CommodityCurve | quantlib.js

Commodity term structure

Hierarchy

TermStructure
- CommodityCurve

Implements

Index

Properties

Private _basisOfCurve

_basisOfCurve: CommodityCurve

Private _basisOfCurveUomConversionFactor

_basisOfCurveUomConversionFactor: Real

_calendar

_calendar: Calendar

Private _commodityType

_commodityType: CommodityType

Private _currency

_currency: Currency

Private _data

_data: Real[]

Private _dates

_dates: Date[]

_dayCounter

_dayCounter: DayCounter

_extrapolate

_extrapolate: boolean

Private _interpolation

_interpolation: Interpolation

Private _interpolator

_interpolator: ForwardFlat

_isDisposed

_isDisposed: boolean = false

_moving

_moving: boolean

Private _name

_name: string

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

_referenceDate

_referenceDate: Date

_settlementDays

_settlementDays: Natural

Private _times

_times: Time[]

Private _unitOfMeasure

_unitOfMeasure: UnitOfMeasure

_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

basisOfCurve

basisOfCurve(): CommodityCurve

- Defined in ql/experimental/commodities/commoditycurve.ts:202
Returns CommodityCurve

basisOfPrice

basisOfPrice(d: Date): Real

- Defined in ql/experimental/commodities/commoditycurve.ts:172
Parameters
- d: Date
Returns Real

basisOfPriceImpl

basisOfPriceImpl(t: Time): Real

- Defined in ql/experimental/commodities/commoditycurve.ts:206
Parameters
- t: Time
Returns Real

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

ccInit1

ccInit1(name: string, commodityType: CommodityType, currency: Currency, unitOfMeasure: UnitOfMeasure, calendar: Calendar, dates: Date[], prices: Real[], dayCounter?: DayCounter): CommodityCurve

- Defined in ql/experimental/commodities/commoditycurve.ts:24
Parameters
- name: string
- commodityType: CommodityType
- currency: Currency
- unitOfMeasure: UnitOfMeasure
- calendar: Calendar
- dates: Date[]
- prices: Real[]
- Default value dayCounter: DayCounter = new Actual365Fixed()
Returns CommodityCurve

ccInit2

ccInit2(name: string, commodityType: CommodityType, currency: Currency, unitOfMeasure: UnitOfMeasure, calendar: Calendar, dayCounter?: DayCounter): CommodityCurve

- Defined in ql/experimental/commodities/commoditycurve.ts:64
Parameters
- name: string
- commodityType: CommodityType
- currency: Currency
- unitOfMeasure: UnitOfMeasure
- calendar: Calendar
- Default value dayCounter: DayCounter = new Actual365Fixed()
Returns CommodityCurve

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

commodityType

commodityType(): CommodityType

- Defined in ql/experimental/commodities/commoditycurve.ts:83
Returns CommodityType

currency

currency(): Currency

- Defined in ql/experimental/commodities/commoditycurve.ts:91
Returns Currency

dates

dates(): Date[]

- Defined in ql/experimental/commodities/commoditycurve.ts:103
Returns Date[]

dayCounter

dayCounter(): DayCounter

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

Returns DayCounter

empty

empty(): boolean

- Defined in ql/experimental/commodities/commoditycurve.ts:119
Returns boolean

maxDate

maxDate(): Date

Overrides TermStructure.maxDate
- Defined in ql/experimental/commodities/commoditycurve.ts:95
Returns Date

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

name

name(): string

- Defined in ql/experimental/commodities/commoditycurve.ts:79
Returns string

nodes

nodes(): Array<[Date, Real]>

- Defined in ql/experimental/commodities/commoditycurve.ts:111
Returns Array<[Date, Real]>

price

price(d: Date, exchangeContracts: ExchangeContracts, nearbyOffset: Integer): Real

- Defined in ql/experimental/commodities/commoditycurve.ts:156
Parameters
- d: Date
- exchangeContracts: ExchangeContracts
- nearbyOffset: Integer
Returns Real

priceImpl

priceImpl(t: Time): Real

- Defined in ql/experimental/commodities/commoditycurve.ts:222
Parameters
- t: Time
Returns Real

prices

prices(): Real[]

- Defined in ql/experimental/commodities/commoditycurve.ts:107
Returns Real[]

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

setBasisOfCurve

setBasisOfCurve(basisOfCurve: CommodityCurve): void

- Defined in ql/experimental/commodities/commoditycurve.ts:148
Parameters
- basisOfCurve: CommodityCurve
Returns void

setPrices

setPrices(prices: Map<Date, Real>): void

- Defined in ql/experimental/commodities/commoditycurve.ts:123
Parameters
- prices: Map<Date, Real>
Returns void

settlementDays

settlementDays(): Natural

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

Returns Natural

timeFromReference

timeFromReference(d: Date): Time

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

Parameters
- d: Date
Returns Time

times

times(): Time[]

- Defined in ql/experimental/commodities/commoditycurve.ts:99
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

underlyingPriceDate

underlyingPriceDate(date: Date, exchangeContracts: ExchangeContracts, nearbyOffset: Integer): Date

- Defined in ql/experimental/commodities/commoditycurve.ts:177
Parameters
- date: Date
- exchangeContracts: ExchangeContracts
- nearbyOffset: Integer
Returns Date

unitOfMeasure

unitOfMeasure(): UnitOfMeasure

- Defined in ql/experimental/commodities/commoditycurve.ts:87
Returns UnitOfMeasure

update

update(): void

Inherited from TermStructure.update

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

Hierarchy

Implements

Index

Properties

Methods

Properties

Private _basisOfCurve

Private _basisOfCurveUomConversionFactor

_calendar

Private _commodityType

Private _currency

Private _data

Private _dates

_dayCounter

_extrapolate

Private _interpolation

Private _interpolator

_isDisposed

_moving

Private _name

_observables

_observers

_referenceDate

_settlementDays

Private _times

Private _unitOfMeasure

_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

basisOfCurve