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Class FittingMethod

Hierarchy

Index

Classes

Properties

Methods

Properties

Private _calculateWeights

_calculateWeights: boolean

Protected _constrainAtZero

_constrainAtZero: boolean

Protected _costFunction

_costFunction: FittingCost

Private _costValue

_costValue: Real

_curve

_curve: FittedBondDiscountCurve

Protected _guessSolution

_guessSolution: Real[]

_l2

_l2: Real[]

Private _numberOfIterations

_numberOfIterations: Integer

Private _optimizationMethod

_optimizationMethod: OptimizationMethod

_solution

_solution: Real[]

_weights

_weights: Real[]

Methods

calculate

  • calculate(): void

  • Returns void

clone

  • Returns FittingMethod

constrainAtZero

  • constrainAtZero(): boolean

  • Returns boolean

discount

  • Parameters

    Returns DiscountFactor

discountFunction

  • Parameters

    Returns DiscountFactor

fmInit

  • Parameters

    • Default value constrainAtZero: boolean = true
    • Default value weights: Real[] = []
    • Default value optimizationMethod: OptimizationMethod = null
    • Default value l2: Real[] = []

    Returns FittingMethod

init

  • init(): void

  • Returns void

l2

  • Returns Real[]

minimumCostValue

  • minimumCostValue(): Real

  • Returns Real

numberOfIterations

  • Returns Integer

optimizationMethod

  • Returns OptimizationMethod

size

  • Returns Size

solution

  • solution(): Real[]

  • Returns Real[]

weights

  • Returns Real[]