ArithmeticOISRateHelper

Rate helper for bootstrapping over Overnight Indexed Swap rates

Hierarchy

RelativeDateBootstrapHelper
- ArithmeticOISRateHelper

Implements

Index

Constructors

constructor

Methods

Constructors

constructor

new ArithmeticOISRateHelper(settlementDays: Natural, tenor: Period, fixedLegPaymentFrequency: Frequency, fixedRate: Handle<Quote>, overnightIndex: OvernightIndex, overnightLegPaymentFrequency: Frequency, spread: Handle<Quote>, meanReversionSpeed?: Real, volatility?: Real, byApprox?: boolean, discount?: Handle<YieldTermStructure>): ArithmeticOISRateHelper

- Defined in ql/experimental/averageois/arithmeticoisratehelper.ts:19
Parameters
- settlementDays: Natural
- tenor: Period
- fixedLegPaymentFrequency: Frequency
- fixedRate: Handle<Quote>
- overnightIndex: OvernightIndex
- overnightLegPaymentFrequency: Frequency
- spread: Handle<Quote>
- Default value meanReversionSpeed: Real = 0.03
- Default value volatility: Real = 0
- Default value byApprox: boolean = false
- Default value discount: Handle<YieldTermStructure> = new Handle()
Returns ArithmeticOISRateHelper

Properties

Protected _byApprox

_byApprox: boolean

Protected _discountHandle

_discountHandle: Handle<YieldTermStructure>

Protected _discountRelinkableHandle

_discountRelinkableHandle: RelinkableHandle<YieldTermStructure> = new RelinkableHandle()

Protected _earliestDate

_earliestDate: Date

Protected _evaluationDate

_evaluationDate: Date

Protected _fixedLegPaymentFrequency

_fixedLegPaymentFrequency: Frequency

_isDisposed

_isDisposed: boolean = false

Protected _latestDate

_latestDate: Date

Protected _latestRelevantDate

_latestRelevantDate: Date

Protected _maturityDate

_maturityDate: Date

Protected _mrs

_mrs: Real

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Protected _overnightIndex

_overnightIndex: OvernightIndex

Protected _overnightLegPaymentFrequency

_overnightLegPaymentFrequency: Frequency

Protected _pillarDate

_pillarDate: Date

Protected _quote

_quote: Handle<Quote>

Protected _settlementDays

_settlementDays: Natural

Protected _spread

_spread: Handle<Quote>

Protected _swap

_swap: ArithmeticAverageOIS

Protected _tenor

_tenor: Period

Protected _termStructure

_termStructure: Curve

Protected _termStructureHandle

_termStructureHandle: RelinkableHandle<YieldTermStructure> = new RelinkableHandle()

Protected _vol

_vol: 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

accept

accept(v: AcyclicVisitor): void

Overrides BootstrapHelper.accept
- Defined in ql/experimental/averageois/arithmeticoisratehelper.ts:85
Parameters
- v: AcyclicVisitor
Returns void

bshInit1

bshInit1(quote: Handle<Quote>): BootstrapHelper

Inherited from BootstrapHelper.bshInit1
- Defined in ql/termstructures/bootstraphelper.ts:42
Parameters
- quote: Handle<Quote>
Returns BootstrapHelper

bshInit2

bshInit2(quote: Real): BootstrapHelper

Inherited from BootstrapHelper.bshInit2
- Defined in ql/termstructures/bootstraphelper.ts:50
Parameters
- quote: Real
Returns BootstrapHelper

deepUpdate

deepUpdate(): void

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

earliestDate

earliestDate(): Date

Inherited from BootstrapHelper.earliestDate
- Defined in ql/termstructures/bootstraphelper.ts:93
earliest relevant date

The earliest date at which data are needed by the helper in order to provide a quote.

Returns Date

impliedQuote

impliedQuote(): Real

Overrides BootstrapHelper.impliedQuote
- Defined in ql/experimental/averageois/arithmeticoisratehelper.ts:45
Returns Real

Protected initializeDates

initializeDates(): void

Overrides RelativeDateBootstrapHelper.initializeDates
- Defined in ql/experimental/averageois/arithmeticoisratehelper.ts:97
Returns void

latestDate

latestDate(): Date

Inherited from BootstrapHelper.latestDate
- Defined in ql/termstructures/bootstraphelper.ts:126
Returns Date

latestRelevantDate

latestRelevantDate(): Date

Inherited from BootstrapHelper.latestRelevantDate
- Defined in ql/termstructures/bootstraphelper.ts:112
latest relevant date

The latest date at which data are needed by the helper in order to provide a quote. It does not necessarily equal the maturity of the underlying instrument.

Returns Date

maturityDate

maturityDate(): Date

Inherited from BootstrapHelper.maturityDate
- Defined in ql/termstructures/bootstraphelper.ts:98
instrument's maturity date

Returns Date

pillarDate

pillarDate(): Date

Inherited from BootstrapHelper.pillarDate
- Defined in ql/termstructures/bootstraphelper.ts:119
Returns Date

quote

quote(): Handle<Quote>

Inherited from BootstrapHelper.quote
- Defined in ql/termstructures/bootstraphelper.ts:56
Returns Handle<Quote>

quoteError

quoteError(): Real

Inherited from BootstrapHelper.quoteError
- Defined in ql/termstructures/bootstraphelper.ts:64
Returns Real

rdbshInit1

rdbshInit1(quote: Handle<Quote>): void

Inherited from RelativeDateBootstrapHelper.rdbshInit1
- Defined in ql/termstructures/bootstraphelper.ts:165
Parameters
- quote: Handle<Quote>
Returns void

rdbshInit2

rdbshInit2(quote: Real): void

Inherited from RelativeDateBootstrapHelper.rdbshInit2
- Defined in ql/termstructures/bootstraphelper.ts:172
Parameters
- quote: Real
Returns void

setTermStructure

setTermStructure(t: YieldTermStructure): void

Overrides BootstrapHelper.setTermStructure
- Defined in ql/experimental/averageois/arithmeticoisratehelper.ts:63
Parameters
- t: YieldTermStructure
Returns void

swap

swap(): ArithmeticAverageOIS

- Defined in ql/experimental/averageois/arithmeticoisratehelper.ts:81
Returns ArithmeticAverageOIS

update

update(): void

Inherited from RelativeDateBootstrapHelper.update

Overrides BootstrapHelper.update
- Defined in ql/termstructures/bootstraphelper.ts:178
Returns void

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Parameters

settlementDays: Natural

tenor: Period

fixedLegPaymentFrequency: Frequency

fixedRate: Handle<Quote>

overnightIndex: OvernightIndex

overnightLegPaymentFrequency: Frequency

spread: Handle<Quote>

Default value meanReversionSpeed: Real = 0.03

Default value volatility: Real = 0

Default value byApprox: boolean = false

Default value discount: Handle<YieldTermStructure> = new Handle()

Returns ArithmeticOISRateHelper

Properties

Protected _byApprox

Protected _discountHandle

Protected _discountRelinkableHandle

Protected _earliestDate

Protected _evaluationDate

Protected _fixedLegPaymentFrequency

_isDisposed

Protected _latestDate

Protected _latestRelevantDate

Protected _maturityDate

Protected _mrs

_observables

_observers

Protected _overnightIndex

Protected _overnightLegPaymentFrequency

Protected _pillarDate

Protected _quote

Protected _settlementDays

Protected _spread

Protected _swap

Protected _tenor

Protected _termStructure

Protected _termStructureHandle

Protected _vol

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