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Hierarchy

Index

Constructors

constructor

Properties

Private _d2CdK2

Private _dT

_dT: Time

Private _dxMap

Private _dxxMap

Private _interpolationType

_interpolationType: InterpolationType

_isDisposed

_isDisposed: boolean = false

Private _lnMarketStrikes

_lnMarketStrikes: Real[]

Private _mapT

Private _marketNPVs

_marketNPVs: Real[]

Private _marketVegas

_marketVegas: Real[]

Private _mesher

_nGridPoints

_nGridPoints: Size

Private _previousNPVs

_previousNPVs: Real[]

Accessors

isDisposed

  • get isDisposed(): boolean

Methods

apply

  • Parameters

    Returns Real[]

d2CdK2

  • Parameters

    Returns Real[]

dispose

  • dispose(): void
  • Returns void

finiteDifferenceEpsilon

  • finiteDifferenceEpsilon(): Real

gradient

  • gradient(grad: Real[], x: Real[]): void
  • method to overload to compute grad_f, the first derivative of the cost function with respect to x

    Parameters

    Returns void

initialValues

  • initialValues(): Real[]
  • Returns Real[]

jacobian

  • method to overload to compute J_f, the jacobian of the cost function with respect to x

    Parameters

    Returns void

solveFor

  • Parameters

    Returns Real[]

value

  • method to overload to compute the cost function value in x

    Parameters

    Returns Real

valueAndGradient

  • method to overload to compute grad_f, the first derivative of the cost function with respect to x and also the cost function

    Parameters

    Returns Real

values

  • Parameters

    Returns Real[]

valuesAndJacobian

  • method to overload to compute J_f, the jacobian of the cost function with respect to x and also the cost function

    Parameters

    Returns Real[]

vegaCalibrationError

  • vegaCalibrationError(sig: Real[]): Real[]
  • Parameters

    Returns Real[]