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Callable-bond volatility structure

This class is purely abstract and defines the interface of concrete callable-bond volatility structures which will be derived from this one.

Hierarchy

Implements

Index

Constructors

constructor

Properties

Private _bdc

_calendar

_calendar: Calendar

_dayCounter

_dayCounter: DayCounter

_extrapolate

_extrapolate: boolean

_isDisposed

_isDisposed: boolean = false

_moving

_moving: boolean

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

_referenceDate

_referenceDate: Date

_settlementDays

_settlementDays: Natural

_updated

_updated: boolean

allowsExtrapolation

allowsExtrapolation: () => boolean

Type declaration

    • (): boolean
    • Returns boolean

deepUpdate

deepUpdate: () => void

Type declaration

    • (): void
    • Returns void

disableExtrapolation

disableExtrapolation: (b?: boolean) => void

Type declaration

    • (b?: boolean): void
    • Parameters

      • Optional b: boolean

      Returns void

dispose

dispose: () => void

Type declaration

    • (): void
    • Returns void

enableExtrapolation

enableExtrapolation: (b?: boolean) => void

Type declaration

    • (b?: boolean): void
    • Parameters

      • Optional b: boolean

      Returns void

isDisposed

isDisposed: boolean

notifyObservers

notifyObservers: () => void

Type declaration

    • (): void
    • Returns void

registerObserver

registerObserver: (o: Observer) => void

Type declaration

registerWith

registerWith: (h: Observable) => void

Type declaration

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

unregisterWithAll

unregisterWithAll: () => void

Type declaration

    • (): void
    • Returns void

Methods

blackVariance1

  • Parameters

    • optionTime: Time
    • bondLength: Time
    • strike: Rate
    • Default value extrapolate: boolean = false

    Returns Volatility

blackVariance2

  • blackVariance2(optionDate: Date, bondTenor: Period, strike: Rate, extrapolate?: boolean): Volatility
  • Parameters

    • optionDate: Date
    • bondTenor: Period
    • strike: Rate
    • Default value extrapolate: boolean = false

    Returns Volatility

blackVariance3

  • Parameters

    • optionTenor: Period
    • bondTenor: Period
    • strike: Rate
    • Default value extrapolate: boolean = false

    Returns Volatility

businessDayConvention

calendar

  • the calendar used for reference and/or option date calculation

    Returns Calendar

cbvsInit1

cbvsInit2

cbvsInit3

checkRange1

  • checkRange1(d: Date, extrapolate: boolean): void
  • date-range check

    Parameters

    • d: Date
    • extrapolate: boolean

    Returns void

checkRange2

  • checkRange2(t: Time, extrapolate: boolean): void
  • time-range check

    Parameters

    • t: Time
    • extrapolate: boolean

    Returns void

checkRange3

  • checkRange3(optionTime: Time, bondLength: Time, k: Rate, extrapolate: boolean): void
  • Parameters

    • optionTime: Time
    • bondLength: Time
    • k: Rate
    • extrapolate: boolean

    Returns void

checkRange4

  • checkRange4(optionDate: Date, bondTenor: Period, k: Rate, extrapolate: boolean): void
  • Parameters

    • optionDate: Date
    • bondTenor: Period
    • k: Rate
    • extrapolate: boolean

    Returns void

convertDates

  • Parameters

    • optionDate: Date
    • bondTenor: Period

    Returns [Time, Time]

dayCounter

maxBondLength

  • maxBondLength(): Time
  • Returns Time

maxBondTenor

  • Returns Period

maxDate

  • maxDate(): Date
  • the latest date for which the curve can return values

    Returns Date

maxStrike

  • Returns Rate

maxTime

  • the latest time for which the curve can return values

    Returns Time

minStrike

  • Returns Rate

optionDateFromTenor

  • optionDateFromTenor(optionTenor: Period): Date
  • Parameters

    Returns Date

referenceDate

  • referenceDate(): Date
  • the date at which discount = 1.0 and/or variance = 0.0

    Returns Date

settlementDays

smileSection1

  • Parameters

    • optionDate: Date
    • bondTenor: Period

    Returns SmileSection

smileSection2

  • Parameters

    Returns SmileSection

Protected smileSectionImpl

  • Parameters

    Returns SmileSection

timeFromReference

  • timeFromReference(d: Date): Time

tsInit1

tsInit2

tsInit3

update

  • update(): void

volatility1

  • Parameters

    • optionTime: Time
    • bondLength: Time
    • strike: Rate
    • Default value extrapolate: boolean = false

    Returns Volatility

volatility2

  • Parameters

    • optionDate: Date
    • bondTenor: Period
    • strike: Rate
    • Default value extrapolate: boolean = false

    Returns Volatility

volatility3

  • Parameters

    • optionTenor: Period
    • bondTenor: Period
    • strike: Rate
    • Default value extrapolate: boolean = false

    Returns Volatility

Protected volatilityImpl1

  • Parameters

    Returns Volatility

Protected volatilityImpl2

  • Parameters

    Returns Volatility