External module "ql/models/marketmodels/curvestate"

Index

Classes

CurveState

Functions

Functions

constantMaturityFromDiscountRatios

constantMaturityFromDiscountRatios(spanningForwards: Size, firstValidIndex: Size, ds: DiscountFactor[], taus: Time[], constMatSwapRates: Rate[], constMatSwapAnnuities: Real[]): void

- Defined in ql/models/marketmodels/curvestate.ts:153
Parameters
- spanningForwards: Size
- firstValidIndex: Size
- ds: DiscountFactor[]
- taus: Time[]
- constMatSwapRates: Rate[]
- constMatSwapAnnuities: Real[]
Returns void

coterminalFromDiscountRatios

coterminalFromDiscountRatios(firstValidIndex: Size, discountFactors: DiscountFactor[], taus: Time[], cotSwapRates: Rate[], cotSwapAnnuities: Real[]): void

- Defined in ql/models/marketmodels/curvestate.ts:124
Parameters
- firstValidIndex: Size
- discountFactors: DiscountFactor[]
- taus: Time[]
- cotSwapRates: Rate[]
- cotSwapAnnuities: Real[]
Returns void

forwardsFromDiscountRatios

forwardsFromDiscountRatios(firstValidIndex: Size, ds: DiscountFactor[], taus: Time[], fwds: Rate[]): void

- Defined in ql/models/marketmodels/curvestate.ts:109
Parameters
- firstValidIndex: Size
- ds: DiscountFactor[]
- taus: Time[]
- fwds: Rate[]
Returns void