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Class IterativeBootstrap

Universal piecewise-term-structure boostrapper.

Hierarchy

  • IterativeBootstrap

Index

Constructors

Properties

Methods

Constructors

constructor

Properties

Private _alive

_alive: Size

Private _errors

_errors: BootstrapError[]

Private _firstAliveHelper

_firstAliveHelper: Size

Private _firstSolver

_firstSolver: Brent

Private _initialized

_initialized: boolean

_interpolator

_interpolator: Interpolator

Private _loopRequired

_loopRequired: boolean

Private _n

_n: Size

Private _previousData

_previousData: Real[]

Private _solver

_solver: FiniteDifferenceNewtonSafe

_traits

_traits: Traits

Private _ts

_ts: Curve

Private _validCurve

_validCurve: boolean

Methods

calculate

  • calculate(): void

  • Returns void

Private initialize

  • initialize(): void

  • Returns void

setup

  • setup(ts: any): void

  • Parameters

    • ts: any

    Returns void