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Class YieldTermStructureInterpolatedCurveLazyObject

Hierarchy

Implements

Index

Properties

Methods

Properties

_alwaysForward

_alwaysForward: boolean = false

_calculated

_calculated: boolean = false

_calendar

_calendar: Calendar

_data

_data: Real[]

_dayCounter

_dayCounter: DayCounter

_extrapolate

_extrapolate: boolean = false

_frozen

_frozen: boolean = false

_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

alwaysForwardNotifications

alwaysForwardNotifications: () => void

Type declaration

    • (): void

    • Returns void

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

curveInit1

curveInit1: (dates: Date[], dfs: DiscountFactor[], dayCounter: DayCounter, calendar?: Calendar, jumps?: Array<Handle<Quote>>, jumpDates?: Date[]) => YieldCurve

Type declaration

curveInit2

curveInit2: (dates: Date[], dfs: DiscountFactor[], dayCounter: DayCounter, calendar: Calendar) => YieldCurve

Type declaration

curveInit3

curveInit3: (dates: Date[], dfs: DiscountFactor[], dayCounter: DayCounter) => YieldCurve

Type declaration

curveInit4

curveInit4: (dayCounter: DayCounter, jumps?: Array<Handle<Quote>>, jumpDates?: Date[]) => YieldCurve

Type declaration

curveInit5

curveInit5: (referenceDate: Date, dayCounter: DayCounter, jumps?: Array<Handle<Quote>>, jumpDates?: Date[]) => YieldCurve

Type declaration

curveInit6

curveInit6: (settlementDays: Natural, calendar: Calendar, dayCounter: DayCounter, jumps?: Array<Handle<Quote>>, jumpDates?: Date[]) => YieldCurve

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

discount1

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

Type declaration

discount2

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

Type declaration

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

forwardRate2

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

Type declaration

forwardRate3

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

Type declaration

freeze

freeze: () => void

Type declaration

    • (): void

    • Returns void

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

icInit4: (i?: Interpolator) => InterpolatedCurve

Type declaration

icInit5

icInit5: (i: InterpolatedCurve) => InterpolatedCurve

Type declaration

isDisposed

isDisposed: boolean

jumpDates

jumpDates: () => Date[]

Type declaration

    • (): Date[]

    • Returns Date[]

jumpTimes

jumpTimes: () => Time[]

Type declaration

maxTime

maxTime: () => Time

Type declaration

notifyObservers

notifyObservers: () => void

Type declaration

    • (): void

    • Returns void

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

setJumps

setJumps: () => void

Type declaration

    • (): void

    • Returns void

settlementDays

settlementDays: () => Natural

Type declaration

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

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

ytsInit1

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

Type declaration

ytsInit2

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

Type declaration

ytsInit3

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

Type declaration

zeroRate1

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

Type declaration

zeroRate2

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

Type declaration

Methods

data

  • Returns Real[]

dates

  • dates(): Date[]

  • Returns Date[]

discountImpl

  • Parameters

    Returns DiscountFactor

maxDate

  • maxDate(): Date

  • Returns Date

nodes

  • nodes(): Array<[Date, Real]>

  • Returns Array<[Date, Real]>

performCalculations

  • performCalculations(): void

  • Returns void

times

  • Returns Time[]

update

  • update(): void

  • Returns void