Module ForwardForwardMappings

Index

Functions

Functions

ForwardForwardJacobian

ForwardForwardJacobian(cs: CurveState, multiplier: Size, offset: Size): Matrix

- Defined in ql/models/marketmodels/forwardforwardmappings.ts:16
Returns the dg[i]/df[j] jacobian between forward rates with tenor multipler and forward rates with tenor 1

Parameters
- cs: CurveState
- multiplier: Size
- offset: Size
Returns Matrix

RestrictCurveState

RestrictCurveState(cs: CurveState, multiplier: Size, offset: Size): LMMCurveState

- Defined in ql/models/marketmodels/forwardforwardmappings.ts:97
replaces curve state with curve state based on periodic subset of times

Parameters
- cs: CurveState
- multiplier: Size
- offset: Size
Returns LMMCurveState

YMatrix

YMatrix(cs: CurveState, shortDisplacements: Spread[], longDisplacements: Spread[], multiplier: Size, offset: Size): Matrix

- Defined in ql/models/marketmodels/forwardforwardmappings.ts:49
Returns the Y matrix to switch base forward rates with tenor multipler and forward rates with tenor 1

Parameters
- cs: CurveState
- shortDisplacements: Spread[]
- longDisplacements: Spread[]
- multiplier: Size
- offset: Size
Returns Matrix