OptionletVolatilityStructureLazyObject

Hierarchy

OptionletVolatilityStructureLazyObject
- StrippedOptionletAdapter

Implements

Index

Properties

Methods

Properties

_alwaysForward

_alwaysForward: boolean = false

_bdc

_bdc: BusinessDayConvention

_calculated

_calculated: boolean = false

_calendar

_calendar: Calendar

_dayCounter

_dayCounter: DayCounter

_extrapolate

_extrapolate: boolean

_frozen

_frozen: boolean = false

_isDisposed

_isDisposed: boolean = false

_moving

_moving: boolean

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

_referenceDate

_referenceDate: Date

_settlementDays

_settlementDays: Natural

_updated

_updated: boolean

allowsExtrapolation

allowsExtrapolation: () => boolean

Type declaration

- (): boolean
- Returns boolean

alwaysForwardNotifications

alwaysForwardNotifications: () => void

Type declaration

- (): void
- Returns void

blackVariance1

blackVariance1: (optionTenor: Period, strike: Rate, extrapolate?: boolean) => Volatility

Type declaration

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

blackVariance2

blackVariance2: (optionDate: Date, strike: Rate, extrapolate?: boolean) => Volatility

Type declaration

- (optionDate: Date, strike: Rate, extrapolate?: boolean): Volatility
- Parameters
  - optionDate: Date
  - strike: Rate
  - Optional extrapolate: boolean
  Returns Volatility

blackVariance3

blackVariance3: (optionTime: Time, strike: Rate, extrapolate?: boolean) => Volatility

Type declaration

- (optionTime: Time, strike: Rate, extrapolate?: boolean): Volatility
- Parameters
  - optionTime: Time
  - strike: Rate
  - Optional extrapolate: boolean
  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

checkStrike

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

Type declaration

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

dayCounter

dayCounter: () => DayCounter

Type declaration

- (): DayCounter
- Returns DayCounter

disableExtrapolation

disableExtrapolation: (b?: boolean) => void

Type declaration

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

dispose

dispose: () => void

Type declaration

- (): void
- Returns void

enableExtrapolation

enableExtrapolation: (b?: boolean) => void

Type declaration

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

freeze

freeze: () => void

Type declaration

- (): void
- Returns void

isDisposed

isDisposed: boolean

maxTime

maxTime: () => Time

Type declaration

- (): Time
- Returns Time

notifyObservers

notifyObservers: () => void

Type declaration

- (): void
- Returns void

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

settlementDays

settlementDays: () => Natural

Type declaration

- (): Natural
- Returns Natural

smileSection1

smileSection1: (optionTenor: Period, extr?: boolean) => SmileSection

Type declaration

- (optionTenor: Period, extr?: boolean): SmileSection
- Parameters
  - optionTenor: Period
  - Optional extr: boolean
  Returns SmileSection

smileSection2

smileSection2: (optionDate: Date, extr?: boolean) => SmileSection

Type declaration

- (optionDate: Date, extr?: boolean): SmileSection
- Parameters
  - optionDate: Date
  - Optional extr: boolean
  Returns SmileSection

smileSection3

smileSection3: (optionTime: Time, extr?: boolean) => SmileSection

Type declaration

- (optionTime: Time, extr?: boolean): SmileSection
- Parameters
  - optionTime: Time
  - Optional extr: boolean
  Returns SmileSection

smileSectionImpl1

smileSectionImpl1: (optionDate: Date) => SmileSection

Type declaration

- (optionDate: Date): SmileSection
- Parameters
  - optionDate: Date
  Returns SmileSection

smileSectionImpl2

smileSectionImpl2: (optionTime: Time) => SmileSection

Type declaration

- (optionTime: Time): SmileSection
- Parameters
  - optionTime: Time
  Returns SmileSection

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

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

Type declaration

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

volatility2

volatility2: (optionDate: Date, strike: Rate, extrapolate?: boolean) => Volatility

Type declaration

- (optionDate: Date, strike: Rate, extrapolate?: boolean): Volatility
- Parameters
  - optionDate: Date
  - strike: Rate
  - Optional extrapolate: boolean
  Returns Volatility

volatility3

volatility3: (optionTime: Time, strike: Rate, extrapolate?: boolean) => Volatility

Type declaration

- (optionTime: Time, strike: Rate, extrapolate?: boolean): Volatility
- Parameters
  - optionTime: Time
  - strike: Rate
  - Optional extrapolate: boolean
  Returns Volatility

volatilityImpl1

volatilityImpl1: (optionDate: Date, strike: Rate) => Volatility

Type declaration

- (optionDate: Date, strike: Rate): Volatility
- Parameters
  - optionDate: Date
  - strike: Rate
  Returns Volatility

volatilityImpl2

volatilityImpl2: (optionTime: Time, strike: Rate) => Volatility

Type declaration

- (optionTime: Time, strike: Rate): Volatility
- Parameters
  - optionTime: Time
  - strike: Rate
  Returns Volatility

vtsInit1

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

Type declaration

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

Methods

deepUpdate

deepUpdate(): void

- Defined in mixins/ql/termstructures/optionletvolatilitystructurelazyobject.ts:36
Returns void

displacement

displacement(): Real

- Defined in mixins/ql/termstructures/optionletvolatilitystructurelazyobject.ts:108
Returns Real

maxDate

maxDate(): Date

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

maxStrike

maxStrike(): Rate

- Defined in mixins/ql/termstructures/optionletvolatilitystructurelazyobject.ts:76
Returns Rate

minStrike

minStrike(): Rate

- Defined in mixins/ql/termstructures/optionletvolatilitystructurelazyobject.ts:73
Returns Rate

performCalculations

performCalculations(): void

- Defined in mixins/ql/termstructures/optionletvolatilitystructurelazyobject.ts:121
Returns void

update

update(): void

- Defined in mixins/ql/termstructures/optionletvolatilitystructurelazyobject.ts:33
Returns void

volatilityType

volatilityType(): VolatilityType

- Defined in mixins/ql/termstructures/optionletvolatilitystructurelazyobject.ts:105
Returns VolatilityType

Hierarchy

Implements

Index

Properties

Methods

Properties

_alwaysForward

_bdc

_calculated

_calendar

_dayCounter

_extrapolate

_frozen

_isDisposed

_moving

_observables

_observers

_referenceDate

_settlementDays

_updated

allowsExtrapolation

Type declaration

Returns boolean

alwaysForwardNotifications

Type declaration

Returns void

blackVariance1

Type declaration

Parameters

optionTenor: Period

strike: Rate

Optional extrapolate: boolean

Returns Volatility

blackVariance2

Type declaration

Parameters

optionDate: Date

strike: Rate

Optional extrapolate: boolean

Returns Volatility

blackVariance3

Type declaration

Parameters

optionTime: Time

strike: Rate

Optional extrapolate: boolean

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

checkStrike

Type declaration

Parameters

k: Rate

extrapolate: boolean

Returns void

dayCounter

Type declaration

Returns DayCounter

disableExtrapolation

Type declaration

Parameters