NumericHaganPricer | quantlib.js

CMS-coupon pricer Prices a cms coupon via static replication as in Hagan's "Conundrums..." article via numerical integration based on prices of vanilla swaptions

Hierarchy

HaganPricer
- NumericHaganPricer

Implements

Index

Classes

Constructors

constructor

Properties

Methods

Constructors

constructor

new NumericHaganPricer(swaptionVol: Handle<SwaptionVolatilityStructure>, modelOfYieldCurve: YieldCurveModel, meanReversion: Handle<Quote>, lowerLimit?: Rate, upperLimit?: Rate, precision?: Real, hardUpperLimit?: Real): NumericHaganPricer

Overrides HaganPricer.constructor
- Defined in ql/cashflows/conundrumpricer.ts:922
Parameters
- swaptionVol: Handle<SwaptionVolatilityStructure>
- modelOfYieldCurve: YieldCurveModel
- meanReversion: Handle<Quote>
- Default value lowerLimit: Rate = 0
- Default value upperLimit: Rate = 1
- Default value precision: Real = 0.000001
- Default value hardUpperLimit: Real = QL_MAX_REAL
Returns NumericHaganPricer

Properties

Protected _annuity

_annuity: Real

Protected _coupon

_coupon: CmsCoupon

Protected _cutoffForCaplet

_cutoffForCaplet: Rate

Protected _cutoffForFloorlet

_cutoffForFloorlet: Rate

Protected _discount

_discount: DiscountFactor

Protected _fixingDate

_fixingDate: Date

Protected _gFunction

_gFunction: GFunction

Protected _gearing

_gearing: Real

Private _hardUpperLimit

_hardUpperLimit: Real

_isDisposed

_isDisposed: boolean = false

Private _lowerLimit

_lowerLimit: Real

Protected _meanReversion

_meanReversion: Handle<Quote>

Protected _modelOfYieldCurve

_modelOfYieldCurve: YieldCurveModel

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Protected _paymentDate

_paymentDate: Date

Private _precision

_precision: Real

Protected _rateCurve

_rateCurve: YieldTermStructure

Private _refiningIntegrationTolerance

_refiningIntegrationTolerance: Real

Private _requiredStdDeviations

_requiredStdDeviations: Real

Protected _spread

_spread: Spread

Protected _spreadLegValue

_spreadLegValue: Real

Private _stdDeviationsForUpperLimit

_stdDeviationsForUpperLimit: Real

Protected _swapRateValue

_swapRateValue: Rate

Protected _swapTenor

_swapTenor: Period

_swaptionVol

_swaptionVol: Handle<SwaptionVolatilityStructure>

Private _upperLimit

_upperLimit: Real

Protected _vanillaOptionPricer

_vanillaOptionPricer: VanillaOptionPricer

deepUpdate

deepUpdate: () => void

Type declaration

- (): void
- Returns void

dispose

dispose: () => void

Type declaration

- (): void
- Returns void

init

init: (v?: Handle<SwaptionVolatilityStructure>) => CmsCouponPricer

Type declaration

- (v?: Handle<SwaptionVolatilityStructure>): CmsCouponPricer
- Parameters
  - Optional v: Handle<SwaptionVolatilityStructure>
  Returns CmsCouponPricer

isDisposed

isDisposed: boolean

notifyObservers

notifyObservers: () => void

Type declaration

- (): void
- Returns void

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

setSwaptionVolatility

setSwaptionVolatility: (v: Handle<SwaptionVolatilityStructure>) => 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

update

update: () => void

Type declaration

- (): void
- Returns void

Methods

capletPrice

capletPrice(effectiveCap: Rate): Real

Inherited from HaganPricer.capletPrice

Overrides CmsCouponPricerMeanRevertingPricer.capletPrice
- Defined in ql/cashflows/conundrumpricer.ts:735
Parameters
- effectiveCap: Rate
Returns Real

capletRate

capletRate(effectiveCap: Rate): Rate

Inherited from HaganPricer.capletRate

Overrides CmsCouponPricerMeanRevertingPricer.capletRate
- Defined in ql/cashflows/conundrumpricer.ts:759
Parameters
- effectiveCap: Rate
Returns Rate

floorletPrice

floorletPrice(effectiveFloor: Rate): Real

Inherited from HaganPricer.floorletPrice

Overrides CmsCouponPricerMeanRevertingPricer.floorletPrice
- Defined in ql/cashflows/conundrumpricer.ts:764
Parameters
- effectiveFloor: Rate
Returns Real

floorletRate

floorletRate(effectiveFloor: Rate): Rate

Inherited from HaganPricer.floorletRate

Overrides CmsCouponPricerMeanRevertingPricer.floorletRate
- Defined in ql/cashflows/conundrumpricer.ts:789
Parameters
- effectiveFloor: Rate
Returns Rate

initialize

initialize(coupon: FloatingRateCoupon): void

Inherited from HaganPricer.initialize

Overrides CmsCouponPricerMeanRevertingPricer.initialize
- Defined in ql/cashflows/conundrumpricer.ts:805
Parameters
- coupon: FloatingRateCoupon
Returns void

integrate

integrate(a: Real, b: Real, integrand: ConundrumIntegrand): Real

- Defined in ql/cashflows/conundrumpricer.ts:946
Parameters
- a: Real
- b: Real
- integrand: ConundrumIntegrand
Returns Real

meanReversion

meanReversion(): Real

Inherited from HaganPricer.meanReversion

Overrides CmsCouponPricerMeanRevertingPricer.meanReversion
- Defined in ql/cashflows/conundrumpricer.ts:794
Returns Real

optionletPrice

optionletPrice(optionType: Type, strike: Rate): Real

Overrides HaganPricer.optionletPrice
- Defined in ql/cashflows/conundrumpricer.ts:1009
Parameters
- optionType: Type
- strike: Rate
Returns Real

refineIntegration

refineIntegration(integralValue: Real, integrand: ConundrumIntegrand): Real

- Defined in ql/cashflows/conundrumpricer.ts:1070
Parameters
- integralValue: Real
- integrand: ConundrumIntegrand
Returns Real

resetUpperLimit

resetUpperLimit(stdDeviationsForUpperLimit: Real): Real

- Defined in ql/cashflows/conundrumpricer.ts:1061
Parameters
- stdDeviationsForUpperLimit: Real
Returns Real

setMeanReversion

setMeanReversion(meanReversion: Handle<Quote>): void

Inherited from HaganPricer.setMeanReversion

Overrides CmsCouponPricerMeanRevertingPricer.setMeanReversion
- Defined in ql/cashflows/conundrumpricer.ts:798
Parameters
- meanReversion: Handle<Quote>
Returns void

stdDeviations

stdDeviations(): Real

- Defined in ql/cashflows/conundrumpricer.ts:942
Returns Real

swapletPrice

swapletPrice(): Real

Overrides HaganPricer.swapletPrice
- Defined in ql/cashflows/conundrumpricer.ts:1040
Returns Real

swapletRate

swapletRate(): Rate

Inherited from HaganPricer.swapletRate

Overrides CmsCouponPricerMeanRevertingPricer.swapletRate
- Defined in ql/cashflows/conundrumpricer.ts:730
Returns Rate

upperLimit

upperLimit(): Real

- Defined in ql/cashflows/conundrumpricer.ts:938
Returns Real

Hierarchy

Implements

Index

Classes

Constructors

Properties

Methods

Constructors

constructor

Parameters

swaptionVol: Handle<SwaptionVolatilityStructure>

modelOfYieldCurve: YieldCurveModel

meanReversion: Handle<Quote>

Default value lowerLimit: Rate = 0

Default value upperLimit: Rate = 1

Default value precision: Real = 0.000001

Default value hardUpperLimit: Real = QL_MAX_REAL

Returns NumericHaganPricer

Properties

Protected _annuity

Protected _coupon

Protected _cutoffForCaplet

Protected _cutoffForFloorlet

Protected _discount

Protected _fixingDate

Protected _gFunction

Protected _gearing

Private _hardUpperLimit

_isDisposed

Private _lowerLimit

Protected _meanReversion

Protected _modelOfYieldCurve

_observables

_observers

Protected _paymentDate

Private _precision

Protected _rateCurve

Private _refiningIntegrationTolerance

Private _requiredStdDeviations

Protected _spread

Protected _spreadLegValue

Private _stdDeviationsForUpperLimit

Protected _swapRateValue

Protected _swapTenor

_swaptionVol

Private _upperLimit

Protected _vanillaOptionPricer

deepUpdate

Type declaration

Returns void

dispose

Type declaration

Returns void

init

Type declaration

Parameters

Optional v: Handle<SwaptionVolatilityStructure>

Returns CmsCouponPricer

isDisposed

notifyObservers

Type declaration

Returns void

registerObserver

Type declaration

Parameters

o: Observer

Returns void

registerWith

Type declaration

Parameters

h: Observable

Returns void

registerWithObservables

Type declaration

Parameters

o: Observer

Returns void

setSwaptionVolatility

Type declaration

Parameters