Class ObjectiveFunction

Hierarchy

ObjectiveFunction

Implements

UnaryFunction<Volatility, Real>

Index

Constructors

constructor

Properties

Methods

f

Constructors

constructor

new ObjectiveFunction(optionletStripper1: OptionletStripper1, cap: CapFloor, targetValue: Real): ObjectiveFunction

- Defined in ql/termstructures/volatility/optionlet/optionletstripper2.ts:170
Parameters
- optionletStripper1: OptionletStripper1
- cap: CapFloor
- targetValue: Real
Returns ObjectiveFunction

Properties

Private _cap

Private _spreadQuote

_spreadQuote: SimpleQuote

Private _targetValue

_targetValue: Real

Methods

f

f(s: Volatility): Real

- Defined in ql/termstructures/volatility/optionlet/optionletstripper2.ts:196
Parameters
- s: Volatility
Returns Real