External module "ql/models/marketmodels/marketmodeldifferences"

Index

Functions

Functions

coterminalSwapPseudoRoots

coterminalSwapPseudoRoots(piecewiseConstantCorrelation: PiecewiseConstantCorrelation, piecewiseConstantVariances: PiecewiseConstantVariance[]): Matrix[]

- Defined in ql/models/marketmodels/marketmodeldifferences.ts:72
Parameters
- piecewiseConstantCorrelation: PiecewiseConstantCorrelation
- piecewiseConstantVariances: PiecewiseConstantVariance[]
Returns Matrix[]

rateInstVolDifferences

rateInstVolDifferences(marketModel1: MarketModel, marketModel2: MarketModel, index: Size): Spread[]

- Defined in ql/models/marketmodels/marketmodeldifferences.ts:40
Parameters
- marketModel1: MarketModel
- marketModel2: MarketModel
- index: Size
Returns Spread[]

rateVolDifferences

rateVolDifferences(marketModel1: MarketModel, marketModel2: MarketModel): Volatility[]

- Defined in ql/models/marketmodels/marketmodeldifferences.ts:14
Parameters
- marketModel1: MarketModel
- marketModel2: MarketModel
Returns Volatility[]