MakeCms | quantlib.js

helper class for instantiating CMS

This class provides a more comfortable way to instantiate standard market constant maturity swap.

Hierarchy

MakeCms

Implements

NullaryFunction<Swap>

Index

Properties

Private _cmsCalendar

_cmsCalendar: Calendar

Private _cmsCap

_cmsCap: Rate

Private _cmsConvention

_cmsConvention: BusinessDayConvention

Private _cmsDayCount

_cmsDayCount: DayCounter

Private _cmsEndOfMonth

_cmsEndOfMonth: boolean

Private _cmsFirstDate

_cmsFirstDate: Date

Private _cmsFloor

_cmsFloor: Rate

Private _cmsGearing

_cmsGearing: Real

Private _cmsNextToLastDate

_cmsNextToLastDate: Date

Private _cmsRule

_cmsRule: Rule

Private _cmsSpread

_cmsSpread: Spread

Private _cmsTenor

_cmsTenor: Period

Private _cmsTerminationDateConvention

_cmsTerminationDateConvention: BusinessDayConvention

Private _couponPricer

_couponPricer: CmsCouponPricer

Private _effectiveDate

_effectiveDate: Date

Private _engine

_engine: PricingEngine

Private _floatCalendar

_floatCalendar: Calendar

Private _floatConvention

_floatConvention: BusinessDayConvention

Private _floatDayCount

_floatDayCount: DayCounter

Private _floatEndOfMonth

_floatEndOfMonth: boolean

Private _floatFirstDate

_floatFirstDate: Date

Private _floatNextToLastDate

_floatNextToLastDate: Date

Private _floatRule

_floatRule: Rule

Private _floatTenor

_floatTenor: Period

Private _floatTerminationDateConvention

_floatTerminationDateConvention: BusinessDayConvention

Private _forwardStart

_forwardStart: Period

Private _iborIndex

_iborIndex: IborIndex

Private _iborSpread

_iborSpread: Spread

Private _nominal

_nominal: Real

Private _payCms

_payCms: boolean

Private _swapIndex

_swapIndex: SwapIndex

Private _swapTenor

_swapTenor: Period

Private _useAtmSpread

_useAtmSpread: boolean

Methods

f

f(): Swap

Implementation of NullaryFunction.f
- Defined in ql/instruments/makecms.ts:249
Returns Swap

init1

init1(swapTenor: Period, swapIndex: SwapIndex, iborIndex: IborIndex, iborSpread?: Spread, forwardStart?: Period): MakeCms

- Defined in ql/instruments/makecms.ts:39
Parameters
- swapTenor: Period
- swapIndex: SwapIndex
- iborIndex: IborIndex
- Default value iborSpread: Spread = 0
- Default value forwardStart: Period = new Period()
Returns MakeCms

init2

init2(swapTenor: Period, swapIndex: SwapIndex, iborSpread?: Spread, forwardStart?: Period): MakeCms

- Defined in ql/instruments/makecms.ts:84
Parameters
- swapTenor: Period
- swapIndex: SwapIndex
- Default value iborSpread: Spread = 0
- Default value forwardStart: Period = new Period()
Returns MakeCms

receiveCms

receiveCms(flag?: boolean): MakeCms

- Defined in ql/instruments/makecms.ts:127
Parameters
- Default value flag: boolean = true
Returns MakeCms

withAtmSpread

withAtmSpread(flag?: boolean): MakeCms

- Defined in ql/instruments/makecms.ts:233
Parameters
- Default value flag: boolean = true
Returns MakeCms

withCmsCouponPricer

withCmsCouponPricer(couponPricer: CmsCouponPricer): MakeCms

- Defined in ql/instruments/makecms.ts:244
Parameters
- couponPricer: CmsCouponPricer
Returns MakeCms

withCmsLegCalendar

withCmsLegCalendar(cal: Calendar): MakeCms

- Defined in ql/instruments/makecms.ts:147
Parameters
- cal: Calendar
Returns MakeCms

withCmsLegConvention

withCmsLegConvention(bdc: BusinessDayConvention): MakeCms

- Defined in ql/instruments/makecms.ts:152
Parameters
- bdc: BusinessDayConvention
Returns MakeCms

withCmsLegDayCount

withCmsLegDayCount(dc: DayCounter): MakeCms

- Defined in ql/instruments/makecms.ts:182
Parameters
- dc: DayCounter
Returns MakeCms

withCmsLegEndOfMonth

withCmsLegEndOfMonth(flag?: boolean): MakeCms

- Defined in ql/instruments/makecms.ts:167
Parameters
- Default value flag: boolean = true
Returns MakeCms

withCmsLegFirstDate

withCmsLegFirstDate(d: Date): MakeCms

- Defined in ql/instruments/makecms.ts:172
Parameters
- d: Date
Returns MakeCms

withCmsLegNextToLastDate

withCmsLegNextToLastDate(d: Date): MakeCms

- Defined in ql/instruments/makecms.ts:177
Parameters
- d: Date
Returns MakeCms

withCmsLegRule

withCmsLegRule(r: Rule): MakeCms

- Defined in ql/instruments/makecms.ts:162
Parameters
- r: Rule
Returns MakeCms

withCmsLegTenor

withCmsLegTenor(t: Period): MakeCms

- Defined in ql/instruments/makecms.ts:142
Parameters
- t: Period
Returns MakeCms

withCmsLegTerminationDateConvention

withCmsLegTerminationDateConvention(bdc: BusinessDayConvention): MakeCms

- Defined in ql/instruments/makecms.ts:157
Parameters
- bdc: BusinessDayConvention
Returns MakeCms

withDiscountingTermStructure

withDiscountingTermStructure(discountingTermStructure: Handle<YieldTermStructure>): MakeCms

- Defined in ql/instruments/makecms.ts:238
Parameters
- discountingTermStructure: Handle<YieldTermStructure>
Returns MakeCms

withEffectiveDate

withEffectiveDate(effectiveDate: Date): MakeCms

- Defined in ql/instruments/makecms.ts:137
Parameters
- effectiveDate: Date
Returns MakeCms

withFloatingLegCalendar

withFloatingLegCalendar(cal: Calendar): MakeCms

- Defined in ql/instruments/makecms.ts:192
Parameters
- cal: Calendar
Returns MakeCms

withFloatingLegConvention

withFloatingLegConvention(bdc: BusinessDayConvention): MakeCms

- Defined in ql/instruments/makecms.ts:197
Parameters
- bdc: BusinessDayConvention
Returns MakeCms

withFloatingLegDayCount

withFloatingLegDayCount(dc: DayCounter): MakeCms

- Defined in ql/instruments/makecms.ts:228
Parameters
- dc: DayCounter
Returns MakeCms

withFloatingLegEndOfMonth

withFloatingLegEndOfMonth(flag?: boolean): MakeCms

- Defined in ql/instruments/makecms.ts:213
Parameters
- Default value flag: boolean = true
Returns MakeCms

withFloatingLegFirstDate

withFloatingLegFirstDate(d: Date): MakeCms

- Defined in ql/instruments/makecms.ts:218
Parameters
- d: Date
Returns MakeCms

withFloatingLegNextToLastDate

withFloatingLegNextToLastDate(d: Date): MakeCms

- Defined in ql/instruments/makecms.ts:223
Parameters
- d: Date
Returns MakeCms

withFloatingLegRule

withFloatingLegRule(r: Rule): MakeCms

- Defined in ql/instruments/makecms.ts:208
Parameters
- r: Rule
Returns MakeCms

withFloatingLegTenor

withFloatingLegTenor(t: Period): MakeCms

- Defined in ql/instruments/makecms.ts:187
Parameters
- t: Period
Returns MakeCms

withFloatingLegTerminationDateConvention

withFloatingLegTerminationDateConvention(bdc: BusinessDayConvention): MakeCms

- Defined in ql/instruments/makecms.ts:202
Parameters
- bdc: BusinessDayConvention
Returns MakeCms

withNominal

withNominal(n: Real): MakeCms

- Defined in ql/instruments/makecms.ts:132
Parameters
- n: Real
Returns MakeCms

Hierarchy

Implements

Index

Properties

Methods

Properties

Private _cmsCalendar

Private _cmsCap

Private _cmsConvention

Private _cmsDayCount

Private _cmsEndOfMonth

Private _cmsFirstDate

Private _cmsFloor

Private _cmsGearing

Private _cmsNextToLastDate

Private _cmsRule

Private _cmsSpread

Private _cmsTenor

Private _cmsTerminationDateConvention

Private _couponPricer

Private _effectiveDate

Private _engine

Private _floatCalendar

Private _floatConvention

Private _floatDayCount

Private _floatEndOfMonth

Private _floatFirstDate

Private _floatNextToLastDate

Private _floatRule

Private _floatTenor

Private _floatTerminationDateConvention

Private _forwardStart

Private _iborIndex

Private _iborSpread

Private _nominal

Private _payCms

Private _swapIndex

Private _swapTenor

Private _useAtmSpread

Methods

f

Returns Swap

init1

Parameters

swapTenor: Period

swapIndex: SwapIndex

iborIndex: IborIndex

Default value iborSpread: Spread = 0

Default value forwardStart: Period = new Period()

Returns MakeCms

init2

Parameters

swapTenor: Period

swapIndex: SwapIndex

Default value iborSpread: Spread = 0

Default value forwardStart: Period = new Period()

Returns MakeCms

receiveCms

Parameters

Default value flag: boolean = true

Returns MakeCms

withAtmSpread

Parameters

Default value flag: boolean = true

Returns MakeCms

withCmsCouponPricer

Parameters

couponPricer: CmsCouponPricer

Returns MakeCms

withCmsLegCalendar

Parameters

cal: Calendar

Returns MakeCms

withCmsLegConvention

Parameters

bdc: BusinessDayConvention

Returns MakeCms

withCmsLegDayCount

Parameters

dc: DayCounter