EurLiborSwapIfrFix | quantlib.js

EurLiborSwapIfrFix index base class

EUR Libor Swap indexes published by IFR Markets and distributed by Reuters page TGM42281 and by Telerate. Annual 30/360 vs 6M Libor, 1Y vs 3M Libor. For more info see http://www.ifrmarkets.com.

Hierarchy

SwapIndex
- EurLiborSwapIfrFix

Implements

Index

Properties

Protected _currency

_currency: Currency

Protected _dayCounter

_dayCounter: DayCounter

Protected _discount

_discount: Handle<YieldTermStructure>

Protected _exogenousDiscount

_exogenousDiscount: boolean

Protected _familyName

_familyName: string

Protected _fixedLegConvention

_fixedLegConvention: BusinessDayConvention

Protected _fixedLegTenor

_fixedLegTenor: Period

Protected _fixingDays

_fixingDays: Natural

Protected _iborIndex

_iborIndex: IborIndex

_isDisposed

_isDisposed: boolean = false

Protected _lastFixingDate

_lastFixingDate: Date = QL_NULL_DATE

Protected _lastSwap

_lastSwap: Swap

Protected _name

_name: string

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Protected _tenor

_tenor: Period

addFixings1

addFixings1: (t: TimeSeries<Real>, forceOverwrite?: boolean) => void

Type declaration

- (t: TimeSeries<Real>, forceOverwrite?: boolean): void
- Parameters
  - t: TimeSeries<Real>
  - Optional forceOverwrite: boolean
  Returns void

addFixings2

addFixings2: (d: Date[], dBegin: Size, dEnd: Size, v: Real[], vBegin: Size, forceOverwrite?: boolean) => void

Type declaration

- (d: Date[], dBegin: Size, dEnd: Size, v: Real[], vBegin: Size, forceOverwrite?: boolean): void
- Parameters
  - d: Date[]
  - dBegin: Size
  - dEnd: Size
  - v: Real[]
  - vBegin: Size
  - Optional forceOverwrite: boolean
  Returns void

checkNativeFixingsAllowed

checkNativeFixingsAllowed: () => void

Type declaration

- (): void
- Returns void

clearFixings

clearFixings: () => void

Type declaration

- (): void
- Returns void

deepUpdate

deepUpdate: () => void

Type declaration

- (): void
- Returns void

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

timeSeries

timeSeries: () => TimeSeries<Real>

Type declaration

- (): TimeSeries<Real>
- Returns TimeSeries<Real>

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

addFixing

addFixing(fixingDate: Date, fixing: Real, forceOverwrite?: boolean): void

Inherited from IndexObserver.addFixing
- Defined in mixins/ql/indexes/indexobserver.ts:44
Parameters
- fixingDate: Date
- fixing: Real
- Optional forceOverwrite: boolean
Returns void

allowsNativeFixings

allowsNativeFixings(): boolean

Inherited from IndexObserver.allowsNativeFixings
- Defined in mixins/ql/indexes/indexobserver.ts:41
Returns boolean

clone1

clone1(forwarding: Handle<YieldTermStructure>): SwapIndex

Inherited from SwapIndex.clone1
- Defined in ql/indexes/swapindex.ts:112
Parameters
- forwarding: Handle<YieldTermStructure>
Returns SwapIndex

clone2

clone2(forwarding: Handle<YieldTermStructure>, discounting: Handle<YieldTermStructure>): SwapIndex

Inherited from SwapIndex.clone2
- Defined in ql/indexes/swapindex.ts:128
Parameters
- forwarding: Handle<YieldTermStructure>
- discounting: Handle<YieldTermStructure>
Returns SwapIndex

clone3

clone3(tenor: Period): SwapIndex

Inherited from SwapIndex.clone3
- Defined in ql/indexes/swapindex.ts:137
Parameters
- tenor: Period
Returns SwapIndex

currency

currency(): Currency

Inherited from InterestRateIndex.currency
- Defined in ql/indexes/interestrateindex.ts:131
Returns Currency

dayCounter

dayCounter(): DayCounter

Inherited from InterestRateIndex.dayCounter
- Defined in ql/indexes/interestrateindex.ts:135
Returns DayCounter

discountingTermStructure

discountingTermStructure(): Handle<YieldTermStructure>

Inherited from SwapIndex.discountingTermStructure
- Defined in ql/indexes/swapindex.ts:61
Returns Handle<YieldTermStructure>

esInit1

esInit1(tenor: Period, h?: Handle<YieldTermStructure>): EurLiborSwapIfrFix

- Defined in ql/indexes/swap/eurliborswap.ts:124
Parameters
- tenor: Period
- Default value h: Handle<YieldTermStructure> = new Handle()
Returns EurLiborSwapIfrFix

esInit2

esInit2(tenor: Period, forwarding: Handle<YieldTermStructure>, discounting: Handle<YieldTermStructure>): EurLiborSwapIfrFix

- Defined in ql/indexes/swap/eurliborswap.ts:141
Parameters
- tenor: Period
- forwarding: Handle<YieldTermStructure>
- discounting: Handle<YieldTermStructure>
Returns EurLiborSwapIfrFix

exogenousDiscount

exogenousDiscount(): boolean

Inherited from SwapIndex.exogenousDiscount
- Defined in ql/indexes/swapindex.ts:65
Returns boolean

familyName

familyName(): string

Inherited from InterestRateIndex.familyName
- Defined in ql/indexes/interestrateindex.ts:113
Returns string

fixedLegConvention

fixedLegConvention(): BusinessDayConvention

Inherited from SwapIndex.fixedLegConvention
- Defined in ql/indexes/swapindex.ts:53
Returns BusinessDayConvention

fixedLegTenor

fixedLegTenor(): Period

Inherited from SwapIndex.fixedLegTenor
- Defined in ql/indexes/swapindex.ts:69
Returns Period

fixing

fixing(fixingDate: Date, forecastTodaysFixing?: boolean): Rate

Inherited from InterestRateIndex.fixing

Overrides IndexObserver.fixing
- Defined in ql/indexes/interestrateindex.ts:72
Parameters
- fixingDate: Date
- Default value forecastTodaysFixing: boolean = false
Returns Rate

fixingCalendar

fixingCalendar(): Calendar

Inherited from InterestRateIndex.fixingCalendar

Overrides IndexObserver.fixingCalendar
- Defined in ql/indexes/interestrateindex.ts:64
Returns Calendar

fixingDate

fixingDate(valueDate: Date): Date

Inherited from InterestRateIndex.fixingDate
- Defined in ql/indexes/interestrateindex.ts:125
Parameters
- valueDate: Date
Returns Date

fixingDays

fixingDays(): Natural

Inherited from InterestRateIndex.fixingDays
- Defined in ql/indexes/interestrateindex.ts:121
Returns Natural

forecastFixing

forecastFixing(fixingDate: Date): Rate

Inherited from SwapIndex.forecastFixing
- Defined in ql/indexes/swapindex.ts:152
Parameters
- fixingDate: Date
Returns Rate

forecastFixing1

forecastFixing1(fixingDate: Date): Rate

Inherited from InterestRateIndex.forecastFixing1
- Defined in ql/indexes/interestrateindex.ts:158
It can be overridden to implement particular conventions

Parameters
- fixingDate: Date
Returns Rate

forwardingTermStructure

forwardingTermStructure(): Handle<YieldTermStructure>

Inherited from SwapIndex.forwardingTermStructure
- Defined in ql/indexes/swapindex.ts:57
Returns Handle<YieldTermStructure>

iborIndex

iborIndex(): IborIndex

Inherited from SwapIndex.iborIndex
- Defined in ql/indexes/swapindex.ts:73
Returns IborIndex

init

init(familyName: string, tenor: Period, fixingDays: Natural, currency: Currency, fixingCalendar: Calendar, dayCounter: DayCounter): InterestRateIndex

Inherited from InterestRateIndex.init
- Defined in ql/indexes/interestrateindex.ts:24
Parameters
- familyName: string
- tenor: Period
- fixingDays: Natural
- currency: Currency
- fixingCalendar: Calendar
- dayCounter: DayCounter
Returns InterestRateIndex

isValidFixingDate

isValidFixingDate(d: Date): boolean

Inherited from InterestRateIndex.isValidFixingDate

Overrides IndexObserver.isValidFixingDate
- Defined in ql/indexes/interestrateindex.ts:68
Parameters
- d: Date
Returns boolean

maturityDate

maturityDate(valueDate: Date): Date

Inherited from SwapIndex.maturityDate

Overrides InterestRateIndex.maturityDate
- Defined in ql/indexes/swapindex.ts:48
Parameters
- valueDate: Date
Returns Date

name

name(): string

Inherited from InterestRateIndex.name

Overrides IndexObserver.name
- Defined in ql/indexes/interestrateindex.ts:60
Returns string

pastFixing

pastFixing(fixingDate: Date): Rate

Inherited from InterestRateIndex.pastFixing
- Defined in ql/indexes/interestrateindex.ts:162
Parameters
- fixingDate: Date
Returns Rate

siInit

siInit(familyName: string, tenor: Period, settlementDays: Natural, currency: Currency, fixingCalendar: Calendar, fixedLegTenor: Period, fixedLegConvention: BusinessDayConvention, fixedLegDayCounter: DayCounter, iborIndex: IborIndex, discountingTermStructure?: Handle<YieldTermStructure>): SwapIndex

Inherited from SwapIndex.siInit
- Defined in ql/indexes/swapindex.ts:25
Parameters
- familyName: string
- tenor: Period
- settlementDays: Natural
- currency: Currency
- fixingCalendar: Calendar
- fixedLegTenor: Period
- fixedLegConvention: BusinessDayConvention
- fixedLegDayCounter: DayCounter
- iborIndex: IborIndex
- Default value discountingTermStructure: Handle<YieldTermStructure> = null
Returns SwapIndex

tenor

tenor(): Period

Inherited from InterestRateIndex.tenor
- Defined in ql/indexes/interestrateindex.ts:117
Returns Period

underlyingSwap

underlyingSwap(fixingDate: Date): Swap

Inherited from SwapIndex.underlyingSwap
- Defined in ql/indexes/swapindex.ts:77
Parameters
- fixingDate: Date
Returns Swap

update

update(): void

Inherited from InterestRateIndex.update

Overrides IndexObserver.update
- Defined in ql/indexes/interestrateindex.ts:109
Returns void

valueDate

valueDate(fixingDate: Date): Date

Inherited from InterestRateIndex.valueDate
- Defined in ql/indexes/interestrateindex.ts:145
name Date calculations

These method can be overridden to implement particular conventions (e.g. EurLibor)

Parameters
- fixingDate: Date
Returns Date

Hierarchy

Implements

Index

Properties

Methods

Properties

Protected _currency

Protected _dayCounter

Protected _discount

Protected _exogenousDiscount

Protected _familyName

Protected _fixedLegConvention

Protected _fixedLegTenor

Protected _fixingDays

Protected _iborIndex

_isDisposed

Protected _lastFixingDate

Protected _lastSwap

Protected _name

_observables

_observers

Protected _tenor

addFixings1

Type declaration

Parameters

t: TimeSeries<Real>

Optional forceOverwrite: boolean

Returns void

addFixings2

Type declaration

Parameters

d: Date[]

dBegin: Size

dEnd: Size

v: Real[]

vBegin: Size

Optional forceOverwrite: boolean

Returns void

checkNativeFixingsAllowed

Type declaration

Returns void

clearFixings

Type declaration

Returns void

deepUpdate

Type declaration

Returns void

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

timeSeries

Type declaration

Returns TimeSeries<Real>

unregisterObserver

Type declaration

Parameters

o: Observer

Returns void

unregisterWith

Type declaration

Parameters