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Class AveragingRatePricer

Hierarchy

Implements

Index

Properties

Methods

Properties

Protected _accrualFactor

_accrualFactor: Real

Protected _coupon

_coupon: SubPeriodsCoupon

Protected _discount

_discount: Real

Protected _endTime

_endTime: Time

Protected _gearing

_gearing: Real

Protected _initialValues

_initialValues: Real[]

_isDisposed

_isDisposed: boolean = false

_observables

_observables: Set<Observable> = new Set()

Protected _observationCvg

_observationCvg: Real[]

Protected _observationIndexEndDates

_observationIndexEndDates: Date[]

Protected _observationIndexStartDates

_observationIndexStartDates: Date[]

Protected _observationTimes

_observationTimes: Time[]

Protected _observations

_observations: Size

_observers

_observers: Set<Observer> = new Set()

Protected _spread

_spread: Spread

Protected _spreadLegValue

_spreadLegValue: Real

Protected _startTime

_startTime: Time

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

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

capletPrice

capletRate

deepUpdate

  • deepUpdate(): void

floorletPrice

  • floorletPrice(effectiveFloor: Rate): Real

floorletRate

  • floorletRate(effectiveFloor: Rate): Real

initialize

swapletPrice

  • swapletPrice(): Real

swapletRate

  • swapletRate(): Rate

update

  • update(): void