InterpolatedYoYOptionletVolatilityCurveLazyObject

Hierarchy

InterpolatedYoYOptionletVolatilityCurveLazyObject
- PiecewiseYoYOptionletVolatilityCurve

Implements

Index

Properties

Methods

Properties

_alwaysForward

_alwaysForward: boolean = false

_baseLevel

_baseLevel: Volatility

_bdc

_bdc: BusinessDayConvention

_calculated

_calculated: boolean = false

_calendar

_calendar: Calendar

_data

_data: Real[]

_dates

_dates: Date[]

_dayCounter

_dayCounter: DayCounter

_extrapolate

_extrapolate: boolean = false

_frequency

_frequency: Frequency

_frozen

_frozen: boolean = false

_indexIsInterpolated

_indexIsInterpolated: boolean

_interpolation

_interpolation: Interpolation

_interpolator

_interpolator: Interpolator

_isDisposed

_isDisposed: boolean = false

_maxDate

_maxDate: Date

_maxStrike

_maxStrike: Rate

_minStrike

_minStrike: Rate

_moving

_moving: boolean

_nodes

_nodes: Array<[Date, Real]>

_observables

_observables: Set<Observable> = new Set()

_observationLag

_observationLag: Period

_observers

_observers: Set<Observer> = new Set()

_referenceDate

_referenceDate: Date

_settlementDays

_settlementDays: Natural

_times

_times: Time[]

_updated

_updated: boolean

allowsExtrapolation

allowsExtrapolation: () => boolean

Type declaration

- (): boolean
- Returns boolean

alwaysForwardNotifications

alwaysForwardNotifications: () => void

Type declaration

- (): void
- Returns void

baseLevel

baseLevel: () => Volatility

Type declaration

- (): Volatility
- Returns Volatility

businessDayConvention

businessDayConvention: () => BusinessDayConvention

Type declaration

- (): BusinessDayConvention
- Returns BusinessDayConvention

calculate

calculate: () => void

Type declaration

- (): void
- Returns void

calendar

calendar: () => Calendar

Type declaration

- (): Calendar
- Returns Calendar

checkRange1

checkRange1: (d: Date, extrapolate: boolean) => void

Type declaration

- (d: Date, extrapolate: boolean): void
- Parameters
  - d: Date
  - extrapolate: boolean
  Returns void

checkRange2

checkRange2: (t: Time, extrapolate: boolean) => void

Type declaration

- (t: Time, extrapolate: boolean): void
- Parameters
  - t: Time
  - extrapolate: boolean
  Returns void

checkRange3

checkRange3: (d: Date, strike: Rate, extrapolate: boolean) => void

Type declaration

- (d: Date, strike: Rate, extrapolate: boolean): void
- Parameters
  - d: Date
  - strike: Rate
  - extrapolate: boolean
  Returns void

checkRange4

checkRange4: (t: Time, strike: Rate, extrapolate: boolean) => void

Type declaration

- (t: Time, strike: Rate, extrapolate: boolean): void
- Parameters
  - t: Time
  - strike: Rate
  - extrapolate: boolean
  Returns void

checkStrike

checkStrike: (k: Rate, extrapolate: boolean) => void

Type declaration

- (k: Rate, extrapolate: boolean): void
- Parameters
  - k: Rate
  - extrapolate: boolean
  Returns void

curveInit1

curveInit1: (settlementDays: Natural, cal: Calendar, bdc: BusinessDayConvention, dc: DayCounter, lag: Period, frequency: Frequency, indexIsInterpolated: boolean, d: Date[], v: Volatility[], minStrike: Rate, maxStrike: Rate, i?: Interpolator) => InterpolatedYoYOptionletVolatilityCurve

Type declaration

- (settlementDays: Natural, cal: Calendar, bdc: BusinessDayConvention, dc: DayCounter, lag: Period, frequency: Frequency, indexIsInterpolated: boolean, d: Date[], v: Volatility[], minStrike: Rate, maxStrike: Rate, i?: Interpolator): InterpolatedYoYOptionletVolatilityCurve
- Parameters
  - settlementDays: Natural
  - cal: Calendar
  - bdc: BusinessDayConvention
  - dc: DayCounter
  - lag: Period
  - frequency: Frequency
  - indexIsInterpolated: boolean
  - d: Date[]
  - v: Volatility[]
  - minStrike: Rate
  - maxStrike: Rate
  - Optional i: Interpolator
  Returns InterpolatedYoYOptionletVolatilityCurve

curveInit2

curveInit2: (settlementDays: Natural, cal: Calendar, bdc: BusinessDayConvention, dc: DayCounter, lag: Period, frequency: Frequency, indexIsInterpolated: boolean, minStrike: Rate, maxStrike: Rate, baseYoYVolatility: Volatility, i?: Interpolator) => InterpolatedYoYOptionletVolatilityCurve

Type declaration

- (settlementDays: Natural, cal: Calendar, bdc: BusinessDayConvention, dc: DayCounter, lag: Period, frequency: Frequency, indexIsInterpolated: boolean, minStrike: Rate, maxStrike: Rate, baseYoYVolatility: Volatility, i?: Interpolator): InterpolatedYoYOptionletVolatilityCurve
- Parameters
  - settlementDays: Natural
  - cal: Calendar
  - bdc: BusinessDayConvention
  - dc: DayCounter
  - lag: Period
  - frequency: Frequency
  - indexIsInterpolated: boolean
  - minStrike: Rate
  - maxStrike: Rate
  - baseYoYVolatility: Volatility
  - Optional i: Interpolator
  Returns InterpolatedYoYOptionletVolatilityCurve

dayCounter

dayCounter: () => DayCounter

Type declaration

- (): DayCounter
- Returns DayCounter

deepUpdate

deepUpdate: () => void

Type declaration

- (): void
- Returns void

disableExtrapolation

disableExtrapolation: (b: boolean) => void

Type declaration

- (b: boolean): void
- Parameters
  - b: boolean
  Returns void

dispose

dispose: () => void

Type declaration

- (): void
- Returns void

enableExtrapolation

enableExtrapolation: (b: boolean) => void

Type declaration

- (b: boolean): void
- Parameters
  - b: boolean
  Returns void

freeze

freeze: () => void

Type declaration

- (): void
- Returns void

frequency

frequency: () => Frequency

Type declaration

- (): Frequency
- Returns Frequency

icInit1

icInit1: (times: Time[], data: Real[], i?: Interpolator) => InterpolatedCurve

Type declaration

- (times: Time[], data: Real[], i?: Interpolator): InterpolatedCurve
- Parameters
  - times: Time[]
  - data: Real[]
  - Optional i: Interpolator
  Returns InterpolatedCurve

indexIsInterpolated

indexIsInterpolated: () => boolean

Type declaration

- (): boolean
- Returns boolean

isDisposed

isDisposed: boolean

maxTime

maxTime: () => Time

Type declaration

- (): Time
- Returns Time

notifyObservers

notifyObservers: () => void

Type declaration

- (): void
- Returns void

observationLag

observationLag: () => Period

Type declaration

- (): Period
- Returns Period

optionDateFromTenor

optionDateFromTenor: (p: Period) => Date

Type declaration

- (p: Period): Date
- Parameters
  - p: Period
  Returns Date

recalculate

recalculate: () => void

Type declaration

- (): void
- Returns void

referenceDate

referenceDate: () => Date

Type declaration

- (): Date
- Returns Date

registerObserver

registerObserver: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

registerWith

registerWith: (h: Observable) => void

Type declaration

- (h: Observable): void
- Parameters
  - h: Observable
  Returns void

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

setBaseLevel

setBaseLevel: (v: Volatility) => void

Type declaration

- (v: Volatility): void
- Parameters
  - v: Volatility
  Returns void

settlementDays

settlementDays: () => Natural

Type declaration

- (): Natural
- Returns Natural

setupInterpolation

setupInterpolation: () => void

Type declaration

- (): void
- Returns void

timeFromBase

timeFromBase: (maturityDate: Date, obsLag?: Period) => Time

Type declaration

- (maturityDate: Date, obsLag?: Period): Time
- Parameters
  - maturityDate: Date
  - Optional obsLag: Period
  Returns Time

timeFromReference

timeFromReference: (date: Date) => Time

Type declaration

- (date: Date): Time
- Parameters
  - date: Date
  Returns Time

totalVariance1

totalVariance1: (maturityDate: Date, strike: Rate, obsLag?: Period, extrapolate?: boolean) => Volatility

Type declaration

- (maturityDate: Date, strike: Rate, obsLag?: Period, extrapolate?: boolean): Volatility
- Parameters
  - maturityDate: Date
  - strike: Rate
  - Optional obsLag: Period
  - Optional extrapolate: boolean
  Returns Volatility

totalVariance2

totalVariance2: (tenor: Period, strike: Rate, obsLag?: Period, extrapolate?: boolean) => Volatility

Type declaration

- (tenor: Period, strike: Rate, obsLag?: Period, extrapolate?: boolean): Volatility
- Parameters
  - tenor: Period
  - strike: Rate
  - Optional obsLag: Period
  - Optional extrapolate: boolean
  Returns Volatility

tsInit1

tsInit1: (dc: DayCounter) => TermStructure

Type declaration

- (dc: DayCounter): TermStructure
- Parameters
  - dc: DayCounter
  Returns TermStructure

tsInit2

tsInit2: (referenceDate: Date, calendar: Calendar, dc: DayCounter) => TermStructure

Type declaration

- (referenceDate: Date, calendar: Calendar, dc: DayCounter): TermStructure
- Parameters
  - referenceDate: Date
  - calendar: Calendar
  - dc: DayCounter
  Returns TermStructure

tsInit3

tsInit3: (settlementDays: Natural, calendar: Calendar, dc: DayCounter) => TermStructure

Type declaration

- (settlementDays: Natural, calendar: Calendar, dc: DayCounter): TermStructure
- Parameters
  - settlementDays: Natural
  - calendar: Calendar
  - dc: DayCounter
  Returns TermStructure

unfreeze

unfreeze: () => void

Type declaration

- (): void
- Returns void

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

- (h: Observable): Size
- Parameters
  - h: Observable
  Returns Size

unregisterWithAll

unregisterWithAll: () => void

Type declaration

- (): void
- Returns void

volatility1

volatility1: (maturityDate: Date, strike: Rate, obsLag?: Period, extrapolate?: boolean) => Volatility

Type declaration

- (maturityDate: Date, strike: Rate, obsLag?: Period, extrapolate?: boolean): Volatility
- Parameters
  - maturityDate: Date
  - strike: Rate
  - Optional obsLag: Period
  - Optional extrapolate: boolean
  Returns Volatility

volatility2

volatility2: (optionTenor: Period, strike: Rate, obsLag?: Period, extrapolate?: boolean) => Volatility

Type declaration

- (optionTenor: Period, strike: Rate, obsLag?: Period, extrapolate?: boolean): Volatility
- Parameters
  - optionTenor: Period
  - strike: Rate
  - Optional obsLag: Period
  - Optional extrapolate: boolean
  Returns Volatility

vtsInit1

vtsInit1: (bdc: BusinessDayConvention, dc?: DayCounter) => VolatilityTermStructure

Type declaration

- (bdc: BusinessDayConvention, dc?: DayCounter): VolatilityTermStructure
- Parameters
  - bdc: BusinessDayConvention
  - Optional dc: DayCounter
  Returns VolatilityTermStructure

vtsInit2

vtsInit2: (referenceDate: Date, cal: Calendar, bdc: BusinessDayConvention, dc?: DayCounter) => VolatilityTermStructure

Type declaration

- (referenceDate: Date, cal: Calendar, bdc: BusinessDayConvention, dc?: DayCounter): VolatilityTermStructure
- Parameters
  - referenceDate: Date
  - cal: Calendar
  - bdc: BusinessDayConvention
  - Optional dc: DayCounter
  Returns VolatilityTermStructure

vtsInit3

vtsInit3: (settlementDays: Natural, cal: Calendar, bdc: BusinessDayConvention, dc?: DayCounter) => VolatilityTermStructure

Type declaration

- (settlementDays: Natural, cal: Calendar, bdc: BusinessDayConvention, dc?: DayCounter): VolatilityTermStructure
- Parameters
  - settlementDays: Natural
  - cal: Calendar
  - bdc: BusinessDayConvention
  - Optional dc: DayCounter
  Returns VolatilityTermStructure

yoyovsInit

yoyovsInit: (settlementDays: Natural, cal: Calendar, bdc: BusinessDayConvention, dc: DayCounter, observationLag: Period, frequency: Frequency, indexIsInterpolated: boolean) => YoYOptionletVolatilitySurface

Type declaration

- (settlementDays: Natural, cal: Calendar, bdc: BusinessDayConvention, dc: DayCounter, observationLag: Period, frequency: Frequency, indexIsInterpolated: boolean): YoYOptionletVolatilitySurface
- Parameters
  - settlementDays: Natural
  - cal: Calendar
  - bdc: BusinessDayConvention
  - dc: DayCounter
  - observationLag: Period
  - frequency: Frequency
  - indexIsInterpolated: boolean
  Returns YoYOptionletVolatilitySurface

Methods

baseDate

baseDate(): Date

- Defined in mixins/ql/experimental/interpolatedyoyoptionletvolatilitycurveLazyobject.ts:105
Returns Date

data

data(): Real[]

- Defined in mixins/ql/experimental/interpolatedyoyoptionletvolatilitycurveLazyobject.ts:137
Returns Real[]

dates

dates(): Date[]

- Defined in mixins/ql/experimental/interpolatedyoyoptionletvolatilitycurveLazyobject.ts:143
Returns Date[]

maxDate

maxDate(): Date

- Defined in mixins/ql/experimental/interpolatedyoyoptionletvolatilitycurveLazyobject.ts:58
Returns Date

maxStrike

maxStrike(): Rate

- Defined in mixins/ql/experimental/interpolatedyoyoptionletvolatilitycurveLazyobject.ts:81
Returns Rate

minStrike

minStrike(): Rate

- Defined in mixins/ql/experimental/interpolatedyoyoptionletvolatilitycurveLazyobject.ts:78
Returns Rate

nodes

nodes(): Array<[Date, Real]>

- Defined in mixins/ql/experimental/interpolatedyoyoptionletvolatilitycurveLazyobject.ts:146
Returns Array<[Date, Real]>

performCalculations

performCalculations(): void

- Defined in mixins/ql/experimental/interpolatedyoyoptionletvolatilitycurveLazyobject.ts:156
Returns void

times

times(): Time[]

- Defined in mixins/ql/experimental/interpolatedyoyoptionletvolatilitycurveLazyobject.ts:140
Returns Time[]

update

update(): void

- Defined in mixins/ql/experimental/interpolatedyoyoptionletvolatilitycurveLazyobject.ts:40
Returns void

volatilityImpl

volatilityImpl(length: Time, strike: Rate): Volatility

- Defined in mixins/ql/experimental/interpolatedyoyoptionletvolatilitycurveLazyobject.ts:112
Parameters
- length: Time
- strike: Rate
Returns Volatility

Hierarchy

Implements

Index

Properties

Methods

Properties

_alwaysForward

_baseLevel

_bdc

_calculated

_calendar

_data

_dates

_dayCounter

_extrapolate

_frequency

_frozen

_indexIsInterpolated

_interpolation

_interpolator

_isDisposed

_maxDate

_maxStrike

_minStrike

_moving

_nodes

_observables

_observationLag

_observers

_referenceDate

_settlementDays

_times

_updated

allowsExtrapolation

Type declaration

Returns boolean

alwaysForwardNotifications

Type declaration

Returns void

baseLevel

Type declaration

Returns Volatility

businessDayConvention

Type declaration

Returns BusinessDayConvention

calculate

Type declaration

Returns void

calendar

Type declaration

Returns Calendar

checkRange1

Type declaration

Parameters

d: Date

extrapolate: boolean

Returns void

checkRange2

Type declaration

Parameters

t: Time

extrapolate: boolean

Returns void

checkRange3

Type declaration

Parameters

d: Date

strike: Rate

extrapolate: boolean

Returns void

checkRange4

Type declaration

Parameters

t: Time

strike: Rate

extrapolate: boolean

Returns void

checkStrike

Type declaration

Parameters