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Implements

Index

Properties

_alwaysForward

_alwaysForward: boolean = false

_baseLevel

_baseLevel: Volatility

_bdc

_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

businessDayConvention

businessDayConvention: () => BusinessDayConvention

Type declaration

calculate

calculate: () => void

Type declaration

    • (): void
    • Returns void

calendar

calendar: () => Calendar

Type declaration

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

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

dayCounter

dayCounter: () => DayCounter

Type declaration

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

icInit1

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

Type declaration

icInit2

icInit2: (times: Time[], i?: Interpolator) => InterpolatedCurve

Type declaration

icInit3

icInit3: (n: Size, i?: Interpolator) => InterpolatedCurve

Type declaration

icInit4

Type declaration

icInit5

Type declaration

indexIsInterpolated

indexIsInterpolated: () => boolean

Type declaration

    • (): boolean
    • Returns boolean

isDisposed

isDisposed: boolean

maxTime

maxTime: () => Time

Type declaration

notifyObservers

notifyObservers: () => void

Type declaration

    • (): void
    • Returns void

observationLag

observationLag: () => Period

Type declaration

optionDateFromTenor

optionDateFromTenor: (p: Period) => Date

Type declaration

recalculate

recalculate: () => void

Type declaration

    • (): void
    • Returns void

referenceDate

referenceDate: () => Date

Type declaration

    • (): Date
    • Returns Date

registerObserver

registerObserver: (o: Observer) => void

Type declaration

registerWith

registerWith: (h: Observable) => void

Type declaration

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

setBaseLevel

setBaseLevel: (v: Volatility) => void

Type declaration

settlementDays

settlementDays: () => Natural

Type declaration

setupInterpolation

setupInterpolation: () => void

Type declaration

    • (): void
    • Returns void

timeFromBase

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

Type declaration

    • 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

    • 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

tsInit1

tsInit1: (dc: DayCounter) => TermStructure

Type declaration

tsInit2

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

Type declaration

tsInit3

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

Type declaration

unfreeze

unfreeze: () => void

Type declaration

    • (): void
    • Returns void

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

unregisterWithAll

unregisterWithAll: () => void

Type declaration

    • (): void
    • Returns void

volatility1

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

Type declaration

    • 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

vtsInit1

Type declaration

vtsInit2

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

Type declaration

vtsInit3

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

Type declaration

yoyovsInit

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

Type declaration

Methods

baseDate

  • baseDate(): Date
  • Returns Date

data

  • Returns Real[]

dates

  • dates(): Date[]
  • Returns Date[]

maxDate

  • maxDate(): Date
  • Returns Date

maxStrike

  • Returns Rate

minStrike

  • Returns Rate

nodes

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

performCalculations

  • performCalculations(): void
  • Returns void

times

  • Returns Time[]

update

  • update(): void
  • Returns void

volatilityImpl

  • Parameters

    Returns Volatility