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Option on risky asset swap

Hierarchy

Implements

Index

Constructors

constructor

Properties

Protected _NPV

_NPV: Real

Protected _additionalResults

_additionalResults: Map<string, any> = new Map<string, any>()

_alwaysForward

_alwaysForward: boolean = false

Private _asw

_calculated

_calculated: boolean = false

_engine

_engine: PricingEngine

Protected _errorEstimate

_errorEstimate: Real

Private _expiry

_expiry: Date

_frozen

_frozen: boolean = false

_isDisposed

_isDisposed: boolean = false

Private _marketSpread

_marketSpread: Rate

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Private _spreadVolatility

_spreadVolatility: Volatility

Protected _valuationDate

_valuationDate: Date

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

NPV

  • returns the net present value of the instrument.

    Returns Real

additionalResults

  • additionalResults(): Map<string, any>
  • returns all additional result returned by the pricing engine.

    Returns Map<string, any>

alwaysForwardNotifications

  • alwaysForwardNotifications(): void
  • This method causes the object to forward all notifications, even when not calculated. The default behavior is to forward the first notification received, and discard the others until recalculated; the rationale is that observers were already notified, and don't need further notification until they recalculate, at which point this object would be recalculated too. After recalculation, this object would again forward the first notification received.

    warning Forwarding all notifications will cause a performance hit, and should be used only when discarding notifications cause an incorrect behavior.

    Returns void

calculate

  • calculate(): void

deepUpdate

  • deepUpdate(): void

errorEstimate

  • errorEstimate(): Real
  • returns the error estimate on the NPV when available.

    Returns Real

fetchResults

  • When a derived result structure is defined for an instrument, this method should be overridden to read from it. This is mandatory in case a pricing engine is used.

    Parameters

    Returns void

freeze

  • freeze(): void
  • This method constrains the object to return the presently cached results on successive invocations, even if arguments upon which they depend should change.

    Returns void

init

isExpired

  • isExpired(): boolean
  • Returns boolean

performCalculations

  • performCalculations(): void

recalculate

  • recalculate(): void
  • This method force the recalculation of any results which would otherwise be cached. It is not declared as const since it needs to call the non-const notifyObservers method.

    note Explicit invocation of this method is not necessary if the object registered itself as observer with the structures on which such results depend. It is strongly advised to follow this policy when possible.

    Returns void

result

  • result(tag: string): any
  • returns any additional result returned by the pricing engine.

    Parameters

    • tag: string

    Returns any

setPricingEngine

  • set the pricing engine to be used.

    warning calling this method will have no effects in case the performCalculation method was overridden in a derived class.

    Parameters

    Returns void

setupArguments

  • When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.

    Parameters

    Returns void

setupExpired

  • setupExpired(): void
  • This method must leave the instrument in a consistent state when the expiration condition is met.

    Returns void

unfreeze

  • unfreeze(): void
  • This method reverts the effect of the freeze method, thus re-enabling recalculations.

    Returns void

update

  • update(): void

valuationDate

  • valuationDate(): Date
  • returns the date the net present value refers to.

    Returns Date