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Class Cube

Hierarchy

  • Cube

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

  • new Cube(optionDates: Date[], swapTenors: Period[], optionTimes: Time[], swapLengths: Time[], nLayers: Size, extrapolation?: boolean, backwardFlat?: boolean): Cube

  • Parameters

    • optionDates: Date[]
    • swapTenors: Period[]
    • optionTimes: Time[]
    • swapLengths: Time[]
    • nLayers: Size
    • Default value extrapolation: boolean = true
    • Default value backwardFlat: boolean = false

    Returns Cube

Properties

Private _backwardFlat

_backwardFlat: boolean

Private _extrapolation

_extrapolation: boolean

Private _interpolators

_interpolators: Interpolation2D[] = []

Private _nLayers

_nLayers: Size

Private _optionDates

_optionDates: Date[]

Private _optionTimes

_optionTimes: Time[]

Private _points

_points: Matrix[] = []

Private _swapLengths

_swapLengths: Time[]

Private _swapTenors

_swapTenors: Period[]

Private _transposedPoints

_transposedPoints: Matrix[] = []

Methods

browse

  • Returns Matrix

expandLayers

  • expandLayers(i: Size, expandOptionTimes: boolean, j: Size, expandSwapLengths: boolean): void

  • Parameters

    • i: Size
    • expandOptionTimes: boolean
    • j: Size
    • expandSwapLengths: boolean

    Returns void

f

  • Parameters

    Returns Real[]

from

  • from(o: Cube): void

  • Parameters

    Returns void

optionDates

  • optionDates(): Date[]

  • Returns Date[]

optionTimes

  • optionTimes(): Time[]

  • Returns Time[]

points

  • Returns Matrix[]

setElement

  • setElement(IndexOfLayer: Size, IndexOfRow: Size, IndexOfColumn: Size, x: Real): void

  • Parameters

    Returns void

setLayer

  • Parameters

    Returns void

setPoint

  • setPoint(optionDate: Date, swapTenor: Period, optionTime: Time, swapLength: Time, point: Real[]): void

  • Parameters

    Returns void

setPoints

  • setPoints(x: Matrix[]): void

  • Parameters

    Returns void

swapLengths

  • swapLengths(): Time[]

  • Returns Time[]

swapTenors

  • Returns Period[]

updateInterpolators

  • updateInterpolators(): void

  • Returns void