BlackYoYInflationCouponPricer

Hierarchy

YoYInflationCouponPricer
- BlackYoYInflationCouponPricer

Implements

Index

Constructors

constructor

Methods

Constructors

constructor

new BlackYoYInflationCouponPricer(capletVol?: Handle<YoYOptionletVolatilitySurface>): BlackYoYInflationCouponPricer

Overrides YoYInflationCouponPricer.constructor
- Defined in ql/cashflows/inflationcouponpricer.ts:217
Parameters
- Default value capletVol: Handle<YoYOptionletVolatilitySurface> = new Handle()
Returns BlackYoYInflationCouponPricer

Properties

Protected _capletVol

_capletVol: Handle<YoYOptionletVolatilitySurface>

Protected _coupon

_coupon: YoYInflationCoupon

Protected _discount

_discount: Real

Protected _gearing

_gearing: Real

_isDisposed

_isDisposed: boolean = false

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Protected _paymentDate

_paymentDate: Date

Protected _rateCurve

_rateCurve: Handle<YieldTermStructure>

Protected _spread

_spread: Spread

Protected _spreadLegValue

_spreadLegValue: Real

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

Protected adjustedFixing

adjustedFixing(fixing?: Rate): Rate

Inherited from YoYInflationCouponPricer.adjustedFixing
- Defined in ql/cashflows/inflationcouponpricer.ts:199
Parameters
- Default value fixing: Rate = QL_NULL_REAL
Returns Rate

capletPrice

capletPrice(effectiveCap: Rate): Real

Inherited from YoYInflationCouponPricer.capletPrice

Overrides InflationCouponPricer.capletPrice
- Defined in ql/cashflows/inflationcouponpricer.ts:114
Parameters
- effectiveCap: Rate
Returns Real

capletRate

capletRate(effectiveCap: Rate): Rate

Inherited from YoYInflationCouponPricer.capletRate

Overrides InflationCouponPricer.capletRate
- Defined in ql/cashflows/inflationcouponpricer.ts:120
Parameters
- effectiveCap: Rate
Returns Rate

capletVolatility

capletVolatility(): Handle<YoYOptionletVolatilitySurface>

Inherited from YoYInflationCouponPricer.capletVolatility
- Defined in ql/cashflows/inflationcouponpricer.ts:88
Returns Handle<YoYOptionletVolatilitySurface>

deepUpdate

deepUpdate(): void

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

floorletPrice

floorletPrice(effectiveFloor: Rate): Real

Inherited from YoYInflationCouponPricer.floorletPrice

Overrides InflationCouponPricer.floorletPrice
- Defined in ql/cashflows/inflationcouponpricer.ts:125
Parameters
- effectiveFloor: Rate
Returns Real

floorletRate

floorletRate(effectiveFloor: Rate): Rate

Inherited from YoYInflationCouponPricer.floorletRate

Overrides InflationCouponPricer.floorletRate
- Defined in ql/cashflows/inflationcouponpricer.ts:131
Parameters
- effectiveFloor: Rate
Returns Rate

initialize

initialize(coupon: InflationCoupon): void

Inherited from YoYInflationCouponPricer.initialize

Overrides InflationCouponPricer.initialize
- Defined in ql/cashflows/inflationcouponpricer.ts:136
Parameters
- coupon: InflationCoupon
Returns void

Protected optionletPrice

optionletPrice(optionType: Type, effStrike: Real): Real

Inherited from YoYInflationCouponPricer.optionletPrice
- Defined in ql/cashflows/inflationcouponpricer.ts:166
Parameters
- optionType: Type
- effStrike: Real
Returns Real

Protected optionletPriceImp

optionletPriceImp(optionType: Type, effStrike: Real, forward: Real, stdDev: Real): Real

Overrides YoYInflationCouponPricer.optionletPriceImp
- Defined in ql/cashflows/inflationcouponpricer.ts:222
Parameters
- optionType: Type
- effStrike: Real
- forward: Real
- stdDev: Real
Returns Real

setCapletVolatility

setCapletVolatility(capletVol: Handle<YoYOptionletVolatilitySurface>): void

Inherited from YoYInflationCouponPricer.setCapletVolatility
- Defined in ql/cashflows/inflationcouponpricer.ts:92
Parameters
- capletVol: Handle<YoYOptionletVolatilitySurface>
Returns void

swapletPrice

swapletPrice(): Real

Inherited from YoYInflationCouponPricer.swapletPrice

Overrides InflationCouponPricer.swapletPrice
- Defined in ql/cashflows/inflationcouponpricer.ts:100
Returns Real

swapletRate

swapletRate(): Rate

Inherited from YoYInflationCouponPricer.swapletRate

Overrides InflationCouponPricer.swapletRate
- Defined in ql/cashflows/inflationcouponpricer.ts:106
Returns Rate

update

update(): void

Inherited from InflationCouponPricer.update

Overrides ObserverObservable.update
- Defined in ql/cashflows/inflationcouponpricer.ts:64
Returns void

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Parameters

Default value capletVol: Handle<YoYOptionletVolatilitySurface> = new Handle()

Returns BlackYoYInflationCouponPricer

Properties

Protected _capletVol

Protected _coupon

Protected _discount

Protected _gearing

_isDisposed

_observables

_observers

Protected _paymentDate

Protected _rateCurve

Protected _spread

Protected _spreadLegValue

dispose

Type declaration

Returns void

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

unregisterObserver

Type declaration

Parameters

o: Observer

Returns void

unregisterWith

Type declaration

Parameters

h: Observable

Returns Size

unregisterWithAll

Type declaration

Returns void

Methods

Protected adjustedFixing

Parameters

Default value fixing: Rate = QL_NULL_REAL

Returns Rate

capletPrice

Parameters

effectiveCap: Rate

Returns Real

capletRate

Parameters

effectiveCap: Rate

Returns Rate

capletVolatility

Returns Handle<YoYOptionletVolatilitySurface>

deepUpdate

Returns void

floorletPrice

Parameters

effectiveFloor: Rate

Returns Real

floorletRate