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Hierarchy

Implements

Index

Constructors

constructor

Properties

_alwaysForward

_alwaysForward: boolean = false

Private _basket

_calculated

_calculated: boolean = false

Private _discountCurve

_discountCurve: Handle<YieldTermStructure>

Private _duration

_duration: Time

Private _durations

_durations: Time[]

Private _equivalentSwapIndex

_equivalentSwapIndex: Size

Private _euriborIndex

_euriborIndex: Euribor

_frozen

_frozen: boolean = false

_isDisposed

_isDisposed: boolean = false

Private _nSwaps

_nSwaps: Size

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Private _swapBondDurations

_swapBondDurations: Time[]

Private _swapBondYields

_swapBondYields: Rate[]

Private _swapLenghts

_swapLenghts: Time[]

Private _swapRates

_swapRates: Rate[]

Private _swaps

_swaps: VanillaSwap[]

Private _yields

_yields: Rate[]

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

registerWith

registerWith: (h: Observable) => void

Type declaration

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

unregisterWithAll

unregisterWithAll: () => void

Type declaration

    • (): void
    • Returns void

Methods

alwaysForwardNotifications

  • alwaysForwardNotifications(): void
  • This method causes the object to forward all notifications, even when not calculated. The default behavior is to forward the first notification received, and discard the others until recalculated; the rationale is that observers were already notified, and don't need further notification until they recalculate, at which point this object would be recalculated too. After recalculation, this object would again forward the first notification received.

    warning Forwarding all notifications will cause a performance hit, and should be used only when discarding notifications cause an incorrect behavior.

    Returns void

calculate

  • calculate(): void
  • This method performs all needed calculations by calling the performCalculations method.

    warning Objects cache the results of the previous calculation. Such results will be returned upon later invocations of calculate. When the results depend on arguments which could change between invocations, the lazy object must register itself as observer of such objects for the calculations to be performed again when they change.

    warning Should this method be redefined in derived classes, LazyObject.calculate() should be called in the overriding method.

    Returns void

deepUpdate

  • deepUpdate(): void

duration

  • Returns Time

durations

  • durations(): Time[]
  • Returns Time[]

equivalentSwap

  • Returns VanillaSwap

equivalentSwapDuration

  • equivalentSwapDuration(): Time
  • Returns Time

equivalentSwapLength

  • equivalentSwapLength(): Time
  • Returns Time

equivalentSwapRate

  • equivalentSwapRate(): Rate
  • Returns Rate

equivalentSwapSpread

  • equivalentSwapSpread(): Spread
  • Returns Spread

equivalentSwapYield

  • equivalentSwapYield(): Rate
  • Returns Rate

freeze

  • freeze(): void
  • This method constrains the object to return the presently cached results on successive invocations, even if arguments upon which they depend should change.

    Returns void

performCalculations

  • performCalculations(): void

recalculate

  • recalculate(): void
  • This method force the recalculation of any results which would otherwise be cached. It is not declared as const since it needs to call the non-const notifyObservers method.

    note Explicit invocation of this method is not necessary if the object registered itself as observer with the structures on which such results depend. It is strongly advised to follow this policy when possible.

    Returns void

swapDurations

  • swapDurations(): Time[]
  • Returns Time[]

swapLengths

  • swapLengths(): Time[]
  • Returns Time[]

swapRates

  • swapRates(): Rate[]
  • Returns Rate[]

swapYields

  • swapYields(): Rate[]
  • Returns Rate[]

unfreeze

  • unfreeze(): void
  • This method reverts the effect of the freeze method, thus re-enabling recalculations.

    Returns void

update

  • update(): void

yield

  • Returns Rate

yields

  • Returns Rate[]