ArithmeticAveragedOvernightIndexedCouponPricer

pricer for arithmetically averaged overnight indexed coupons Reference: Katsumi Takada 2011, Valuation of Arithmetically Average of Fed Funds Rates and Construction of the US Dollar Swap Yield Curve

Hierarchy

FloatingRateCouponPricer
- ArithmeticAveragedOvernightIndexedCouponPricer

Implements

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new ArithmeticAveragedOvernightIndexedCouponPricer(meanReversion?: Real, volatility?: Real, byApprox?: boolean): ArithmeticAveragedOvernightIndexedCouponPricer

- Defined in ql/experimental/averageois/averageoiscouponpricer.ts:21
Parameters
- Default value meanReversion: Real = 0.03
- Default value volatility: Real = 0
- Default value byApprox: boolean = false
Returns ArithmeticAveragedOvernightIndexedCouponPricer

Properties

Protected _byApprox

_byApprox: boolean

Protected _coupon

_coupon: OvernightIndexedCoupon

_isDisposed

_isDisposed: boolean = false

Protected _mrs

_mrs: Real

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

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

capletPrice

capletPrice(r: Rate): Real

Overrides FloatingRateCouponPricer.capletPrice
- Defined in ql/experimental/averageois/averageoiscouponpricer.ts:142
Parameters
- r: Rate
Returns Real

capletRate

capletRate(r: Rate): Rate

Overrides FloatingRateCouponPricer.capletRate
- Defined in ql/experimental/averageois/averageoiscouponpricer.ts:146
Parameters
- r: Rate
Returns Rate

Protected convAdj1

convAdj1(ts: Time, te: Time): Real

- Defined in ql/experimental/averageois/averageoiscouponpricer.ts:158
Parameters
- ts: Time
- te: Time
Returns Real

Protected convAdj2

convAdj2(ts: Time, te: Time): Real

- Defined in ql/experimental/averageois/averageoiscouponpricer.ts:164
Parameters
- ts: Time
- te: Time
Returns Real

deepUpdate

deepUpdate(): void

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

floorletPrice

floorletPrice(r: Rate): Real

Overrides FloatingRateCouponPricer.floorletPrice
- Defined in ql/experimental/averageois/averageoiscouponpricer.ts:150
Parameters
- r: Rate
Returns Real

floorletRate

floorletRate(r: Rate): Rate

Overrides FloatingRateCouponPricer.floorletRate
- Defined in ql/experimental/averageois/averageoiscouponpricer.ts:154
Parameters
- r: Rate
Returns Rate

initialize

initialize(coupon: FloatingRateCoupon): void

Overrides FloatingRateCouponPricer.initialize
- Defined in ql/experimental/averageois/averageoiscouponpricer.ts:30
Parameters
- coupon: FloatingRateCoupon
Returns void

swapletPrice

swapletPrice(): Real

Overrides FloatingRateCouponPricer.swapletPrice
- Defined in ql/experimental/averageois/averageoiscouponpricer.ts:138
Returns Real

swapletRate

swapletRate(): Rate

Overrides FloatingRateCouponPricer.swapletRate
- Defined in ql/experimental/averageois/averageoiscouponpricer.ts:40
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

Default value meanReversion: Real = 0.03

Default value volatility: Real = 0

Default value byApprox: boolean = false

Returns ArithmeticAveragedOvernightIndexedCouponPricer

Properties

Protected _byApprox

Protected _coupon

_isDisposed

Protected _mrs

_observables

_observers

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

Returns void

Methods

capletPrice

Parameters

r: Rate

Returns Real

capletRate

Parameters

r: Rate

Returns Rate

Protected convAdj1

Parameters

ts: Time

te: Time

Returns Real

Protected convAdj2

Parameters

ts: Time

te: Time

Returns Real

deepUpdate

Returns void

floorletPrice

Parameters

r: Rate