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Abstract base class, inheriting from InflationTermStructure

Since this can create a yoy term structure it does take a YoY index.

Hierarchy

Implements

Index

Properties

Protected _atmYoYSwapDateRates

_atmYoYSwapDateRates: [Date[], Rate[]]

Protected _atmYoYSwapTimeRates

_atmYoYSwapTimeRates: [Time[], Rate[]]

_baseRate

_baseRate: Rate

Protected _bdc

Protected _cPrice

_cPrice: Matrix

Protected _cStrikes

_cStrikes: Rate[]

_calendar

_calendar: Calendar

Protected _cfMaturities

_cfMaturities: Period[]

Protected _cfMaturityTimes

_cfMaturityTimes: Real[]

Protected _cfStrikes

_cfStrikes: Rate[]

_dayCounter

_dayCounter: DayCounter

_extrapolate

_extrapolate: boolean

Protected _fPrice

_fPrice: Matrix

Protected _fStrikes

_fStrikes: Rate[]

Protected _fixingDays

_fixingDays: Natural

_frequency

_frequency: Frequency

_indexIsInterpolated

_indexIsInterpolated: boolean

_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

Protected _yoyIndex

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[]]
  • Returns [Date[], Rate[]]

atmYoYSwapRate1

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

    • d: Period
    • Default value extrapolate: boolean = true

    Returns Rate

atmYoYSwapRate2

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

    • d: Date
    • Default value extrapolate: boolean = true

    Returns Rate

atmYoYSwapTimeRates

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

baseDate

  • baseDate(): Date
  • minimum (base) date

    Important in inflation since it starts before nominal reference date. Changes depending whether index is interpolated or not. When interpolated the base date is just observation lag before nominal. When not interpolated it is the beginning of the relevant period (hence it is easy to create interpolated fixings from a not-interpolated curve because interpolation, usually, of fixings is forward looking).

    Returns Date

baseRate

businessDayConvention

calendar

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

    Returns Calendar

capPrice1

  • Parameters

    Returns Real

capPrice2

  • Parameters

    Returns Real

capStrikes

  • capStrikes(): Rate[]
  • Returns Rate[]

checkMaturity

  • checkMaturity(d: Date): boolean
  • Parameters

    • d: Date

    Returns boolean

checkRange1

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

checkRange2

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

checkStrike

  • checkStrike(K: Rate): boolean
  • Parameters

    Returns boolean

dayCounter

fixingDays

  • Returns Natural

floorPrice1

  • Parameters

    Returns Real

floorPrice2

  • Parameters

    Returns Real

floorStrikes

  • floorStrikes(): Rate[]
  • Returns Rate[]

frequency

hasSeasonality

  • hasSeasonality(): boolean

indexIsInterpolated

  • indexIsInterpolated(): boolean

itsInit1

itsInit2

itsInit3

maturities

  • Returns Period[]

maxDate

  • maxDate(): Date
  • the latest date for which the curve can return values

    Returns Date

maxMaturity

  • maxMaturity(): Date
  • Returns Date

maxStrike

  • Returns Rate

maxTime

  • the latest time for which the curve can return values

    Returns Time

minMaturity

  • minMaturity(): Date
  • Returns Date

minStrike

  • Returns Rate

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

price1

  • Parameters

    Returns Real

price2

  • Parameters

    Returns Real

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

  • Returns Rate[]

timeFromReference

  • timeFromReference(d: Date): Time

tsInit1

tsInit2

tsInit3

update

  • update(): void

yoyIndex

  • Returns YoYInflationIndex

yoyOptionDateFromTenor

  • yoyOptionDateFromTenor(p: Period): Date
  • Parameters

    Returns Date

yoycftpsInit