Class ZSpreadFinder

Z-spread utility functions

Hierarchy

ZSpreadFinder

Implements

UnaryFunction<Rate, Real>

Index

Constructors

constructor

Properties

Methods

f

Constructors

constructor

new ZSpreadFinder(leg: Leg, discountCurve: YieldTermStructure, npv: Real, dc: DayCounter, comp: Compounding, freq: Frequency, includeSettlementDateFlows: boolean, settlementDate: Date, npvDate: Date): ZSpreadFinder

- Defined in ql/cashflows/cashflows.ts:1487
Parameters
- leg: Leg
- discountCurve: YieldTermStructure
- npv: Real
- dc: DayCounter
- comp: Compounding
- freq: Frequency
- includeSettlementDateFlows: boolean
- settlementDate: Date
- npvDate: Date
Returns ZSpreadFinder

Properties

Private _curve

_curve: ZeroSpreadedTermStructure

Private _includeSettlementDateFlows

_includeSettlementDateFlows: boolean

Private _leg

_leg: Leg

Private _npv

_npv: Real

Private _npvDate

_npvDate: Date

Private _settlementDate

_settlementDate: Date

Private _zSpread

_zSpread: SimpleQuote

Methods

f

f(zSpread: Rate): Real

- Defined in ql/cashflows/cashflows.ts:1514
Parameters
- zSpread: Rate
Returns Real