesscore.ts:372
Parameters
- index: Size
Returns Real

Private upperIndex

upperIndex(t: Time): Size

- Defined in ql/processes/gsrprocesscore.ts:363
Parameters
- t: Time
Returns Size

variance

variance(w: Time, dt: Time): Real

- Defined in ql/processes/gsrprocesscore.ts:241
Parameters
- w: Time
- dt: Time
Returns Real

Private vol

vol(index: Size): Real

- Defined in ql/processes/gsrprocesscore.ts:394
Parameters
- index: Size
Returns Real

y

y(t: Time): Real

- Defined in ql/processes/gsrprocesscore.ts:274
Parameters
- t: Time
Returns Real