Class CmsSpreadCouponPricer

Hierarchy

FloatingRateCouponPricer
- CmsSpreadCouponPricer
  - LognormalCmsSpreadPricer

Implements

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new CmsSpreadCouponPricer(correlation?: Handle<Quote>): CmsSpreadCouponPricer

- Defined in ql/experimental/coupons/cmsspreadcoupon.ts:206
Parameters
- Default value correlation: Handle<Quote> = new Handle()
Returns CmsSpreadCouponPricer

Properties

Private _correlation

_correlation: Handle<Quote>

_isDisposed

_isDisposed: boolean = false

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

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(effectiveCap: Rate): Real

Inherited from FloatingRateCouponPricer.capletPrice
- Defined in ql/cashflows/couponpricer.ts:33
Parameters
- effectiveCap: Rate
Returns Real

capletRate

capletRate(effectiveCap: Rate): Rate

Inherited from FloatingRateCouponPricer.capletRate
- Defined in ql/cashflows/couponpricer.ts:36
Parameters
- effectiveCap: Rate
Returns Rate

correlation

correlation(): Handle<Quote>

- Defined in ql/experimental/coupons/cmsspreadcoupon.ts:213
Returns Handle<Quote>

deepUpdate

deepUpdate(): void

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

floorletPrice

floorletPrice(effectiveFloor: Rate): Real

Inherited from FloatingRateCouponPricer.floorletPrice
- Defined in ql/cashflows/couponpricer.ts:39
Parameters
- effectiveFloor: Rate
Returns Real

floorletRate

floorletRate(effectiveFloor: Rate): Rate

Inherited from FloatingRateCouponPricer.floorletRate
- Defined in ql/cashflows/couponpricer.ts:42
Parameters
- effectiveFloor: Rate
Returns Rate

initialize

initialize(coupon: FloatingRateCoupon): void

Inherited from FloatingRateCouponPricer.initialize
- Defined in ql/cashflows/couponpricer.ts:45
Parameters
- coupon: FloatingRateCoupon
Returns void

setCorrelation

setCorrelation(correlation?: Handle<Quote>): void

- Defined in ql/experimental/coupons/cmsspreadcoupon.ts:217
Parameters
- Default value correlation: Handle<Quote> = new Handle()
Returns void

swapletPrice

swapletPrice(): Real

Inherited from FloatingRateCouponPricer.swapletPrice
- Defined in ql/cashflows/couponpricer.ts:27
Returns Real

swapletRate

swapletRate(): Rate

Inherited from FloatingRateCouponPricer.swapletRate
- Defined in ql/cashflows/couponpricer.ts:30
Returns Rate

update

update(): void

Inherited from OvernightIndexedCouponPricer.update

Overrides ObserverObservable.update
- Defined in ql/cashflows/couponpricer.ts:49
Returns void