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Class CmsCouponPricerMeanRevertingPricer

Hierarchy

Implements

Index

Properties

Methods

Properties

_isDisposed

_isDisposed: boolean = false

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

_swaptionVol

_swaptionVol: Handle<SwaptionVolatilityStructure>

deepUpdate

deepUpdate: () => void

Type declaration

    • (): void

    • Returns void

dispose

dispose: () => void

Type declaration

    • (): void

    • Returns void

init

init: (v?: Handle<SwaptionVolatilityStructure>) => CmsCouponPricer

Type declaration

isDisposed

isDisposed: boolean

notifyObservers

notifyObservers: () => void

Type declaration

    • (): void

    • Returns void

registerObserver

registerObserver: (o: Observer) => void

Type declaration

registerWith

registerWith: (h: Observable) => void

Type declaration

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

setSwaptionVolatility

setSwaptionVolatility: (v: Handle<SwaptionVolatilityStructure>) => void

Type declaration

swaptionVolatility

swaptionVolatility: () => Handle<SwaptionVolatilityStructure>

Type declaration

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

unregisterWithAll

unregisterWithAll: () => void

Type declaration

    • (): void

    • Returns void

update

update: () => void

Type declaration

    • (): void

    • Returns void

Methods

capletPrice

  • Parameters

    • effectiveCap: Rate

    Returns Real

capletRate

  • Parameters

    • effectiveCap: Rate

    Returns Rate

floorletPrice

  • floorletPrice(effectiveFloor: Rate): Real

  • Parameters

    • effectiveFloor: Rate

    Returns Real

floorletRate

  • floorletRate(effectiveFloor: Rate): Rate

  • Parameters

    • effectiveFloor: Rate

    Returns Rate

initialize

  • Parameters

    Returns void

meanReversion

  • meanReversion(): Real

  • Returns Real

setMeanReversion

  • Parameters

    Returns void

swapletPrice

  • swapletPrice(): Real

  • Returns Real

swapletRate

  • swapletRate(): Rate

  • Returns Rate