Class PenaltyFunction

Hierarchy

CostFunction
- PenaltyFunction

Index

Constructors

constructor

Properties

Accessors

isDisposed

Methods

Constructors

constructor

new PenaltyFunction(curve: Curve, initialIndex: Size, helper: BootstrapHelper[], rateHelpersStart: Size, rateHelpersEnd: Size): PenaltyFunction

- Defined in ql/termstructures/localbootstrap.ts:17
Parameters
- curve: Curve
- initialIndex: Size
- helper: BootstrapHelper[]
- rateHelpersStart: Size
- rateHelpersEnd: Size
Returns PenaltyFunction

Properties

Private _curve

_curve: Curve

Private _helper

_helper: BootstrapHelper[]

Private _initialIndex

_initialIndex: Size

_isDisposed

_isDisposed: boolean = false

Private _localisation

_localisation: Size

Private _rateHelpersEnd

_rateHelpersEnd: Size

Private _rateHelpersStart

_rateHelpersStart: Size

Accessors

isDisposed

get isDisposed(): boolean

Inherited from CostFunction.isDisposed
- Defined in ql/math/optimization/costfunction.ts:85
Returns boolean

Methods

dispose

dispose(): void

Inherited from CostFunction.dispose
- Defined in ql/math/optimization/costfunction.ts:89
Returns void

finiteDifferenceEpsilon

finiteDifferenceEpsilon(): Real

Inherited from CostFunction.finiteDifferenceEpsilon
- Defined in ql/math/optimization/costfunction.ts:81
Default epsilon for finite difference method

Returns Real

gradient

gradient(grad: Real[], x: Real[]): void

Inherited from CostFunction.gradient
- Defined in ql/math/optimization/costfunction.ts:28
method to overload to compute grad_f, the first derivative of the cost function with respect to x

Parameters
- grad: Real[]
- x: Real[]
Returns void

jacobian

jacobian(jac: Matrix, x: Real[]): void

Inherited from CostFunction.jacobian
- Defined in ql/math/optimization/costfunction.ts:55
method to overload to compute J_f, the jacobian of the cost function with respect to x

Parameters
- jac: Matrix
- x: Real[]
Returns void

value

value(x: Real[]): Real

Overrides CostFunction.value
- Defined in ql/termstructures/localbootstrap.ts:30
Parameters
- x: Real[]
Returns Real

valueAndGradient

valueAndGradient(grad: Real[], x: Real[]): Real

Inherited from CostFunction.valueAndGradient
- Defined in ql/math/optimization/costfunction.ts:46
method to overload to compute grad_f, the first derivative of the cost function with respect to x and also the cost function

Parameters
- grad: Real[]
- x: Real[]
Returns Real

values

values(x: Real[]): Real[]

Overrides CostFunction.values
- Defined in ql/termstructures/localbootstrap.ts:51
Parameters
- x: Real[]
Returns Real[]

valuesAndJacobian

valuesAndJacobian(jac: Matrix, x: Real[]): Real[]

Inherited from CostFunction.valuesAndJacobian
- Defined in ql/math/optimization/costfunction.ts:75
method to overload to compute J_f, the jacobian of the cost function with respect to x and also the cost function

Parameters
- jac: Matrix
- x: Real[]
Returns Real[]