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Hierarchy

Implements

Index

Properties

_alwaysForward

_alwaysForward: boolean = false

_bdc

_calculated

_calculated: boolean = false

_calendar

_calendar: Calendar

_dayCounter

_dayCounter: DayCounter

_extrapolate

_extrapolate: boolean

_frozen

_frozen: boolean = false

_isDisposed

_isDisposed: boolean = false

_moving

_moving: boolean

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

_referenceDate

_referenceDate: Date

_settlementDays

_settlementDays: Natural

_updated

_updated: boolean

accept

accept: (v: AcyclicVisitor) => void

Type declaration

allowsExtrapolation

allowsExtrapolation: () => boolean

Type declaration

    • (): boolean
    • Returns boolean

alwaysForwardNotifications

alwaysForwardNotifications: () => void

Type declaration

    • (): void
    • Returns void

atmVariance1

atmVariance1: (optionTenor: Period, extrapolate?: boolean) => Real

Type declaration

    • (optionTenor: Period, extrapolate?: boolean): Real
    • Parameters

      • optionTenor: Period
      • Optional extrapolate: boolean

      Returns Real

atmVariance2

atmVariance2: (d: Date, extrapolate?: boolean) => Real

Type declaration

    • (d: Date, extrapolate?: boolean): Real
    • Parameters

      • d: Date
      • Optional extrapolate: boolean

      Returns Real

atmVariance3

atmVariance3: (t: Time, extrapolate?: boolean) => Real

Type declaration

    • (t: Time, extrapolate?: boolean): Real
    • Parameters

      • t: Time
      • Optional extrapolate: boolean

      Returns Real

atmVarianceImpl

atmVarianceImpl: (t: Time) => Real

Type declaration

atmVol1

atmVol1: (optionTenor: Period, extrapolate?: boolean) => Volatility

Type declaration

atmVol2

atmVol2: (d: Date, extrapolate?: boolean) => Volatility

Type declaration

    • Parameters

      • d: Date
      • Optional extrapolate: boolean

      Returns Volatility

atmVol3

atmVol3: (t: Time, extrapolate?: boolean) => Volatility

Type declaration

atmVolImpl

atmVolImpl: (t: Time) => Volatility

Type declaration

bavcInit1

Type declaration

bavcInit2

bavcInit2: (referenceDate: Date, cal?: Calendar, bdc?: BusinessDayConvention, dc?: DayCounter) => BlackAtmVolCurve

Type declaration

bavcInit3

bavcInit3: (settlementDays: Natural, cal: Calendar, bdc?: BusinessDayConvention, dc?: DayCounter) => BlackAtmVolCurve

Type declaration

businessDayConvention

businessDayConvention: () => BusinessDayConvention

Type declaration

calculate

calculate: () => void

Type declaration

    • (): void
    • Returns void

calendar

calendar: () => Calendar

Type declaration

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

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

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

freeze

freeze: () => void

Type declaration

    • (): void
    • Returns void

isDisposed

isDisposed: boolean

maxTime

maxTime: () => Time

Type declaration

notifyObservers

notifyObservers: () => void

Type declaration

    • (): void
    • Returns void

optionDateFromTenor

optionDateFromTenor: (p: Period) => Date

Type declaration

recalculate

recalculate: () => void

Type declaration

    • (): void
    • Returns void

referenceDate

referenceDate: () => Date

Type declaration

    • (): Date
    • Returns Date

registerObserver

registerObserver: (o: Observer) => void

Type declaration

registerWith

registerWith: (h: Observable) => void

Type declaration

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

settlementDays

settlementDays: () => Natural

Type declaration

timeFromReference

timeFromReference: (date: Date) => Time

Type declaration

    • (date: Date): Time
    • Parameters

      • date: Date

      Returns Time

tsInit1

tsInit1: (dc: DayCounter) => TermStructure

Type declaration

tsInit2

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

Type declaration

tsInit3

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

Type declaration

unfreeze

unfreeze: () => void

Type declaration

    • (): void
    • Returns void

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

unregisterWithAll

unregisterWithAll: () => void

Type declaration

    • (): void
    • Returns void

vtsInit1

Type declaration

vtsInit2

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

Type declaration

vtsInit3

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

Type declaration

Methods

maxDate

  • maxDate(): Date

maxStrike

minStrike

performCalculations

  • performCalculations(): void

update

  • update(): void