ForwardRateStructureInterpolatedCurve

Hierarchy

ForwardRateStructureInterpolatedCurve
- InterpolatedForwardCurve

Implements

Index

Properties

Methods

Properties

_calendar

_calendar: Calendar

_data

_data: Real[]

_dayCounter

_dayCounter: DayCounter

_extrapolate

_extrapolate: boolean

_interpolation

_interpolation: Interpolation

_interpolator

_interpolator: Interpolator

_isDisposed

_isDisposed: boolean = false

_jumpDates

_jumpDates: Date[]

_jumpTimes

_jumpTimes: Time[]

_jumps

_jumps: Array<Handle<Quote>>

_latestReference

_latestReference: Date

_maxDate

_maxDate: Date

_moving

_moving: boolean

_nJumps

_nJumps: Size

_observables

_observables: Set<Observable> = new Set()

_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

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

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

discount1

discount1: (d: Date, extrapolate: boolean) => DiscountFactor

Type declaration

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

discount2

discount2: (t: Time, extrapolate: boolean) => DiscountFactor

Type declaration

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

dispose

dispose: () => void

Type declaration

- (): void
- Returns void

enableExtrapolation

enableExtrapolation: (b: boolean) => void

Type declaration

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

forwardRate1

forwardRate1: (d1: Date, d2: Date, resultDayCounter: DayCounter, comp: Compounding, freq: Frequency, extrapolate: boolean) => InterestRate

Type declaration

- (d1: Date, d2: Date, resultDayCounter: DayCounter, comp: Compounding, freq: Frequency, extrapolate: boolean): InterestRate
- Parameters
  - d1: Date
  - d2: Date
  - resultDayCounter: DayCounter
  - comp: Compounding
  - freq: Frequency
  - extrapolate: boolean
  Returns InterestRate

forwardRate2

forwardRate2: (d: Date, p: Period, resultDayCounter: DayCounter, comp: Compounding, freq: Frequency, extrapolate: boolean) => InterestRate

Type declaration

- (d: Date, p: Period, resultDayCounter: DayCounter, comp: Compounding, freq: Frequency, extrapolate: boolean): InterestRate
- Parameters
  - d: Date
  - p: Period
  - resultDayCounter: DayCounter
  - comp: Compounding
  - freq: Frequency
  - extrapolate: boolean
  Returns InterestRate

forwardRate3

forwardRate3: (t1: Time, t2: Time, comp: Compounding, freq: Frequency, extrapolate: boolean) => InterestRate

Type declaration

- (t1: Time, t2: Time, comp: Compounding, freq: Frequency, extrapolate: boolean): InterestRate
- Parameters
  - t1: Time
  - t2: Time
  - comp: Compounding
  - freq: Frequency
  - extrapolate: boolean
  Returns InterestRate

frsInit1

frsInit1: (dc: DayCounter, jumps?: Array<Handle<Quote>>, jumpDates?: Date[]) => ForwardRateStructure

Type declaration

- (dc: DayCounter, jumps?: Array<Handle<Quote>>, jumpDates?: Date[]): ForwardRateStructure
- Parameters
  - dc: DayCounter
  - Optional jumps: Array<Handle<Quote>>
  - Optional jumpDates: Date[]
  Returns ForwardRateStructure

frsInit2

frsInit2: (referenceDate: Date, calendar: Calendar, dc: DayCounter, jumps?: Array<Handle<Quote>>, jumpDates?: Date[]) => ForwardRateStructure

Type declaration

- (referenceDate: Date, calendar: Calendar, dc: DayCounter, jumps?: Array<Handle<Quote>>, jumpDates?: Date[]): ForwardRateStructure
- Parameters
  - referenceDate: Date
  - calendar: Calendar
  - dc: DayCounter
  - Optional jumps: Array<Handle<Quote>>
  - Optional jumpDates: Date[]
  Returns ForwardRateStructure

frsInit3

frsInit3: (settlementDays: Natural, calendar: Calendar, dc: DayCounter, jumps?: Array<Handle<Quote>>, jumpDates?: Date[]) => ForwardRateStructure

Type declaration

- (settlementDays: Natural, calendar: Calendar, dc: DayCounter, jumps?: Array<Handle<Quote>>, jumpDates?: Date[]): ForwardRateStructure
- Parameters
  - settlementDays: Natural
  - calendar: Calendar
  - dc: DayCounter
  - Optional jumps: Array<Handle<Quote>>
  - Optional jumpDates: Date[]
  Returns ForwardRateStructure

icInit1

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

Type declaration

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

isDisposed

isDisposed: boolean

jumpDates

jumpDates: () => Date[]

Type declaration

- (): Date[]
- Returns Date[]

jumpTimes

jumpTimes: () => Time[]

Type declaration

- (): Time[]
- Returns Time[]

maxTime

maxTime: () => Time

Type declaration

- (): Time
- Returns Time

notifyObservers

notifyObservers: () => 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

setJumps

setJumps: () => void

Type declaration

- (): void
- Returns void

settlementDays

settlementDays: () => Natural

Type declaration

- (): Natural
- Returns Natural

setupInterpolation

setupInterpolation: () => void

Type declaration

- (): void
- Returns void

timeFromReference

timeFromReference: (date: Date) => Time

Type declaration

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

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

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

update

update: () => void

Type declaration

- (): void
- Returns void

ytsInit1

ytsInit1: (dc: DayCounter, jumps?: Array<Handle<Quote>>, jumpDates?: Date[]) => YieldTermStructure

Type declaration

- (dc: DayCounter, jumps?: Array<Handle<Quote>>, jumpDates?: Date[]): YieldTermStructure
- Parameters
  - dc: DayCounter
  - Optional jumps: Array<Handle<Quote>>
  - Optional jumpDates: Date[]
  Returns YieldTermStructure

ytsInit2

ytsInit2: (referenceDate: Date, calendar: Calendar, dc: DayCounter, jumps?: Array<Handle<Quote>>, jumpDates?: Date[]) => YieldTermStructure

Type declaration

- (referenceDate: Date, calendar: Calendar, dc: DayCounter, jumps?: Array<Handle<Quote>>, jumpDates?: Date[]): YieldTermStructure
- Parameters
  - referenceDate: Date
  - calendar: Calendar
  - dc: DayCounter
  - Optional jumps: Array<Handle<Quote>>
  - Optional jumpDates: Date[]
  Returns YieldTermStructure

ytsInit3

ytsInit3: (settlementDays: Natural, calendar: Calendar, dc: DayCounter, jumps?: Array<Handle<Quote>>, jumpDates?: Date[]) => YieldTermStructure

Type declaration

- (settlementDays: Natural, calendar: Calendar, dc: DayCounter, jumps?: Array<Handle<Quote>>, jumpDates?: Date[]): YieldTermStructure
- Parameters
  - settlementDays: Natural
  - calendar: Calendar
  - dc: DayCounter
  - Optional jumps: Array<Handle<Quote>>
  - Optional jumpDates: Date[]
  Returns YieldTermStructure

zeroRate1

zeroRate1: (d: Date, resultDayCounter: DayCounter, comp: Compounding, freq: Frequency, extrapolate: boolean) => InterestRate

Type declaration

- (d: Date, resultDayCounter: DayCounter, comp: Compounding, freq: Frequency, extrapolate: boolean): InterestRate
- Parameters
  - d: Date
  - resultDayCounter: DayCounter
  - comp: Compounding
  - freq: Frequency
  - extrapolate: boolean
  Returns InterestRate

zeroRate2

zeroRate2: (t: Time, comp: Compounding, freq: Frequency, extrapolate: boolean) => InterestRate

Type declaration

- (t: Time, comp: Compounding, freq: Frequency, extrapolate: boolean): InterestRate
- Parameters
  - t: Time
  - comp: Compounding
  - freq: Frequency
  - extrapolate: boolean
  Returns InterestRate

Methods

discountImpl

discountImpl(t: Time): DiscountFactor

- Defined in mixins/ql/termstructures/forwardratestructureinterpolatedcurve.ts:91
Parameters
- t: Time
Returns DiscountFactor

forwardImpl

forwardImpl(t: Time): Rate

- Defined in mixins/ql/termstructures/forwardratestructureinterpolatedcurve.ts:114
Parameters
- t: Time
Returns Rate

maxDate

maxDate(): Date

- Defined in mixins/ql/termstructures/forwardratestructureinterpolatedcurve.ts:53
Returns Date

zeroYieldImpl

zeroYieldImpl(t: Time): Rate

- Defined in mixins/ql/termstructures/forwardratestructureinterpolatedcurve.ts:117
Parameters
- t: Time
Returns Rate

Hierarchy

Implements

Index

Properties

Methods

Properties

_calendar

_data

_dayCounter

_extrapolate

_interpolation

_interpolator

_isDisposed

_jumpDates

_jumpTimes

_jumps

_latestReference

_maxDate

_moving

_nJumps

_observables

_observers

_referenceDate

_settlementDays

_times

_updated

allowsExtrapolation

Type declaration

Returns boolean

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

dayCounter

Type declaration

Returns DayCounter

deepUpdate

Type declaration

Returns void

disableExtrapolation

Type declaration

Parameters

b: boolean

Returns void

discount1

Type declaration

Parameters

d: Date

extrapolate: boolean

Returns DiscountFactor

discount2

Type declaration

Parameters

t: Time

extrapolate: boolean

Returns DiscountFactor

dispose

Type declaration

Returns void

enableExtrapolation

Type declaration

Parameters

b: boolean

Returns void

forwardRate1

Type declaration

Parameters

d1: Date

d2: Date