InterpolatedCPICapFloorTermPriceSurface

Hierarchy

CPICapFloorTermPriceSurface
- InterpolatedCPICapFloorTermPriceSurface

Implements

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new InterpolatedCPICapFloorTermPriceSurface(interpolator: Interpolator2D): InterpolatedCPICapFloorTermPriceSurface

- Defined in ql/experimental/inflation/cpicapfloortermpricesurface.ts:284
Parameters
- interpolator: Interpolator2D
Returns InterpolatedCPICapFloorTermPriceSurface

Properties

_baseRate

_baseRate: Rate

Protected _cPrice

_cPrice: Matrix

Protected _cPriceB

_cPriceB: Matrix

Protected _cStrikes

_cStrikes: Rate[]

_calendar

_calendar: Calendar

Protected _capPrice

_capPrice: Interpolation2D

Protected _cfMaturities

_cfMaturities: Period[]

Protected _cfMaturityTimes

_cfMaturityTimes: Real[]

Protected _cfStrikes

_cfStrikes: Rate[]

_dayCounter

_dayCounter: DayCounter

_extrapolate

_extrapolate: boolean

Protected _fPrice

_fPrice: Matrix

Protected _fPriceB

_fPriceB: Matrix

Protected _fStrikes

_fStrikes: Rate[]

Protected _floorPrice

_floorPrice: Interpolation2D

_frequency

_frequency: Frequency

_indexIsInterpolated

_indexIsInterpolated: boolean

Protected _interpolator2d

_interpolator2d: Interpolator2D

_isDisposed

_isDisposed: boolean = false

_moving

_moving: boolean

_nominalTermStructure

_nominalTermStructure: Handle<YieldTermStructure>

_observables

_observables: Set<Observable> = new Set()

_observationLag

_observationLag: Period

_observers

_observers: Set<Observer> = new Set()

_referenceDate

_referenceDate: Date

_seasonality

_seasonality: Seasonality

_settlementDays

_settlementDays: Natural

_updated

_updated: boolean

Protected _zii

_zii: Handle<ZeroInflationIndex>

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

baseDate

baseDate(): Date

Inherited from CPICapFloorTermPriceSurface.baseDate

Overrides InflationTermStructure.baseDate
- Defined in ql/experimental/inflation/cpicapfloortermpricesurface.ts:167
Returns Date

baseRate

baseRate(): Rate

Inherited from InflationTermStructure.baseRate
- Defined in ql/termstructures/inflationtermstructure.ts:100
Returns Rate

businessDayConvention

businessDayConvention(): BusinessDayConvention

Inherited from CPICapFloorTermPriceSurface.businessDayConvention
- Defined in ql/experimental/inflation/cpicapfloortermpricesurface.ts:183
Returns BusinessDayConvention

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

capPrice1

capPrice1(d: Period, k: Rate): Real

Inherited from CPICapFloorTermPriceSurface.capPrice1
- Defined in ql/experimental/inflation/cpicapfloortermpricesurface.ts:191
Parameters
- d: Period
- k: Rate
Returns Real

capPrice2

capPrice2(d: Date, k: Rate): Real

Overrides CPICapFloorTermPriceSurface.capPrice2
- Defined in ql/experimental/inflation/cpicapfloortermpricesurface.ts:405
Parameters
- d: Date
- k: Rate
Returns Real

capPrices

capPrices(): Matrix

Inherited from CPICapFloorTermPriceSurface.capPrices
- Defined in ql/experimental/inflation/cpicapfloortermpricesurface.ts:227
Returns Matrix

capStrikes

capStrikes(): Rate[]

Inherited from CPICapFloorTermPriceSurface.capStrikes
- Defined in ql/experimental/inflation/cpicapfloortermpricesurface.ts:215
Returns Rate[]

Protected checkMaturity

checkMaturity(d: Date): boolean

Inherited from CPICapFloorTermPriceSurface.checkMaturity
- Defined in ql/experimental/inflation/cpicapfloortermpricesurface.ts:262
Parameters
- d: Date
Returns boolean

checkRange1

checkRange1(d: Date, extrapolate: boolean): void

Inherited from InflationTermStructure.checkRange1

Overrides TermStructure.checkRange1
- Defined in ql/termstructures/inflationtermstructure.ts:159
Parameters
- d: Date
- extrapolate: boolean
Returns void

checkRange2

checkRange2(t: Time, extrapolate: boolean): void

Inherited from InflationTermStructure.checkRange2

Overrides TermStructure.checkRange2
- Defined in ql/termstructures/inflationtermstructure.ts:169
Parameters
- t: Time
- extrapolate: boolean
Returns void

Protected checkStrike

checkStrike(K: Rate): boolean

Inherited from CPICapFloorTermPriceSurface.checkStrike
- Defined in ql/experimental/inflation/cpicapfloortermpricesurface.ts:258
Parameters
- K: Rate
Returns boolean

cpiOptionDateFromTenor

cpiOptionDateFromTenor(p: Period): Date

Inherited from CPICapFloorTermPriceSurface.cpiOptionDateFromTenor
- Defined in ql/experimental/inflation/cpicapfloortermpricesurface.ts:252
Parameters
- p: Period
Returns Date

cpicftpsInit

cpicftpsInit(nominal: Real, baseRate: Real, observationLag: Period, cal: Calendar, bdc: BusinessDayConvention, dc: DayCounter, zii: Handle<ZeroInflationIndex>, yts: Handle<YieldTermStructure>, cStrikes: Rate[], fStrikes: Rate[], cfMaturities: Period[], cPrice: Matrix, fPrice: Matrix): CPICapFloorTermPriceSurface

Inherited from CPICapFloorTermPriceSurface.cpicftpsInit
- Defined in ql/experimental/inflation/cpicapfloortermpricesurface.ts:47
Parameters
- nominal: Real
- baseRate: Real
- observationLag: Period
- cal: Calendar
- bdc: BusinessDayConvention
- dc: DayCounter
- zii: Handle<ZeroInflationIndex>
- yts: Handle<YieldTermStructure>
- cStrikes: Rate[]
- fStrikes: Rate[]
- cfMaturities: Period[]
- cPrice: Matrix
- fPrice: Matrix
Returns CPICapFloorTermPriceSurface

dayCounter

dayCounter(): DayCounter

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

Returns DayCounter

floorPrice1

floorPrice1(d: Period, k: Rate): Real

Inherited from CPICapFloorTermPriceSurface.floorPrice1
- Defined in ql/experimental/inflation/cpicapfloortermpricesurface.ts:195
Parameters
- d: Period
- k: Rate
Returns Real

floorPrice2

floorPrice2(d: Date, k: Rate): Real

Overrides CPICapFloorTermPriceSurface.floorPrice2
- Defined in ql/experimental/inflation/cpicapfloortermpricesurface.ts:410
Parameters
- d: Date
- k: Rate
Returns Real

floorPrices

floorPrices(): Matrix

Inherited from CPICapFloorTermPriceSurface.floorPrices
- Defined in ql/experimental/inflation/cpicapfloortermpricesurface.ts:231
Returns Matrix

floorStrikes

floorStrikes(): Rate[]

Inherited from CPICapFloorTermPriceSurface.floorStrikes
- Defined in ql/experimental/inflation/cpicapfloortermpricesurface.ts:219
Returns Rate[]

frequency

frequency(): Frequency

Inherited from InflationTermStructure.frequency
- Defined in ql/termstructures/inflationtermstructure.ts:92
Returns Frequency

hasSeasonality

hasSeasonality(): boolean

Inherited from InflationTermStructure.hasSeasonality
- Defined in ql/termstructures/inflationtermstructure.ts:146
Returns boolean

icpicftpsInit

icpicftpsInit(nominal: Real, startRate: Rate, observationLag: Period, cal: Calendar, bdc: BusinessDayConvention, dc: DayCounter, zii: Handle<ZeroInflationIndex>, yts: Handle<YieldTermStructure>, cStrikes: Rate[], fStrikes: Rate[], cfMaturities: Period[], cPrice: Matrix, fPrice: Matrix, interpolator2d?: Interpolator2D): InterpolatedCPICapFloorTermPriceSurface

- Defined in ql/experimental/inflation/cpicapfloortermpricesurface.ts:291
Parameters
- nominal: Real
- startRate: Rate
- observationLag: Period
- cal: Calendar
- bdc: BusinessDayConvention
- dc: DayCounter
- zii: Handle<ZeroInflationIndex>
- yts: Handle<YieldTermStructure>
- cStrikes: Rate[]
- fStrikes: Rate[]
- cfMaturities: Period[]
- cPrice: Matrix
- fPrice: Matrix
- Default value interpolator2d: Interpolator2D = null
Returns InterpolatedCPICapFloorTermPriceSurface

indexIsInterpolated

indexIsInterpolated(): boolean

Inherited from InflationTermStructure.indexIsInterpolated
- Defined in ql/termstructures/inflationtermstructure.ts:96
Returns boolean

itsInit1

itsInit1(baseRate: Rate, observationLag: Period, frequency: Frequency, indexIsInterpolated: boolean, yTS: Handle<YieldTermStructure>, dayCounter?: DayCounter, seasonality?: Seasonality): InflationTermStructure

Inherited from InflationTermStructure.itsInit1
- Defined in ql/termstructures/inflationtermstructure.ts:23
Parameters
- baseRate: Rate
- observationLag: Period
- frequency: Frequency
- indexIsInterpolated: boolean
- yTS: Handle<YieldTermStructure>
- Default value dayCounter: DayCounter = new DayCounter()
- Default value seasonality: Seasonality = null
Returns InflationTermStructure

itsInit2

itsInit2(referenceDate: Date, baseRate: Rate, observationLag: Period, frequency: Frequency, indexIsInterpolated: boolean, yTS: Handle<YieldTermStructure>, calendar?: Calendar, dayCounter?: DayCounter, seasonality?: Seasonality): InflationTermStructure

Inherited from InflationTermStructure.itsInit2
- Defined in ql/termstructures/inflationtermstructure.ts:42
Parameters
- referenceDate: Date
- baseRate: Rate
- observationLag: Period
- frequency: Frequency
- indexIsInterpolated: boolean
- yTS: Handle<YieldTermStructure>
- Default value calendar: Calendar = new Calendar()
- Default value dayCounter: DayCounter = new DayCounter()
- Default value seasonality: Seasonality = null
Returns InflationTermStructure

itsInit3

itsInit3(settlementDays: Natural, calendar: Calendar, baseRate: Rate, observationLag: Period, frequency: Frequency, indexIsInterpolated: boolean, yTS: Handle<YieldTermStructure>, dayCounter?: DayCounter, seasonality?: Seasonality): InflationTermStructure

Inherited from InflationTermStructure.itsInit3
- Defined in ql/termstructures/inflationtermstructure.ts:62
Parameters
- settlementDays: Natural
- calendar: Calendar
- baseRate: Rate
- observationLag: Period
- frequency: Frequency
- indexIsInterpolated: boolean
- yTS: Handle<YieldTermStructure>
- Default value dayCounter: DayCounter = new DayCounter()
- Default value seasonality: Seasonality = null
Returns InflationTermStructure

maturities

maturities(): Period[]

Inherited from CPICapFloorTermPriceSurface.maturities
- Defined in ql/experimental/inflation/cpicapfloortermpricesurface.ts:223
Returns Period[]

maxDate

maxDate(): Date

Inherited from CPICapFloorTermPriceSurface.maxDate

Overrides TermStructure.maxDate
- Defined in ql/experimental/inflation/cpicapfloortermpricesurface.ts:247
Returns Date

maxStrike

maxStrike(): Rate

Inherited from CPICapFloorTermPriceSurface.maxStrike
- Defined in ql/experimental/inflation/cpicapfloortermpricesurface.ts:239
Returns Rate

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

minDate

minDate(): Date

Inherited from CPICapFloorTermPriceSurface.minDate
- Defined in ql/experimental/inflation/cpicapfloortermpricesurface.ts:243
Returns Date

minStrike

minStrike(): Rate

Inherited from CPICapFloorTermPriceSurface.minStrike
- Defined in ql/experimental/inflation/cpicapfloortermpricesurface.ts:235
Returns Rate

nominal

nominal(): Real

Inherited from CPICapFloorTermPriceSurface.nominal
- Defined in ql/experimental/inflation/cpicapfloortermpricesurface.ts:179
Returns Real

nominalTermStructure

nominalTermStructure(): Handle<YieldTermStructure>

Inherited from InflationTermStructure.nominalTermStructure
- Defined in ql/termstructures/inflationtermstructure.ts:104
Returns Handle<YieldTermStructure>

observationLag

observationLag(): Period

Inherited from CPICapFloorTermPriceSurface.observationLag

Overrides InflationTermStructure.observationLag
- Defined in ql/experimental/inflation/cpicapfloortermpricesurface.ts:159
Returns Period

performCalculations

performCalculations(): void

- Defined in ql/experimental/inflation/cpicapfloortermpricesurface.ts:307
Returns void

price1

price1(d: Period, k: Rate): Real

Inherited from CPICapFloorTermPriceSurface.price1
- Defined in ql/experimental/inflation/cpicapfloortermpricesurface.ts:187
Parameters
- d: Period
- k: Rate
Returns Real

price2

price2(d: Date, k: Rate): Real

Overrides CPICapFloorTermPriceSurface.price2
- Defined in ql/experimental/inflation/cpicapfloortermpricesurface.ts:396
Parameters
- d: Date
- k: Rate
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

seasonality

seasonality(): Seasonality

Inherited from InflationTermStructure.seasonality
- Defined in ql/termstructures/inflationtermstructure.ts:142
Returns Seasonality

setBaseRate

setBaseRate(r: Rate): void

Inherited from InflationTermStructure.setBaseRate
- Defined in ql/termstructures/inflationtermstructure.ts:155
Parameters
- r: Rate
Returns void

setSeasonality

setSeasonality(seasonality?: Seasonality): void

Inherited from InflationTermStructure.setSeasonality
- Defined in ql/termstructures/inflationtermstructure.ts:130
Functions to set and get seasonality.

Calling setSeasonality with no arguments means unsetting as the default is used to choose unsetting.

Parameters
- Default value seasonality: Seasonality = null
Returns void

settlementDays

settlementDays(): Natural

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

Returns Natural

strikes

strikes(): Rate[]

Inherited from CPICapFloorTermPriceSurface.strikes
- Defined in ql/experimental/inflation/cpicapfloortermpricesurface.ts:211
Returns Rate[]

timeFromReference

timeFromReference(d: Date): Time

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

Parameters
- d: Date
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

update

update(): void

Inherited from TermStructure.update

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

zeroInflationIndex

zeroInflationIndex(): Handle<ZeroInflationIndex>

Inherited from CPICapFloorTermPriceSurface.zeroInflationIndex
- Defined in ql/experimental/inflation/cpicapfloortermpricesurface.ts:175
Returns Handle<ZeroInflationIndex>

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Parameters

interpolator: Interpolator2D

Returns InterpolatedCPICapFloorTermPriceSurface

Properties

_baseRate

Protected _cPrice

Protected _cPriceB

Protected _cStrikes

_calendar

Protected _capPrice

Protected _cfMaturities

Protected _cfMaturityTimes

Protected _cfStrikes

_dayCounter

_extrapolate

Protected _fPrice

Protected _fPriceB

Protected _fStrikes

Protected _floorPrice

_frequency

_indexIsInterpolated

Protected _interpolator2d

_isDisposed

_moving

_nominalTermStructure

_observables

_observationLag

_observers

_referenceDate

_seasonality

_settlementDays

_updated

Protected _zii

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