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Class InterpolatedYoYCapFloorTermPriceSurface

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Properties

Protected _atmYoYSwapDateRates

_atmYoYSwapDateRates: [Date[], Rate[]]

Protected _atmYoYSwapRateCurve

_atmYoYSwapRateCurve: Interpolation

Protected _atmYoYSwapTimeRates

_atmYoYSwapTimeRates: [Time[], Rate[]]

_baseRate

_baseRate: Rate

Protected _bdc

_bdc: BusinessDayConvention

Protected _cPrice

_cPrice: Matrix

Protected _cPriceB

_cPriceB: Matrix

Protected _cStrikes

_cStrikes: Rate[]

Protected _cStrikesB

_cStrikesB: 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 _fStrikesB

_fStrikesB: Rate[]

Protected _fixingDays

_fixingDays: Natural

Protected _floorPrice

_floorPrice: Interpolation2D

Protected _floorPrice2

_floorPrice2: Interpolation2D

_frequency

_frequency: Frequency

_indexIsInterpolated

_indexIsInterpolated: boolean

Protected _interpolator1d

_interpolator1d: Interpolator

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 _yoy

_yoy: YoYInflationTermStructure

Protected _yoyIndex

_yoyIndex: YoYInflationIndex

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

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

YoYTS

atmYoYRate1

  • Parameters

    • d: Period
    • Default value obsLag: Period = new Period().init1(-1, TimeUnit.Days)
    • Default value extrapolate: boolean = true

    Returns Rate

atmYoYRate2

  • atmYoYRate2(d: Date, obsLag?: Period, extrapolate?: boolean): Rate

  • Parameters

    • d: Date
    • Default value obsLag: Period = new Period().init1(-1, TimeUnit.Days)
    • Default value extrapolate: boolean = true

    Returns Rate

atmYoYSwapDateRates

  • atmYoYSwapDateRates(): [Date[], Rate[]]

atmYoYSwapRate1

  • atmYoYSwapRate1(d: Period, extrapolate?: boolean): Rate

atmYoYSwapRate2

  • atmYoYSwapRate2(d: Date, extrapolate?: boolean): Rate

atmYoYSwapTimeRates

  • atmYoYSwapTimeRates(): [Time[], Rate[]]

baseDate

  • baseDate(): Date

baseRate

businessDayConvention

Protected calculateYoYTermStructure

  • calculateYoYTermStructure(): void

  • Returns void

calendar

  • the calendar used for reference and/or option date calculation

    Returns Calendar

capPrice1

capPrice2

capStrikes

  • capStrikes(): Rate[]

checkMaturity

  • checkMaturity(d: Date): boolean

checkRange1

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

checkRange2

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

checkStrike

  • checkStrike(K: Rate): boolean

dayCounter

fixingDays

floorPrice1

floorPrice2

floorStrikes

  • floorStrikes(): Rate[]

frequency

hasSeasonality

  • hasSeasonality(): boolean

indexIsInterpolated

  • indexIsInterpolated(): boolean

Protected intersect

  • intersect(): void

  • Returns void

itsInit1

itsInit2

itsInit3

iyoycftpsInit

maturities

maxDate

  • maxDate(): Date

  • Returns Date

maxMaturity

  • maxMaturity(): Date

maxStrike

maxTime

  • the latest time for which the curve can return values

    Returns Time

minMaturity

  • minMaturity(): Date

minStrike

nominalTermStructure

observationLag

  • Inflation interface

    The TS observes with a lag that is usually different from the availability lag of the index. An inflation rate is given, by default, for the maturity requested assuming this lag.

    Returns Period

performCalculations

  • performCalculations(): void

  • Returns void

price1

price2

referenceDate

  • referenceDate(): Date

  • the date at which discount = 1.0 and/or variance = 0.0

    Returns Date

seasonality

setBaseRate

  • setBaseRate(r: Rate): void

setSeasonality

  • Functions to set and get seasonality.

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

    Parameters

    Returns void

settlementDays

strikes

timeFromReference

  • timeFromReference(d: Date): Time

tsInit1

tsInit2

tsInit3

update

  • update(): void

  • Returns void

yoyIndex

yoyOptionDateFromTenor

  • yoyOptionDateFromTenor(p: Period): Date

yoycftpsInit