Properties
_alwaysForward
_alwaysForward: boolean = false
_baseLevel
_bdc
_calculated
_calculated: boolean = false
_calendar
_data
_dates
_dates: Date[]
_dayCounter
_extrapolate
_extrapolate: boolean = false
_frequency
_frozen
_frozen: boolean = false
_indexIsInterpolated
_indexIsInterpolated: boolean
_interpolation
_interpolator
_isDisposed
_isDisposed: boolean = false
_maxDate
_maxDate: Date
_maxStrike
_minStrike
_moving
_moving: boolean
_nodes
_nodes
: Array<[Date, Real]>
_observables
_observationLag
_observers
_referenceDate
_referenceDate: Date
_settlementDays
_times
_updated
_updated: boolean
allowsExtrapolation
allowsExtrapolation: () => boolean
alwaysForwardNotifications
alwaysForwardNotifications: () => void
baseLevel
businessDayConvention
calculate
calculate: () => void
calendar
checkRange1
checkRange1: (d: Date, extrapolate: boolean) => void
Type declaration
-
- (d: Date, extrapolate: boolean): void
-
Parameters
-
d: Date
-
extrapolate: boolean
Returns void
checkRange2
check
Range2: (t: Time, extrapolate: boolean) => void
Type declaration
-
- (t: Time, extrapolate: boolean): void
checkRange3
check
Range3: (d: Date, strike: Rate, extrapolate: boolean) => void
Type declaration
-
- (d: Date, strike: Rate, extrapolate: boolean): void
-
Parameters
-
d: Date
-
-
extrapolate: boolean
Returns void
checkRange4
check
Range4: (t: Time, strike: Rate, extrapolate: boolean) => void
Type declaration
-
- (t: Time, strike: Rate, extrapolate: boolean): void
checkStrike
check
Strike: (k: Rate, extrapolate: boolean) => void
Type declaration
-
- (k: Rate, extrapolate: boolean): void
curveInit1
curve
Init1: (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
-
-
-
-
-
-
indexIsInterpolated: boolean
-
d: Date[]
-
-
minStrike: Rate
-
maxStrike: Rate
-
curveInit2
curve
Init2: (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
-
-
-
-
-
-
indexIsInterpolated: boolean
-
minStrike: Rate
-
maxStrike: Rate
-
-
dayCounter
deepUpdate
deepUpdate: () => void
disableExtrapolation
disableExtrapolation: (b: boolean) => void
dispose
dispose: () => void
enableExtrapolation
enableExtrapolation: (b: boolean) => void
freeze
freeze: () => void
frequency
icInit1
icInit2
icInit3
icInit4
icInit5
indexIsInterpolated
indexIsInterpolated: () => boolean
isDisposed
isDisposed: boolean
maxTime
notifyObservers
notifyObservers: () => void
observationLag
optionDateFromTenor
option
DateFromTenor: (p: Period) => Date
recalculate
recalculate: () => void
referenceDate
referenceDate: () => Date
registerObserver
registerWith
registerWithObservables
register
WithObservables: (o: Observer) => void
setBaseLevel
settlementDays
setupInterpolation
setupInterpolation: () => void
timeFromBase
time
FromBase: (maturityDate: Date, obsLag?: Period) => Time
Type declaration
-
-
Parameters
-
maturityDate: Date
-
Optional obsLag: Period
timeFromReference
time
FromReference: (date: Date) => Time
totalVariance1
total
Variance1: (maturityDate: Date, strike: Rate, obsLag?: Period, extrapolate?: boolean) => Volatility
Type declaration
-
-
Parameters
-
maturityDate: Date
-
-
Optional obsLag: Period
-
Optional extrapolate: boolean
totalVariance2
Type declaration
-
-
Parameters
-
-
-
Optional obsLag: Period
-
Optional extrapolate: boolean
tsInit1
tsInit2
tsInit3
unfreeze
unfreeze: () => void
unregisterObserver
unregister
Observer: (o: Observer) => void
unregisterWith
unregisterWithAll
unregisterWithAll: () => void
volatility1
volatility1
: (maturityDate
: Date, strike
: Rate, obsLag
?: Period, extrapolate
?: boolean) => Volatility
Type declaration
-
-
Parameters
-
maturityDate: Date
-
-
Optional obsLag: Period
-
Optional extrapolate: boolean
volatility2
Type declaration
-
-
Parameters
-
optionTenor: Period
-
-
Optional obsLag: Period
-
Optional extrapolate: boolean
vtsInit1
vtsInit2
vtsInit3
yoyovsInit
Type declaration
-
-
Parameters
-
settlementDays: Natural
-
-
-
-
observationLag: Period
-
-
indexIsInterpolated: boolean