CallableBondVolatilityStructure

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

TermStructure
- CallableBondVolatilityStructure
  - CallableBondConstantVolatility

Implements

Index

Constructors

constructor

Constructors

constructor

new CallableBondVolatilityStructure(): CallableBondVolatilityStructure

- Defined in ql/experimental/callablebonds/callablebondvolstructure.ts:23
Returns CallableBondVolatilityStructure

Properties

Private _bdc

_bdc: BusinessDayConvention

_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

- (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

blackVariance1

blackVariance1(optionTime: Time, bondLength: Time, strike: Rate, extrapolate?: boolean): Volatility

- Defined in ql/experimental/callablebonds/callablebondvolstructure.ts:68
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

- Defined in ql/experimental/callablebonds/callablebondvolstructure.ts:84
Parameters
- optionDate: Date
- bondTenor: Period
- strike: Rate
- Default value extrapolate: boolean = false
Returns Volatility

blackVariance3

blackVariance3(optionTenor: Period, bondTenor: Period, strike: Rate, extrapolate?: boolean): Volatility

- Defined in ql/experimental/callablebonds/callablebondvolstructure.ts:105
Parameters
- optionTenor: Period
- bondTenor: Period
- strike: Rate
- Default value extrapolate: boolean = false
Returns Volatility

businessDayConvention

businessDayConvention(): BusinessDayConvention

- Defined in ql/experimental/callablebonds/callablebondvolstructure.ts:148
Returns BusinessDayConvention

calendar

calendar(): Calendar

Inherited from TermStructure.calendar
- Defined in ql/termstructure.ts:151
the calendar used for reference and/or option date calculation

Returns Calendar

cbvsInit1

cbvsInit1(dc?: DayCounter, bdc?: BusinessDayConvention): CallableBondVolatilityStructure

- Defined in ql/experimental/callablebonds/callablebondvolstructure.ts:30
Parameters
- Default value dc: DayCounter = new DayCounter()
- Default value bdc: BusinessDayConvention = BusinessDayConvention.Following
Returns CallableBondVolatilityStructure

cbvsInit2

cbvsInit2(referenceDate: Date, calendar?: Calendar, dc?: DayCounter, bdc?: BusinessDayConvention): CallableBondVolatilityStructure

- Defined in ql/experimental/callablebonds/callablebondvolstructure.ts:40
Parameters
- referenceDate: Date
- Default value calendar: Calendar = new Calendar()
- Default value dc: DayCounter = new DayCounter()
- Default value bdc: BusinessDayConvention = BusinessDayConvention.Following
Returns CallableBondVolatilityStructure

cbvsInit3

cbvsInit3(settlementDays: Natural, calendar: Calendar, dc?: DayCounter, bdc?: BusinessDayConvention): CallableBondVolatilityStructure

- Defined in ql/experimental/callablebonds/callablebondvolstructure.ts:51
Parameters
- settlementDays: Natural
- calendar: Calendar
- Default value dc: DayCounter = new DayCounter()
- Default value bdc: BusinessDayConvention = BusinessDayConvention.Following
Returns CallableBondVolatilityStructure

checkRange1

checkRange1(d: Date, extrapolate: boolean): void

Inherited from TermStructure.checkRange1
- Defined in ql/termstructure.ts:188
date-range check

Parameters
- d: Date
- extrapolate: boolean
Returns void

checkRange2

checkRange2(t: Time, extrapolate: boolean): void

Inherited from TermStructure.checkRange2
- Defined in ql/termstructure.ts:199
time-range check

Parameters
- t: Time
- extrapolate: boolean
Returns void

checkRange3

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

- Defined in ql/experimental/callablebonds/callablebondvolstructure.ts:157
Parameters
- optionTime: Time
- bondLength: Time
- k: Rate
- extrapolate: boolean
Returns void

checkRange4

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

- Defined in ql/experimental/callablebonds/callablebondvolstructure.ts:177
Parameters
- optionDate: Date
- bondTenor: Period
- k: Rate
- extrapolate: boolean
Returns void

convertDates

convertDates(optionDate: Date, bondTenor: Period): [Time, Time]

- Defined in ql/experimental/callablebonds/callablebondvolstructure.ts:137
Parameters
- optionDate: Date
- bondTenor: Period
Returns [Time, Time]

dayCounter

dayCounter(): DayCounter

Inherited from TermStructure.dayCounter
- Defined in ql/termstructure.ts:120
the day counter used for date/time conversion

Returns DayCounter

maxBondLength

maxBondLength(): Time

- Defined in ql/experimental/callablebonds/callablebondvolstructure.ts:124
Returns Time

maxBondTenor

maxBondTenor(): Period

- Defined in ql/experimental/callablebonds/callablebondvolstructure.ts:120
Returns Period

maxDate

maxDate(): Date

Inherited from TermStructure.maxDate
- Defined in ql/termstructure.ts:130
the latest date for which the curve can return values

Returns Date

maxStrike

maxStrike(): Rate

- Defined in ql/experimental/callablebonds/callablebondvolstructure.ts:133
Returns Rate

maxTime

maxTime(): Time

Inherited from TermStructure.maxTime
- Defined in ql/termstructure.ts:135
the latest time for which the curve can return values

Returns Time

minStrike

minStrike(): Rate

- Defined in ql/experimental/callablebonds/callablebondvolstructure.ts:130
Returns Rate

optionDateFromTenor

optionDateFromTenor(optionTenor: Period): Date

- Defined in ql/experimental/callablebonds/callablebondvolstructure.ts:152
Parameters
- optionTenor: Period
Returns Date

referenceDate

referenceDate(): Date

Inherited from TermStructure.referenceDate
- Defined in ql/termstructure.ts:140
the date at which discount = 1.0 and/or variance = 0.0

Returns Date

settlementDays

settlementDays(): Natural

Inherited from TermStructure.settlementDays
- Defined in ql/termstructure.ts:156
the settlementDays used for reference date calculation

Returns Natural

smileSection1

smileSection1(optionDate: Date, bondTenor: Period): SmileSection

- Defined in ql/experimental/callablebonds/callablebondvolstructure.ts:93
Parameters
- optionDate: Date
- bondTenor: Period
Returns SmileSection

smileSection2

smileSection2(optionTenor: Period, bondTenor: Period): SmileSection

- Defined in ql/experimental/callablebonds/callablebondvolstructure.ts:115
Parameters
- optionTenor: Period
- bondTenor: Period
Returns SmileSection

Protected smileSectionImpl

smileSectionImpl(optionTime: Time, bondLength: Time): SmileSection

- Defined in ql/experimental/callablebonds/callablebondvolstructure.ts:198
Parameters
- optionTime: Time
- bondLength: Time
Returns SmileSection

timeFromReference

timeFromReference(d: Date): Time

Inherited from TermStructure.timeFromReference
- Defined in ql/termstructure.ts:125
date/time conversion

Parameters
- d: Date
Returns Time

tsInit1

tsInit1(dc?: DayCounter): TermStructure

Inherited from TermStructure.tsInit1
- Defined in ql/termstructure.ts:79
Parameters
- Default value dc: DayCounter = new DayCounter()
Returns TermStructure

tsInit2

tsInit2(referenceDate: Date, calendar?: Calendar, dc?: DayCounter): TermStructure

Inherited from TermStructure.tsInit2
- Defined in ql/termstructure.ts:91
Parameters
- referenceDate: Date
- Default value calendar: Calendar = new Calendar()
- Default value dc: DayCounter = new DayCounter()
Returns TermStructure

tsInit3

tsInit3(settlementDays: Natural, calendar: Calendar, dc?: DayCounter): TermStructure

Inherited from TermStructure.tsInit3
- Defined in ql/termstructure.ts:107
Parameters
- settlementDays: Natural
- calendar: Calendar
- Default value dc: DayCounter = new DayCounter()
Returns TermStructure

update

update(): void

Inherited from TermStructure.update

Overrides ObserverObservableExtrapolator.update
- Defined in ql/termstructure.ts:163
Returns void

volatility1

volatility1(optionTime: Time, bondLength: Time, strike: Rate, extrapolate?: boolean): Volatility

- Defined in ql/experimental/callablebonds/callablebondvolstructure.ts:61
Parameters
- optionTime: Time
- bondLength: Time
- strike: Rate
- Default value extrapolate: boolean = false
Returns Volatility

volatility2

volatility2(optionDate: Date, bondTenor: Period, strike: Rate, extrapolate?: boolean): Volatility

- Defined in ql/experimental/callablebonds/callablebondvolstructure.ts:77
Parameters
- optionDate: Date
- bondTenor: Period
- strike: Rate
- Default value extrapolate: boolean = false
Returns Volatility

volatility3

volatility3(optionTenor: Period, bondTenor: Period, strike: Rate, extrapolate?: boolean): Volatility

- Defined in ql/experimental/callablebonds/callablebondvolstructure.ts:98
Parameters
- optionTenor: Period
- bondTenor: Period
- strike: Rate
- Default value extrapolate: boolean = false
Returns Volatility

Protected volatilityImpl1

volatilityImpl1(optionTime: Time, bondLength: Time, strike: Rate): Volatility

- Defined in ql/experimental/callablebonds/callablebondvolstructure.ts:202
Parameters
- optionTime: Time
- bondLength: Time
- strike: Rate
Returns Volatility

Protected volatilityImpl2

volatilityImpl2(optionDate: Date, bondTenor: Period, strike: Rate): Volatility

- Defined in ql/experimental/callablebonds/callablebondvolstructure.ts:207
Parameters
- optionDate: Date
- bondTenor: Period
- strike: Rate
Returns Volatility

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Returns CallableBondVolatilityStructure

Properties

Private _bdc

_calendar

_dayCounter

_extrapolate

_isDisposed

_moving

_observables

_observers

_referenceDate

_settlementDays

_updated

allowsExtrapolation

Type declaration

Returns boolean

deepUpdate

Type declaration

Returns void

disableExtrapolation

Type declaration

Parameters

Optional b: boolean

Returns void

dispose

Type declaration

Returns void

enableExtrapolation

Type declaration

Parameters

Optional b: boolean

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

blackVariance1

Parameters

optionTime: Time

bondLength: Time

strike: Rate

Default value extrapolate: boolean = false

Returns Volatility