AbcdAtmVolCurve | quantlib.js

Hierarchy

BlackAtmVolCurveLazyObject
- AbcdAtmVolCurve

Implements

Index

Properties

Methods

Properties

_alwaysForward

_alwaysForward: boolean = false

_bdc

_bdc: BusinessDayConvention

_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

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

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

- (t: Time): Real
- Parameters
  - t: Time
  Returns Real

atmVol1

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

Type declaration

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

atmVol2

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

Type declaration

- (d: Date, extrapolate?: boolean): Volatility
- Parameters
  - d: Date
  - Optional extrapolate: boolean
  Returns Volatility

atmVol3

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

Type declaration

- (t: Time, extrapolate?: boolean): Volatility
- Parameters
  - t: Time
  - Optional extrapolate: boolean
  Returns Volatility

atmVolImpl

atmVolImpl: (t: Time) => Volatility

Type declaration

- (t: Time): Volatility
- Parameters
  - t: Time
  Returns Volatility

bavcInit1

bavcInit1: (bdc?: BusinessDayConvention, dc?: DayCounter) => BlackAtmVolCurve

Type declaration

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

bavcInit2

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

Type declaration

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

bavcInit3

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

Type declaration

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

businessDayConvention

businessDayConvention: () => BusinessDayConvention

Type declaration

- (): BusinessDayConvention
- Returns BusinessDayConvention

calculate

calculate: () => void

Type declaration

- (): void
- Returns void

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

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

freeze

freeze: () => void

Type declaration

- (): void
- Returns void

isDisposed

isDisposed: boolean

maxTime

maxTime: () => Time

Type declaration

- (): Time
- Returns Time

notifyObservers

notifyObservers: () => void

Type declaration

- (): void
- Returns void

optionDateFromTenor

optionDateFromTenor: (p: Period) => Date

Type declaration

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

recalculate

recalculate: () => void

Type declaration

- (): void
- Returns void

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

settlementDays

settlementDays: () => Natural

Type declaration

- (): Natural
- Returns Natural

timeFromReference

timeFromReference: (date: Date) => Time

Type declaration

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

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

unfreeze

unfreeze: () => void

Type declaration

- (): void
- 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

maxDate

maxDate(): Date

Inherited from BlackAtmVolCurveLazyObject.maxDate
- Defined in mixins/ql/experimental/blackatmvolcurvelazyobject.ts:52
Returns Date

maxStrike

maxStrike(): Rate

Inherited from BlackAtmVolCurveLazyObject.maxStrike
- Defined in mixins/ql/experimental/blackatmvolcurvelazyobject.ts:75
Returns Rate

minStrike

minStrike(): Rate

Inherited from BlackAtmVolCurveLazyObject.minStrike
- Defined in mixins/ql/experimental/blackatmvolcurvelazyobject.ts:72
Returns Rate

performCalculations

performCalculations(): void

Inherited from BlackAtmVolCurveLazyObject.performCalculations
- Defined in mixins/ql/experimental/blackatmvolcurvelazyobject.ts:102
Returns void

update

update(): void

Inherited from BlackAtmVolCurveLazyObject.update
- Defined in mixins/ql/experimental/blackatmvolcurvelazyobject.ts:34
Returns void

Hierarchy

Implements

Index

Properties

Methods

Properties

_alwaysForward

_bdc

_calculated

_calendar

_dayCounter

_extrapolate

_frozen

_isDisposed

_moving

_observables

_observers

_referenceDate

_settlementDays

_updated

accept

Type declaration

Parameters

v: AcyclicVisitor

Returns void

allowsExtrapolation

Type declaration

Returns boolean

alwaysForwardNotifications

Type declaration

Returns void

atmVariance1

Type declaration

Parameters

optionTenor: Period

Optional extrapolate: boolean

Returns Real

atmVariance2

Type declaration

Parameters

d: Date

Optional extrapolate: boolean

Returns Real

atmVariance3

Type declaration

Parameters

t: Time

Optional extrapolate: boolean

Returns Real

atmVarianceImpl

Type declaration

Parameters

t: Time

Returns Real

atmVol1

Type declaration

Parameters

optionTenor: Period

Optional extrapolate: boolean

Returns Volatility

atmVol2

Type declaration

Parameters

d: Date

Optional extrapolate: boolean

Returns Volatility

atmVol3

Type declaration

Parameters

t: Time

Optional extrapolate: boolean

Returns Volatility

atmVolImpl

Type declaration

Parameters

t: Time

Returns Volatility

bavcInit1

Type declaration

Parameters