InterpolatedYoYOptionletVolatilityCurve

Interpolated flat smile surface

Interpolated in T direction and constant in K direction.

Hierarchy

YoYOptionletVolatilitySurfaceInterpolatedCurve
- InterpolatedYoYOptionletVolatilityCurve

Implements

Implemented by

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new InterpolatedYoYOptionletVolatilityCurve(interpolator?: Interpolator): InterpolatedYoYOptionletVolatilityCurve

- Defined in ql/experimental/inflation/yoyinflationoptionletvolatilitystructure2.ts:22
Parameters
- Default value interpolator: Interpolator = null
Returns InterpolatedYoYOptionletVolatilityCurve

Properties

_baseLevel

_baseLevel: Volatility

_bdc

_bdc: BusinessDayConvention

_calendar

_calendar: Calendar

_data

_data: Real[]

_dates

_dates: Date[]

_dayCounter

_dayCounter: DayCounter

_extrapolate

_extrapolate: boolean

_frequency

_frequency: Frequency

_indexIsInterpolated

_indexIsInterpolated: boolean

_interpolation

_interpolation: Interpolation

_interpolator

_interpolator: Interpolator

_isDisposed

_isDisposed: boolean = false

_maxDate

_maxDate: Date

_maxStrike

_maxStrike: Rate

_minStrike

_minStrike: Rate

_moving

_moving: boolean

_nodes

_nodes: Array<[Date, Real]>

_observables

_observables: Set<Observable> = new Set()

_observationLag

_observationLag: Period

_observers

_observers: Set<Observer> = new Set()

_referenceDate

_referenceDate: Date

_settlementDays

_settlementDays: Natural

_times

_times: Time[]

_updated

_updated: boolean

allowsExtrapolation

allowsExtrapolation: () => boolean

Type declaration

- (): boolean
- Returns boolean

baseDate

baseDate: () => Date

Type declaration

- (): Date
- Returns Date

baseLevel

baseLevel: () => Volatility

Type declaration

- (): Volatility
- Returns Volatility

businessDayConvention

businessDayConvention: () => BusinessDayConvention

Type declaration

- (): BusinessDayConvention
- Returns BusinessDayConvention

calendar

calendar: () => Calendar

Type declaration

- (): Calendar
- Returns Calendar

checkRange1

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

Type declaration

- (d: Date, extrapolate: boolean): void
- Parameters
  - d: Date
  - extrapolate: boolean
  Returns void

checkRange2

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

Type declaration

- (t: Time, extrapolate: boolean): void
- Parameters
  - t: Time
  - extrapolate: boolean
  Returns void

checkRange3

checkRange3: (d: Date, strike: Rate, extrapolate: boolean) => void

Type declaration

- (d: Date, strike: Rate, extrapolate: boolean): void
- Parameters
  - d: Date
  - strike: Rate
  - extrapolate: boolean
  Returns void

checkRange4

checkRange4: (t: Time, strike: Rate, extrapolate: boolean) => void

Type declaration

- (t: Time, strike: Rate, extrapolate: boolean): void
- Parameters
  - t: Time
  - strike: Rate
  - extrapolate: boolean
  Returns void

checkStrike

checkStrike: (k: Rate, extrapolate: boolean) => void

Type declaration

- (k: Rate, extrapolate: boolean): void
- Parameters
  - k: Rate
  - extrapolate: boolean
  Returns void

dayCounter

dayCounter: () => DayCounter

Type declaration

- (): DayCounter
- Returns DayCounter

deepUpdate

deepUpdate: () => void

Type declaration

- (): void
- Returns void

disableExtrapolation

disableExtrapolation: (b: boolean) => void

Type declaration

- (b: boolean): void
- Parameters
  - b: boolean
  Returns void

dispose

dispose: () => void

Type declaration

- (): void
- Returns void

enableExtrapolation

enableExtrapolation: (b: boolean) => void

Type declaration

- (b: boolean): void
- Parameters
  - b: boolean
  Returns void

frequency

frequency: () => Frequency

Type declaration

- (): Frequency
- Returns Frequency

icInit1

icInit1: (times: Time[], data: Real[], i: Interpolator) => InterpolatedCurve

Type declaration

- (times: Time[], data: Real[], i: Interpolator): InterpolatedCurve
- Parameters
  - times: Time[]
  - data: Real[]
  - i: Interpolator
  Returns InterpolatedCurve

indexIsInterpolated

indexIsInterpolated: () => boolean

Type declaration

- (): boolean
- Returns boolean

isDisposed

isDisposed: boolean

maxTime

maxTime: () => Time

Type declaration

- (): Time
- Returns Time

notifyObservers

notifyObservers: () => void

Type declaration

- (): void
- Returns void

observationLag

observationLag: () => Period

Type declaration

- (): Period
- Returns Period

optionDateFromTenor

optionDateFromTenor: (p: Period) => Date

Type declaration

- (p: Period): Date
- Parameters
  - p: Period
  Returns Date

referenceDate

referenceDate: () => Date

Type declaration

- (): Date
- Returns Date

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

setBaseLevel

setBaseLevel: (v: Volatility) => void

Type declaration

- (v: Volatility): void
- Parameters
  - v: Volatility
  Returns void

settlementDays

settlementDays: () => Natural

Type declaration

- (): Natural
- Returns Natural

setupInterpolation

setupInterpolation: () => void

Type declaration

- (): void
- Returns void

timeFromBase

timeFromBase: (maturityDate: Date, obsLag?: Period) => Time

Type declaration

- (maturityDate: Date, obsLag?: Period): Time
- Parameters
  - maturityDate: Date
  - Optional obsLag: Period
  Returns Time

timeFromReference

timeFromReference: (date: Date) => Time

Type declaration

- (date: Date): Time
- Parameters
  - date: Date
  Returns Time

totalVariance1

totalVariance1: (maturityDate: Date, strike: Rate, obsLag?: Period, extrapolate?: boolean) => Volatility

Type declaration

- (maturityDate: Date, strike: Rate, obsLag?: Period, extrapolate?: boolean): Volatility
- Parameters
  - maturityDate: Date
  - strike: Rate
  - Optional obsLag: Period
  - Optional extrapolate: boolean
  Returns Volatility

totalVariance2

totalVariance2: (tenor: Period, strike: Rate, obsLag?: Period, extrapolate?: boolean) => Volatility

Type declaration

- (tenor: Period, strike: Rate, obsLag?: Period, extrapolate?: boolean): Volatility
- Parameters
  - tenor: Period
  - strike: Rate
  - Optional obsLag: Period
  - Optional extrapolate: boolean
  Returns Volatility

tsInit1

tsInit1: (dc: DayCounter) => TermStructure

Type declaration

- (dc: DayCounter): TermStructure
- Parameters
  - dc: DayCounter
  Returns TermStructure

tsInit2

tsInit2: (referenceDate: Date, calendar: Calendar, dc: DayCounter) => TermStructure

Type declaration

- (referenceDate: Date, calendar: Calendar, dc: DayCounter): TermStructure
- Parameters
  - referenceDate: Date
  - calendar: Calendar
  - dc: DayCounter
  Returns TermStructure

tsInit3

tsInit3: (settlementDays: Natural, calendar: Calendar, dc: DayCounter) => TermStructure

Type declaration

- (settlementDays: Natural, calendar: Calendar, dc: DayCounter): TermStructure
- Parameters
  - settlementDays: Natural
  - calendar: Calendar
  - dc: DayCounter
  Returns TermStructure

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

update

update: () => void

Type declaration

- (): void
- Returns void

volatility1

volatility1: (maturityDate: Date, strike: Rate, obsLag?: Period, extrapolate?: boolean) => Volatility

Type declaration

- (maturityDate: Date, strike: Rate, obsLag?: Period, extrapolate?: boolean): Volatility
- Parameters
  - maturityDate: Date
  - strike: Rate
  - Optional obsLag: Period
  - Optional extrapolate: boolean
  Returns Volatility

volatility2

volatility2: (optionTenor: Period, strike: Rate, obsLag?: Period, extrapolate?: boolean) => Volatility

Type declaration

- (optionTenor: Period, strike: Rate, obsLag?: Period, extrapolate?: boolean): Volatility
- Parameters
  - optionTenor: Period
  - strike: Rate
  - Optional obsLag: Period
  - Optional extrapolate: boolean
  Returns Volatility

vtsInit1

vtsInit1: (bdc: BusinessDayConvention, dc?: DayCounter) => VolatilityTermStructure

Type declaration

- (bdc: BusinessDayConvention, dc?: DayCounter): VolatilityTermStructure
- Parameters
  - bdc: BusinessDayConvention
  - Optional dc: DayCounter
  Returns VolatilityTermStructure

vtsInit2

vtsInit2: (referenceDate: Date, cal: Calendar, bdc: BusinessDayConvention, dc?: DayCounter) => VolatilityTermStructure

Type declaration

- (referenceDate: Date, cal: Calendar, bdc: BusinessDayConvention, dc?: DayCounter): VolatilityTermStructure
- Parameters
  - referenceDate: Date
  - cal: Calendar
  - bdc: BusinessDayConvention
  - Optional dc: DayCounter
  Returns VolatilityTermStructure

vtsInit3

vtsInit3: (settlementDays: Natural, cal: Calendar, bdc: BusinessDayConvention, dc?: DayCounter) => VolatilityTermStructure

Type declaration

- (settlementDays: Natural, cal: Calendar, bdc: BusinessDayConvention, dc?: DayCounter): VolatilityTermStructure
- Parameters
  - settlementDays: Natural
  - cal: Calendar
  - bdc: BusinessDayConvention
  - Optional dc: DayCounter
  Returns VolatilityTermStructure

yoyovsInit

yoyovsInit: (settlementDays: Natural, cal: Calendar, bdc: BusinessDayConvention, dc: DayCounter, observationLag: Period, frequency: Frequency, indexIsInterpolated: boolean) => YoYOptionletVolatilitySurface

Type declaration

- (settlementDays: Natural, cal: Calendar, bdc: BusinessDayConvention, dc: DayCounter, observationLag: Period, frequency: Frequency, indexIsInterpolated: boolean): YoYOptionletVolatilitySurface
- Parameters
  - settlementDays: Natural
  - cal: Calendar
  - bdc: BusinessDayConvention
  - dc: DayCounter
  - observationLag: Period
  - frequency: Frequency
  - indexIsInterpolated: boolean
  Returns YoYOptionletVolatilitySurface

Methods

curveInit1

curveInit1(settlementDays: Natural, cal: Calendar, bdc: BusinessDayConvention, dc: DayCounter, lag: Period, frequency: Frequency, indexIsInterpolated: boolean, d: Date[], v: Volatility[], minStrike: Rate, maxStrike: Rate, i?: Interpolator): VolatilityCurve

Implementation of VolatilityCurve.curveInit1
- Defined in ql/experimental/inflation/yoyinflationoptionletvolatilitystructure2.ts:28
Parameters
- settlementDays: Natural
- cal: Calendar
- bdc: BusinessDayConvention
- dc: DayCounter
- lag: Period
- frequency: Frequency
- indexIsInterpolated: boolean
- d: Date[]
- v: Volatility[]
- minStrike: Rate
- maxStrike: Rate
- Default value i: Interpolator = null
Returns VolatilityCurve

curveInit2

curveInit2(settlementDays: Natural, cal: Calendar, bdc: BusinessDayConvention, dc: DayCounter, lag: Period, frequency: Frequency, indexIsInterpolated: boolean, minStrike: Rate, maxStrike: Rate, baseYoYVolatility: Volatility, i?: Interpolator): VolatilityCurve

Implementation of VolatilityCurve.curveInit2
- Defined in ql/experimental/inflation/yoyinflationoptionletvolatilitystructure2.ts:64
Parameters
- settlementDays: Natural
- cal: Calendar
- bdc: BusinessDayConvention
- dc: DayCounter
- lag: Period
- frequency: Frequency
- indexIsInterpolated: boolean
- minStrike: Rate
- maxStrike: Rate
- baseYoYVolatility: Volatility
- Default value i: Interpolator = null
Returns VolatilityCurve

data

data(): Real[]

Implementation of VolatilityCurve.data
- Defined in ql/experimental/inflation/yoyinflationoptionletvolatilitystructure2.ts:104
Returns Real[]

dates

dates(): Date[]

Implementation of VolatilityCurve.dates
- Defined in ql/experimental/inflation/yoyinflationoptionletvolatilitystructure2.ts:100
Returns Date[]

maxDate

maxDate(): Date

Implementation of VolatilityCurve.maxDate

Overrides YoYOptionletVolatilitySurfaceInterpolatedCurve.maxDate
- Defined in ql/experimental/inflation/yoyinflationoptionletvolatilitystructure2.ts:90
Returns Date

maxStrike

maxStrike(): Real

Implementation of VolatilityCurve.maxStrike

Overrides YoYOptionletVolatilitySurfaceInterpolatedCurve.maxStrike
- Defined in ql/experimental/inflation/yoyinflationoptionletvolatilitystructure2.ts:86
Returns Real

minStrike

minStrike(): Real

Implementation of VolatilityCurve.minStrike

Overrides YoYOptionletVolatilitySurfaceInterpolatedCurve.minStrike
- Defined in ql/experimental/inflation/yoyinflationoptionletvolatilitystructure2.ts:82
Returns Real

nodes

nodes(): Array<[Date, Real]>

Implementation of VolatilityCurve.nodes
- Defined in ql/experimental/inflation/yoyinflationoptionletvolatilitystructure2.ts:108
Returns Array<[Date, Real]>

times

times(): Time[]

Implementation of VolatilityCurve.times
- Defined in ql/experimental/inflation/yoyinflationoptionletvolatilitystructure2.ts:96
Returns Time[]

volatilityImpl

volatilityImpl(t: Time, r: Rate): Volatility

Implementation of VolatilityCurve.volatilityImpl

Overrides YoYOptionletVolatilitySurfaceInterpolatedCurve.volatilityImpl
- Defined in ql/experimental/inflation/yoyinflationoptionletvolatilitystructure2.ts:112
Parameters
- t: Time
- r: Rate
Returns Volatility

Hierarchy

Implements

Implemented by

Index

Constructors

Properties

Methods

Constructors

constructor

Parameters

Default value interpolator: Interpolator = null

Returns InterpolatedYoYOptionletVolatilityCurve

Properties

_baseLevel

_bdc

_calendar

_data

_dates

_dayCounter

_extrapolate

_frequency

_indexIsInterpolated

_interpolation

_interpolator

_isDisposed

_maxDate

_maxStrike

_minStrike

_moving

_nodes

_observables

_observationLag

_observers

_referenceDate

_settlementDays

_times

_updated

allowsExtrapolation

Type declaration

Returns boolean

baseDate

Type declaration

Returns Date

baseLevel

Type declaration

Returns Volatility

businessDayConvention

Type declaration

Returns BusinessDayConvention

calendar

Type declaration

Returns Calendar

checkRange1

Type declaration

Parameters

d: Date

extrapolate: boolean

Returns void

checkRange2

Type declaration

Parameters

t: Time

extrapolate: boolean

Returns void

checkRange3

Type declaration

Parameters

d: Date

strike: Rate

extrapolate: boolean

Returns void

checkRange4

Type declaration

Parameters

t: Time

strike: Rate

extrapolate: boolean

Returns void

checkStrike

Type declaration