Class CmsCouponPricer

base pricer for vanilla CMS coupons

Hierarchy

FloatingRateCouponPricer
- CmsCouponPricer

Implements

Implemented by

Properties

_isDisposed

_isDisposed: boolean = false

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

_swaptionVol

_swaptionVol: Handle<SwaptionVolatilityStructure>

dispose

dispose: () => void

Type declaration

- (): void
- Returns void

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

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

Methods

capletPrice

capletPrice(effectiveCap: Rate): Real

Inherited from FloatingRateCouponPricer.capletPrice
- Defined in ql/cashflows/couponpricer.ts:33
Parameters
- effectiveCap: Rate
Returns Real

capletRate

capletRate(effectiveCap: Rate): Rate

Inherited from FloatingRateCouponPricer.capletRate
- Defined in ql/cashflows/couponpricer.ts:36
Parameters
- effectiveCap: Rate
Returns Rate

deepUpdate

deepUpdate(): void

Inherited from ObserverObservable.deepUpdate
- Defined in mixins/ql/patterns/observerobservable.ts:23
Returns void

floorletPrice

floorletPrice(effectiveFloor: Rate): Real

Inherited from FloatingRateCouponPricer.floorletPrice
- Defined in ql/cashflows/couponpricer.ts:39
Parameters
- effectiveFloor: Rate
Returns Real

floorletRate

floorletRate(effectiveFloor: Rate): Rate

Inherited from FloatingRateCouponPricer.floorletRate
- Defined in ql/cashflows/couponpricer.ts:42
Parameters
- effectiveFloor: Rate
Returns Rate

init

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

- Defined in ql/cashflows/couponpricer.ts:308
Parameters
- Default value v: Handle<SwaptionVolatilityStructure> = new Handle()
Returns CmsCouponPricer

initialize

initialize(coupon: FloatingRateCoupon): void

Inherited from FloatingRateCouponPricer.initialize
- Defined in ql/cashflows/couponpricer.ts:45
Parameters
- coupon: FloatingRateCoupon
Returns void

setSwaptionVolatility

setSwaptionVolatility(v?: Handle<SwaptionVolatilityStructure>): void

- Defined in ql/cashflows/couponpricer.ts:320
Parameters
- Default value v: Handle<SwaptionVolatilityStructure> = new Handle()
Returns void

swapletPrice

swapletPrice(): Real

Inherited from FloatingRateCouponPricer.swapletPrice
- Defined in ql/cashflows/couponpricer.ts:27
Returns Real

swapletRate

swapletRate(): Rate

Inherited from FloatingRateCouponPricer.swapletRate
- Defined in ql/cashflows/couponpricer.ts:30
Returns Rate

swaptionVolatility

swaptionVolatility(): Handle<SwaptionVolatilityStructure>

- Defined in ql/cashflows/couponpricer.ts:316
Returns Handle<SwaptionVolatilityStructure>

update

update(): void

Inherited from OvernightIndexedCouponPricer.update

Overrides ObserverObservable.update
- Defined in ql/cashflows/couponpricer.ts:49
Returns void