AssetSwapHelper | quantlib.js

risky-asset-swap helper for probability-curve bootstrap

Hierarchy

BootstrapHelper
- AssetSwapHelper

Implements

Index

Constructors

constructor

Methods

Constructors

constructor

new AssetSwapHelper(spread: Handle<Quote>, tenor: Period, settlementDays: Natural, calendar: Calendar, fixedPeriod: Period, fixedConvention: BusinessDayConvention, fixedDayCount: DayCounter, floatPeriod: Period, floatConvention: BusinessDayConvention, floatDayCount: DayCounter, recoveryRate: Real, yieldTS: RelinkableHandle<YieldTermStructure>, integrationStepSize?: Period): AssetSwapHelper

- Defined in ql/experimental/credit/riskyassetswap.ts:229
Parameters
- spread: Handle<Quote>
- tenor: Period
- settlementDays: Natural
- calendar: Calendar
- fixedPeriod: Period
- fixedConvention: BusinessDayConvention
- fixedDayCount: DayCounter
- floatPeriod: Period
- floatConvention: BusinessDayConvention
- floatDayCount: DayCounter
- recoveryRate: Real
- yieldTS: RelinkableHandle<YieldTermStructure>
- Default value integrationStepSize: Period = new Period()
Returns AssetSwapHelper

Properties

Private _asw

_asw: RiskyAssetSwap

Private _calendar

_calendar: Calendar

Protected _earliestDate

_earliestDate: Date

Private _evaluationDate

_evaluationDate: Date

Private _fixedConvention

_fixedConvention: BusinessDayConvention

Private _fixedDayCount

_fixedDayCount: DayCounter

Private _fixedPeriod

_fixedPeriod: Period

Private _floatConvention

_floatConvention: BusinessDayConvention

Private _floatDayCount

_floatDayCount: DayCounter

Private _floatPeriod

_floatPeriod: Period

_isDisposed

_isDisposed: boolean = false

Protected _latestDate

_latestDate: Date

Protected _latestRelevantDate

_latestRelevantDate: Date

Protected _maturityDate

_maturityDate: Date

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Protected _pillarDate

_pillarDate: Date

Private _probability

_probability: RelinkableHandle<DefaultProbabilityTermStructure> = new RelinkableHandle()

Protected _quote

_quote: Handle<Quote>

Private _recoveryRate

_recoveryRate: Real

Private _settlementDays

_settlementDays: Natural

Private _tenor

_tenor: Period

Protected _termStructure

_termStructure: Curve

Private _yieldTS

_yieldTS: RelinkableHandle<YieldTermStructure>

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

accept

accept(v: AcyclicVisitor): void

Inherited from BootstrapHelper.accept
- Defined in ql/termstructures/bootstraphelper.ts:137
Parameters
- v: AcyclicVisitor
Returns void

bshInit1

bshInit1(quote: Handle<Quote>): BootstrapHelper

Inherited from BootstrapHelper.bshInit1
- Defined in ql/termstructures/bootstraphelper.ts:42
Parameters
- quote: Handle<Quote>
Returns BootstrapHelper

bshInit2

bshInit2(quote: Real): BootstrapHelper

Inherited from BootstrapHelper.bshInit2
- Defined in ql/termstructures/bootstraphelper.ts:50
Parameters
- quote: Real
Returns BootstrapHelper

deepUpdate

deepUpdate(): void

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

earliestDate

earliestDate(): Date

Inherited from BootstrapHelper.earliestDate
- Defined in ql/termstructures/bootstraphelper.ts:93
earliest relevant date

The earliest date at which data are needed by the helper in order to provide a quote.

Returns Date

impliedQuote

impliedQuote(): Real

Overrides BootstrapHelper.impliedQuote
- Defined in ql/experimental/credit/riskyassetswap.ts:259
Returns Real

initializeDates

initializeDates(): void

- Defined in ql/experimental/credit/riskyassetswap.ts:285
Returns void

latestDate

latestDate(): Date

Inherited from BootstrapHelper.latestDate
- Defined in ql/termstructures/bootstraphelper.ts:126
Returns Date

latestRelevantDate

latestRelevantDate(): Date

Inherited from BootstrapHelper.latestRelevantDate
- Defined in ql/termstructures/bootstraphelper.ts:112
latest relevant date

The latest date at which data are needed by the helper in order to provide a quote. It does not necessarily equal the maturity of the underlying instrument.

Returns Date

maturityDate

maturityDate(): Date

Inherited from BootstrapHelper.maturityDate
- Defined in ql/termstructures/bootstraphelper.ts:98
instrument's maturity date

Returns Date

pillarDate

pillarDate(): Date

Inherited from BootstrapHelper.pillarDate
- Defined in ql/termstructures/bootstraphelper.ts:119
Returns Date

quote

quote(): Handle<Quote>

Inherited from BootstrapHelper.quote
- Defined in ql/termstructures/bootstraphelper.ts:56
Returns Handle<Quote>

quoteError

quoteError(): Real

Inherited from BootstrapHelper.quoteError
- Defined in ql/termstructures/bootstraphelper.ts:64
Returns Real

setTermStructure

setTermStructure(ts: DefaultProbabilityTermStructure): void

Overrides BootstrapHelper.setTermStructure
- Defined in ql/experimental/credit/riskyassetswap.ts:268
Parameters
- ts: DefaultProbabilityTermStructure
Returns void

update

update(): void

Overrides BootstrapHelper.update
- Defined in ql/experimental/credit/riskyassetswap.ts:276
Returns void

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Parameters

spread: Handle<Quote>

tenor: Period

settlementDays: Natural

calendar: Calendar

fixedPeriod: Period

fixedConvention: BusinessDayConvention

fixedDayCount: DayCounter

floatPeriod: Period

floatConvention: BusinessDayConvention

floatDayCount: DayCounter

recoveryRate: Real

yieldTS: RelinkableHandle<YieldTermStructure>

Default value integrationStepSize: Period = new Period()

Returns AssetSwapHelper

Properties

Private _asw

Private _calendar

Protected _earliestDate

Private _evaluationDate

Private _fixedConvention

Private _fixedDayCount

Private _fixedPeriod

Private _floatConvention

Private _floatDayCount

Private _floatPeriod

_isDisposed

Protected _latestDate

Protected _latestRelevantDate

Protected _maturityDate

_observables

_observers

Protected _pillarDate

Private _probability

Protected _quote

Private _recoveryRate

Private _settlementDays

Private _tenor

Protected _termStructure

Private _yieldTS

dispose

Type declaration

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