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Hierarchy

Index

Constructors

constructor

Properties

Protected _calibrationType

_calibrationType: CalibrationType

Protected _cmsMarket

_cmsMarket: CmsMarket

_isDisposed

_isDisposed: boolean = false

Protected _smileAndCms

_smileAndCms: CmsMarketCalibration

Protected _volCube

Protected _weights

_weights: Matrix

Accessors

isDisposed

  • get isDisposed(): boolean

Methods

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

jacobian

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

    Parameters

    Returns void

Protected switchErrorFunctionOnCalibrationType

  • switchErrorFunctionOnCalibrationType(): Real

Protected switchErrorsFunctionOnCalibrationType

  • switchErrorsFunctionOnCalibrationType(): Real[]

updateVolatilityCubeAndCmsMarket

  • updateVolatilityCubeAndCmsMarket(x: Real[]): void

value

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

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[]