LocalVolTermStructureCalibratedModel

Hierarchy

LocalVolTermStructureCalibratedModel
- GridModelLocalVolSurface

Implements

Index

Properties

Methods

Properties

_arguments

_arguments: Parameter[]

_bdc

_bdc: BusinessDayConvention

_calendar

_calendar: Calendar

_constraint

_constraint: Constraint

_dayCounter

_dayCounter: DayCounter

_extrapolate

_extrapolate: boolean

_functionEvaluation

_functionEvaluation: Integer

_isDisposed

_isDisposed: boolean = false

_moving

_moving: boolean

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

_problemValues

_problemValues: Real[]

_referenceDate

_referenceDate: Date

_settlementDays

_settlementDays: Natural

_shortRateEndCriteria

_shortRateEndCriteria: Type

_updated

_updated: boolean

accept

accept: (v: AcyclicVisitor) => void

Type declaration

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

allowsExtrapolation

allowsExtrapolation: () => boolean

Type declaration

- (): boolean
- Returns boolean

businessDayConvention

businessDayConvention: () => BusinessDayConvention

Type declaration

- (): BusinessDayConvention
- Returns BusinessDayConvention

calendar

calendar: () => Calendar

Type declaration

- (): Calendar
- Returns Calendar

calibrate1

calibrate1: (instruments: CalibrationHelperBase[], method: OptimizationMethod, endCriteria: EndCriteria, additionalConstraint?: Constraint, weights?: Real[], fixParameters?: boolean[]) => void

Type declaration

- (instruments: CalibrationHelperBase[], method: OptimizationMethod, endCriteria: EndCriteria, additionalConstraint?: Constraint, weights?: Real[], fixParameters?: boolean[]): void
- Parameters
  - instruments: CalibrationHelperBase[]
  - method: OptimizationMethod
  - endCriteria: EndCriteria
  - Optional additionalConstraint: Constraint
  - Optional weights: Real[]
  - Optional fixParameters: boolean[]
  Returns void

calibrate2

calibrate2: (instruments: BlackCalibrationHelper[], method: OptimizationMethod, endCriteria: EndCriteria, additionalConstraint?: Constraint, weights?: Real[], fixParameters?: boolean[]) => void

Type declaration

- (instruments: BlackCalibrationHelper[], method: OptimizationMethod, endCriteria: EndCriteria, additionalConstraint?: Constraint, weights?: Real[], fixParameters?: boolean[]): void
- Parameters
  - instruments: BlackCalibrationHelper[]
  - method: OptimizationMethod
  - endCriteria: EndCriteria
  - Optional additionalConstraint: Constraint
  - Optional weights: Real[]
  - Optional fixParameters: boolean[]
  Returns void

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

checkStrike

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

Type declaration

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

cmInit

cmInit: (nArguments: Size) => CalibratedModel

Type declaration

- (nArguments: Size): CalibratedModel
- Parameters
  - nArguments: Size
  Returns CalibratedModel

constraint

constraint: () => Constraint

Type declaration

- (): Constraint
- Returns Constraint

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

endCriteria

endCriteria: () => Type

Type declaration

- (): Type
- Returns Type

functionEvaluation

functionEvaluation: () => Integer

Type declaration

- (): Integer
- Returns Integer

isDisposed

isDisposed: boolean

localVol1

localVol1: (d: Date, underlyingLevel: Real, extrapolate?: boolean) => Volatility

Type declaration

- (d: Date, underlyingLevel: Real, extrapolate?: boolean): Volatility
- Parameters
  - d: Date
  - underlyingLevel: Real
  - Optional extrapolate: boolean
  Returns Volatility

localVol2

localVol2: (t: Time, underlyingLevel: Real, extrapolate?: boolean) => Volatility

Type declaration

- (t: Time, underlyingLevel: Real, extrapolate?: boolean): Volatility
- Parameters
  - t: Time
  - underlyingLevel: Real
  - Optional extrapolate: boolean
  Returns Volatility

notifyObservers

notifyObservers: () => void

Type declaration

- (): void
- Returns void

optionDateFromTenor

optionDateFromTenor: (p: Period) => Date

Type declaration

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

params

params: () => Real[]

Type declaration

- (): Real[]
- Returns Real[]

problemValues

problemValues: () => Real[]

Type declaration

- (): Real[]
- Returns Real[]

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

setParams

setParams: (params: Real[]) => void

Type declaration

- (params: Real[]): void
- Parameters
  - params: Real[]
  Returns void

settlementDays

settlementDays: () => Natural

Type declaration

- (): Natural
- Returns Natural

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

value1

value1: (params: Real[], instruments: CalibrationHelperBase[]) => Real

Type declaration

- (params: Real[], instruments: CalibrationHelperBase[]): Real
- Parameters
  - params: Real[]
  - instruments: CalibrationHelperBase[]
  Returns Real

value2

value2: (params: Real[], instruments: BlackCalibrationHelper[]) => Real

Type declaration

- (params: Real[], instruments: BlackCalibrationHelper[]): Real
- Parameters
  - params: Real[]
  - instruments: BlackCalibrationHelper[]
  Returns Real

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

Methods

generateArguments

generateArguments(): void

- Defined in mixins/ql/termstructures/localvoltermstructurecalibratedmodel.ts:120
Returns void

localVolImpl

localVolImpl(t: Time, strike: Real): Volatility

- Defined in mixins/ql/termstructures/localvoltermstructurecalibratedmodel.ts:98
Parameters
- t: Time
- strike: Real
Returns Volatility

maxDate

maxDate(): Date

- Defined in mixins/ql/termstructures/localvoltermstructurecalibratedmodel.ts:56
Returns Date

maxStrike

maxStrike(): Rate

- Defined in mixins/ql/termstructures/localvoltermstructurecalibratedmodel.ts:81
Returns Rate

maxTime

maxTime(): Time

- Defined in mixins/ql/termstructures/localvoltermstructurecalibratedmodel.ts:59
Returns Time

minStrike

minStrike(): Rate

- Defined in mixins/ql/termstructures/localvoltermstructurecalibratedmodel.ts:78
Returns Rate

update

update(): void

- Defined in mixins/ql/termstructures/localvoltermstructurecalibratedmodel.ts:38
Returns void

Hierarchy

Implements

Index

Properties

Methods

Properties

_arguments

_bdc

_calendar

_constraint

_dayCounter

_extrapolate

_functionEvaluation

_isDisposed

_moving

_observables

_observers

_problemValues

_referenceDate

_settlementDays

_shortRateEndCriteria

_updated

accept

Type declaration

Parameters

v: AcyclicVisitor

Returns void

allowsExtrapolation

Type declaration

Returns boolean

businessDayConvention

Type declaration

Returns BusinessDayConvention

calendar

Type declaration

Returns Calendar

calibrate1

Type declaration

Parameters

instruments: CalibrationHelperBase[]

method: OptimizationMethod

endCriteria: EndCriteria

Optional additionalConstraint: Constraint

Optional weights: Real[]

Optional fixParameters: boolean[]

Returns void

calibrate2

Type declaration

Parameters

instruments: BlackCalibrationHelper[]

method: OptimizationMethod

endCriteria: EndCriteria

Optional additionalConstraint: Constraint

Optional weights: Real[]

Optional fixParameters: boolean[]

Returns void

checkRange1

Type declaration

Parameters

d: Date

extrapolate: boolean

Returns void

checkRange2

Type declaration

Parameters

t: Time

extrapolate: boolean

Returns void

checkStrike

Type declaration

Parameters

k: Rate

extrapolate: boolean

Returns void

cmInit

Type declaration

Parameters

nArguments: Size

Returns CalibratedModel

constraint