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Hierarchy

Implements

Index

Properties

_baseRate

_baseRate: Rate

_calendar

_calendar: Calendar

_data

_data: Real[]

_dayCounter

_dayCounter: DayCounter

_extrapolate

_extrapolate: boolean

_frequency

_frequency: Frequency

_indexIsInterpolated

_indexIsInterpolated: boolean

_interpolation

_interpolation: Interpolation

_interpolator

_interpolator: Interpolator

_isDisposed

_isDisposed: boolean = false

_maxDate

_maxDate: Date

_moving

_moving: boolean

_nominalTermStructure

_nominalTermStructure: Handle<YieldTermStructure>

_observables

_observables: Set<Observable> = new Set()

_observationLag

_observationLag: Period

_observers

_observers: Set<Observer> = new Set()

_referenceDate

_referenceDate: Date

_seasonality

_seasonality: Seasonality

_settlementDays

_settlementDays: Natural

_times

_times: Time[]

_updated

_updated: boolean

allowsExtrapolation

allowsExtrapolation: () => boolean

Type declaration

    • (): boolean
    • Returns boolean

baseRate

baseRate: () => Rate

Type declaration

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

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

frequency

frequency: () => Frequency

Type declaration

hasSeasonality

hasSeasonality: () => boolean

Type declaration

    • (): boolean
    • Returns boolean

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

itsInit1

itsInit1: (baseRate: Rate, observationLag: Period, frequency: Frequency, indexIsInterpolated: boolean, yTS: Handle<YieldTermStructure>, dayCounter?: DayCounter, seasonality?: Seasonality) => InflationTermStructure

Type declaration

itsInit2

itsInit2: (referenceDate: Date, baseRate: Rate, observationLag: Period, frequency: Frequency, indexIsInterpolated: boolean, yTS: Handle<YieldTermStructure>, calendar?: Calendar, dayCounter?: DayCounter, seasonality?: Seasonality) => InflationTermStructure

Type declaration

itsInit3

itsInit3: (settlementDays: Natural, calendar: Calendar, baseRate: Rate, observationLag: Period, frequency: Frequency, indexIsInterpolated: boolean, yTS: Handle<YieldTermStructure>, dayCounter?: DayCounter, seasonality?: Seasonality) => InflationTermStructure

Type declaration

maxTime

maxTime: () => Time

Type declaration

nominalTermStructure

nominalTermStructure: () => Handle<YieldTermStructure>

Type declaration

notifyObservers

notifyObservers: () => void

Type declaration

    • (): void
    • Returns void

observationLag

observationLag: () => Period

Type declaration

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

seasonality

seasonality: () => Seasonality

Type declaration

setBaseRate

setBaseRate: (r: Rate) => void

Type declaration

    • Parameters

      Returns void

setSeasonality

setSeasonality: (seasonality?: Seasonality) => void

Type declaration

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

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

unregisterWithAll

unregisterWithAll: () => void

Type declaration

    • (): void
    • Returns void

update

update: () => void

Type declaration

    • (): void
    • Returns void

yoyRate1

yoyRate1: (d: Date, instObsLag?: Period, forceLinearInterpolation?: boolean, extrapolate?: boolean) => Rate

Type declaration

    • (d: Date, instObsLag?: Period, forceLinearInterpolation?: boolean, extrapolate?: boolean): Rate
    • Parameters

      • d: Date
      • Optional instObsLag: Period
      • Optional forceLinearInterpolation: boolean
      • Optional extrapolate: boolean

      Returns Rate

yoyRate2

yoyRate2: (t: Time, extrapolate?: boolean) => Rate

Type declaration

    • (t: Time, extrapolate?: boolean): Rate
    • Parameters

      • t: Time
      • Optional extrapolate: boolean

      Returns Rate

yoyitsInit1

yoyitsInit1: (dayCounter: DayCounter, baseYoYRate: Rate, lag: Period, frequency: Frequency, indexIsInterpolated: boolean, yieldTS: Handle<YieldTermStructure>, seasonality: Seasonality) => YoYInflationTermStructure

Type declaration

yoyitsInit2

yoyitsInit2: (referenceDate: Date, calendar: Calendar, dayCounter: DayCounter, baseZeroRate: Rate, lag: Period, frequency: Frequency, indexIsInterpolated: boolean, yTS: Handle<YieldTermStructure>, seasonality?: Seasonality) => YoYInflationTermStructure

Type declaration

yoyitsInit3

yoyitsInit3: (settlementDays: Natural, calendar: Calendar, dayCounter: DayCounter, baseZeroRate: Rate, lag: Period, frequency: Frequency, indexIsInterpolated: boolean, yTS: Handle<YieldTermStructure>, seasonality?: Seasonality) => YoYInflationTermStructure

Type declaration

Methods

baseDate

  • baseDate(): Date
  • Returns Date

maxDate

  • maxDate(): Date
  • Returns Date

yoyRateImpl

  • Parameters

    Returns Rate