NoArbSabrSmileSection

Hierarchy

SmileSection
- NoArbSabrSmileSection

Implements

Index

Properties

_dc

_dc: DayCounter

_exerciseDate

_exerciseDate: Date

_exerciseTime

_exerciseTime: Time

Private _forward

_forward: Rate

_isDisposed

_isDisposed: boolean = false

_isFloating

_isFloating: boolean

Private _model

_model: NoArbSabrModel

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Private _params

_params: Real[]

_referenceDate

_referenceDate: Date

_shift

_shift: Rate

_volatilityType

_volatilityType: VolatilityType

dispose

dispose: () => void

Type declaration

- (): void
- Returns void

isDisposed

isDisposed: boolean

notifyObservers

notifyObservers: () => void

Type declaration

- (): void
- Returns void

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

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

atmLevel

atmLevel(): Real

Overrides SmileSection.atmLevel
- Defined in ql/experimental/volatility/noarbsabrsmilesection.ts:50
Returns Real

dayCounter

dayCounter(): DayCounter

Inherited from SmileSection.dayCounter
- Defined in ql/termstructures/volatility/smilesection.ts:115
Returns DayCounter

deepUpdate

deepUpdate(): void

Inherited from ObserverObservable.deepUpdate
- Defined in mixins/ql/patterns/observerobservable.ts:23
Returns void

density

density(strike: Rate, discount?: Real, gap?: Real): Real

Overrides SmileSection.density
- Defined in ql/experimental/volatility/noarbsabrsmilesection.ts:69
Parameters
- strike: Rate
- Default value discount: Real = 1
- Default value gap: Real = 0.0001
Returns Real

digitalOptionPrice

digitalOptionPrice(strike: Rate, type?: Type, discount?: Real, gap?: Real): Real

Overrides SmileSection.digitalOptionPrice
- Defined in ql/experimental/volatility/noarbsabrsmilesection.ts:62
Parameters
- strike: Rate
- Default value type: Type = Option.Type.Call
- Default value discount: Real = 1
- Default value gap: Real = 0.00001
Returns Real

exerciseDate

exerciseDate(): Date

Inherited from SmileSection.exerciseDate
- Defined in ql/termstructures/volatility/smilesection.ts:92
Returns Date

exerciseTime

exerciseTime(): Time

Inherited from SmileSection.exerciseTime
- Defined in ql/termstructures/volatility/smilesection.ts:111
Returns Time

Private init

init(): void

- Defined in ql/experimental/volatility/noarbsabrsmilesection.ts:102
Returns void

init1

init1(d: Date, dc?: DayCounter, referenceDate?: Date, type?: VolatilityType, shift?: Rate): SmileSection

Inherited from SmileSection.init1
- Defined in ql/termstructures/volatility/smilesection.ts:24
Parameters
- d: Date
- Default value dc: DayCounter = new DayCounter()
- Default value referenceDate: Date = null
- Default value type: VolatilityType = VolatilityType.ShiftedLognormal
- Default value shift: Rate = 0
Returns SmileSection

init2

init2(exerciseTime: Time, dc?: DayCounter, type?: VolatilityType, shift?: Rate): SmileSection

Inherited from SmileSection.init2
- Defined in ql/termstructures/volatility/smilesection.ts:47
Parameters
- exerciseTime: Time
- Default value dc: DayCounter = new DayCounter()
- Default value type: VolatilityType = VolatilityType.ShiftedLognormal
- Default value shift: Rate = 0
Returns SmileSection

initializeExerciseTime

initializeExerciseTime(): void

Inherited from SmileSection.initializeExerciseTime
- Defined in ql/termstructures/volatility/smilesection.ts:218
Returns void

maxStrike

maxStrike(): Real

Overrides SmileSection.maxStrike
- Defined in ql/experimental/volatility/noarbsabrsmilesection.ts:46
Returns Real

minStrike

minStrike(): Real

Overrides SmileSection.minStrike
- Defined in ql/experimental/volatility/noarbsabrsmilesection.ts:42
Returns Real

model

model(): NoArbSabrModel

- Defined in ql/experimental/volatility/noarbsabrsmilesection.ts:73
Returns NoArbSabrModel

nasssInit1

nasssInit1(timeToExpiry: Time, forward: Rate, sabrParameters: Real[], shift?: Real): NoArbSabrSmileSection

- Defined in ql/experimental/volatility/noarbsabrsmilesection.ts:18
Parameters
- timeToExpiry: Time
- forward: Rate
- sabrParameters: Real[]
- Default value shift: Real = 0
Returns NoArbSabrSmileSection

nasssInit2

nasssInit2(d: Date, forward: Rate, sabrParameters: Real[], dc?: DayCounter, shift?: Real): NoArbSabrSmileSection

- Defined in ql/experimental/volatility/noarbsabrsmilesection.ts:30
Parameters
- d: Date
- forward: Rate
- sabrParameters: Real[]
- Default value dc: DayCounter = new Actual365Fixed()
- Default value shift: Real = 0
Returns NoArbSabrSmileSection

optionPrice

optionPrice(strike: Rate, type?: Type, discount?: Real): Real

Overrides SmileSection.optionPrice
- Defined in ql/experimental/volatility/noarbsabrsmilesection.ts:54
Parameters
- strike: Rate
- Default value type: Type = Option.Type.Call
- Default value discount: Real = 1
Returns Real

referenceDate

referenceDate(): Date

Inherited from SmileSection.referenceDate
- Defined in ql/termstructures/volatility/smilesection.ts:104
Returns Date

shift

shift(): Rate

Inherited from SmileSection.shift
- Defined in ql/termstructures/volatility/smilesection.ts:100
Returns Rate

update

update(): void

Inherited from SmileSection.update

Overrides ObserverObservable.update
- Defined in ql/termstructures/volatility/smilesection.ts:65
Returns void

variance

variance(strike: Rate): Real

Inherited from SmileSection.variance
- Defined in ql/termstructures/volatility/smilesection.ts:80
Parameters
- strike: Rate
Returns Real

varianceImpl

varianceImpl(strike: Rate): Real

Inherited from SmileSection.varianceImpl
- Defined in ql/termstructures/volatility/smilesection.ts:228
Parameters
- strike: Rate
Returns Real

vega

vega(strike: Rate, discount?: Real): Real

Inherited from SmileSection.vega
- Defined in ql/termstructures/volatility/smilesection.ts:158
Parameters
- strike: Rate
- Default value discount: Real = 1
Returns Real

volatility1

volatility1(strike: Rate): Volatility

Inherited from SmileSection.volatility1
- Defined in ql/termstructures/volatility/smilesection.ts:84
Parameters
- strike: Rate
Returns Volatility

volatility2

volatility2(strike: Rate, volatilityType: VolatilityType, shift?: Real): Volatility

Inherited from SmileSection.volatility2
- Defined in ql/termstructures/volatility/smilesection.ts:186
Parameters
- strike: Rate
- volatilityType: VolatilityType
- Default value shift: Real = 0
Returns Volatility

volatilityImpl

volatilityImpl(strike: Rate): Volatility

Overrides SmileSection.volatilityImpl
- Defined in ql/experimental/volatility/noarbsabrsmilesection.ts:77
Parameters
- strike: Rate
Returns Volatility

volatilityType

volatilityType(): VolatilityType

Inherited from SmileSection.volatilityType
- Defined in ql/termstructures/volatility/smilesection.ts:96
Returns VolatilityType

Hierarchy

Implements

Index

Properties

Methods

Properties

_dc

_exerciseDate

_exerciseTime

Private _forward

_isDisposed

_isFloating

Private _model

_observables

_observers

Private _params

_referenceDate

_shift

_volatilityType

dispose

Type declaration

Returns void

isDisposed

notifyObservers

Type declaration

Returns void

registerObserver

Type declaration

Parameters

o: Observer

Returns void

registerWith

Type declaration

Parameters

h: Observable

Returns void

registerWithObservables

Type declaration

Parameters

o: Observer

Returns void

unregisterObserver

Type declaration

Parameters

o: Observer

Returns void

unregisterWith

Type declaration

Parameters

h: Observable

Returns Size

unregisterWithAll

Type declaration

Returns void

Methods

atmLevel

Returns Real

dayCounter

Returns DayCounter

deepUpdate

Returns void

density

Parameters

strike: Rate

Default value discount: Real = 1

Default value gap: Real = 0.0001

Returns Real

digitalOptionPrice

Parameters

strike: Rate

Default value type: Type = Option.Type.Call

Default value discount: Real = 1

Default value gap: Real = 0.00001

Returns Real

exerciseDate

Returns Date

exerciseTime

Returns Time

Private init

Returns void