RangeAccrualPricerByBgm

Hierarchy

RangeAccrualPricer
- RangeAccrualPricerByBgm

Implements

Index

Constructors

constructor

Constructors

constructor

new RangeAccrualPricerByBgm(correlation: Real, smilesOnExpiry: SmileSection, smilesOnPayment: SmileSection, withSmile: boolean, byCallSpread: boolean): RangeAccrualPricerByBgm

- Defined in ql/cashflows/rangeaccrual.ts:214
Parameters
- correlation: Real
- smilesOnExpiry: SmileSection
- smilesOnPayment: SmileSection
- withSmile: boolean
- byCallSpread: boolean
Returns RangeAccrualPricerByBgm

Properties

Protected _accrualFactor

_accrualFactor: Real

Private _byCallSpread

_byCallSpread: boolean

Private _correlation

_correlation: Real

Protected _coupon

_coupon: RangeAccrualFloatersCoupon

Protected _discount

_discount: Real

Protected _endTime

_endTime: Real

Private _eps

_eps: Real

Protected _gearing

_gearing: Real

Protected _initialValues

_initialValues: Real[]

_isDisposed

_isDisposed: boolean = false

Protected _lowerTrigger

_lowerTrigger: Real

_observables

_observables: Set<Observable> = new Set()

Protected _observationTimeLags

_observationTimeLags: Real[]

Protected _observationTimes

_observationTimes: Real[]

Protected _observationsNo

_observationsNo: Size

_observers

_observers: Set<Observer> = new Set()

Private _smilesOnExpiry

_smilesOnExpiry: SmileSection

Private _smilesOnPayment

_smilesOnPayment: SmileSection

Protected _spread

_spread: Spread

Protected _spreadLegValue

_spreadLegValue: Real

Protected _startTime

_startTime: Real

Protected _upperTrigger

_upperTrigger: Real

Private _withSmile

_withSmile: boolean

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 callSpreadPrice

callSpreadPrice(previousForward: Real, nextForward: Real, previousStrike: Real, nextStrike: Real, deflator: Real, previousVariance: Real, nextVariance: Real): Real

- Defined in ql/cashflows/rangeaccrual.ts:523
Parameters
- previousForward: Real
- nextForward: Real
- previousStrike: Real
- nextStrike: Real
- deflator: Real
- previousVariance: Real
- nextVariance: Real
Returns Real

capletPrice

capletPrice(effectiveCap: Rate): Real

Inherited from RangeAccrualPricer.capletPrice

Overrides FloatingRateCouponPricer.capletPrice
- Defined in ql/cashflows/rangeaccrual.ts:141
Parameters
- effectiveCap: Rate
Returns Real

capletRate

capletRate(effectiveCap: Rate): Real

Inherited from RangeAccrualPricer.capletRate

Overrides FloatingRateCouponPricer.capletRate
- Defined in ql/cashflows/rangeaccrual.ts:145
Parameters
- effectiveCap: Rate
Returns Real

deepUpdate

deepUpdate(): void

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

Protected derDriftDerLambdaS

derDriftDerLambdaS(U: Real, lambdaS: Real, lambdaT: Real, correlation: Real): Real

- Defined in ql/cashflows/rangeaccrual.ts:268
Parameters
- U: Real
- lambdaS: Real
- lambdaT: Real
- correlation: Real
Returns Real

Protected derDriftDerLambdaT

derDriftDerLambdaT(U: Real, lambdaS: Real, lambdaT: Real, correlation: Real): Real

- Defined in ql/cashflows/rangeaccrual.ts:290
Parameters
- U: Real
- lambdaS: Real
- lambdaT: Real
- correlation: Real
Returns Real

Protected derLambdaDerLambdaS

derLambdaDerLambdaS(U: Real): Real

- Defined in ql/cashflows/rangeaccrual.ts:331
Parameters
- U: Real
Returns Real

Protected derLambdaDerLambdaT

derLambdaDerLambdaT(U: Real): Real

- Defined in ql/cashflows/rangeaccrual.ts:340
Parameters
- U: Real
Returns Real

Protected digitalPrice

digitalPrice(strike: Real, initialValue: Real, expiry: Real, deflator: Real): Real

- Defined in ql/cashflows/rangeaccrual.ts:406
Parameters
- strike: Real
- initialValue: Real
- expiry: Real
- deflator: Real
Returns Real

Protected digitalPriceWithSmile

digitalPriceWithSmile(strike: Real, initialValue: Real, expiry: Real, deflator: Real): Real

- Defined in ql/cashflows/rangeaccrual.ts:459
Parameters
- strike: Real
- initialValue: Real
- expiry: Real
- deflator: Real
Returns Real

Protected digitalPriceWithoutSmile

digitalPriceWithoutSmile(strike: Real, initialValue: Real, expiry: Real, deflator: Real): Real

- Defined in ql/cashflows/rangeaccrual.ts:421
Parameters
- strike: Real
- initialValue: Real
- expiry: Real
- deflator: Real
Returns Real

Protected digitalRangePrice

digitalRangePrice(lowerTrigger: Real, upperTrigger: Real, initialValue: Real, expiry: Real, deflator: Real): Real

- Defined in ql/cashflows/rangeaccrual.ts:389
Parameters
- lowerTrigger: Real
- upperTrigger: Real
- initialValue: Real
- expiry: Real
- deflator: Real
Returns Real

Protected drift

drift(U: Real, lambdaS: Real, lambdaT: Real, correlation: Real): Real

- Defined in ql/cashflows/rangeaccrual.ts:242
Parameters
- U: Real
- lambdaS: Real
- lambdaT: Real
- correlation: Real
Returns Real

Protected driftsOverPeriod

driftsOverPeriod(U: Real, lambdaS: Real, lambdaT: Real, correlation: Real): Real[]

- Defined in ql/cashflows/rangeaccrual.ts:349
Parameters
- U: Real
- lambdaS: Real
- lambdaT: Real
- correlation: Real
Returns Real[]

floorletPrice

floorletPrice(effectiveFloor: Rate): Real

Inherited from RangeAccrualPricer.floorletPrice

Overrides FloatingRateCouponPricer.floorletPrice
- Defined in ql/cashflows/rangeaccrual.ts:149
Parameters
- effectiveFloor: Rate
Returns Real

floorletRate

floorletRate(effectiveFloor: Rate): Rate

Inherited from RangeAccrualPricer.floorletRate

Overrides FloatingRateCouponPricer.floorletRate
- Defined in ql/cashflows/rangeaccrual.ts:153
Parameters
- effectiveFloor: Rate
Returns Rate

initialize

initialize(coupon: FloatingRateCoupon): void

Inherited from RangeAccrualPricer.initialize

Overrides FloatingRateCouponPricer.initialize
- Defined in ql/cashflows/rangeaccrual.ts:157
Parameters
- coupon: FloatingRateCoupon
Returns void

Protected lambda

lambda(U: Real, lambdaS: Real, lambdaT: Real): Real

- Defined in ql/cashflows/rangeaccrual.ts:316
Parameters
- U: Real
- lambdaS: Real
- lambdaT: Real
Returns Real

Protected lambdasOverPeriod

lambdasOverPeriod(U: Real, lambdaS: Real, lambdaT: Real): Real[]

- Defined in ql/cashflows/rangeaccrual.ts:374
Parameters
- U: Real
- lambdaS: Real
- lambdaT: Real
Returns Real[]

Protected smileCorrection

smileCorrection(strike: Real, forward: Real, expiry: Real, deflator: Real): Real

- Defined in ql/cashflows/rangeaccrual.ts:551
Parameters
- strike: Real
- forward: Real
- expiry: Real
- deflator: Real
Returns Real

swapletPrice

swapletPrice(): Real

Overrides FloatingRateCouponPricer.swapletPrice
- Defined in ql/cashflows/rangeaccrual.ts:228
Returns Real

swapletRate

swapletRate(): Rate

Inherited from RangeAccrualPricer.swapletRate

Overrides FloatingRateCouponPricer.swapletRate
- Defined in ql/cashflows/rangeaccrual.ts:137
Returns Rate

update

update(): void

Inherited from OvernightIndexedCouponPricer.update

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

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Parameters

correlation: Real

smilesOnExpiry: SmileSection

smilesOnPayment: SmileSection

withSmile: boolean

byCallSpread: boolean

Returns RangeAccrualPricerByBgm

Properties

Protected _accrualFactor

Private _byCallSpread

Private _correlation

Protected _coupon

Protected _discount

Protected _endTime

Private _eps

Protected _gearing

Protected _initialValues

_isDisposed

Protected _lowerTrigger

_observables

Protected _observationTimeLags

Protected _observationTimes

Protected _observationsNo

_observers

Private _smilesOnExpiry

Private _smilesOnPayment

Protected _spread

Protected _spreadLegValue

Protected _startTime

Protected _upperTrigger

Private _withSmile

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 callSpreadPrice

Parameters

previousForward: Real

nextForward: Real

previousStrike: Real