BlackCalibrationHelper

liquid Black76 market instrument used during calibration

Hierarchy

LazyObjectCalibrationHelperBase
- BlackCalibrationHelper

Implements

Index

Enumerations

CalibrationErrorType

Methods

Properties

_alwaysForward

_alwaysForward: boolean = false

_calculated

_calculated: boolean = false

Private _calibrationErrorType

_calibrationErrorType: CalibrationErrorType

Protected _engine

_engine: PricingEngine

_frozen

_frozen: boolean = false

_isDisposed

_isDisposed: boolean = false

Protected _marketValue

_marketValue: Real

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Protected _shift

_shift: Real

Protected _termStructure

_termStructure: Handle<YieldTermStructure>

Protected _volatility

_volatility: Handle<Quote>

Protected _volatilityType

_volatilityType: VolatilityType

alwaysForwardNotifications

alwaysForwardNotifications: () => void

Type declaration

- (): void
- Returns void

calculate

calculate: () => void

Type declaration

- (): void
- Returns void

deepUpdate

deepUpdate: () => void

Type declaration

- (): void
- Returns void

dispose

dispose: () => void

Type declaration

- (): void
- Returns void

freeze

freeze: () => void

Type declaration

- (): void
- Returns void

isDisposed

isDisposed: boolean

notifyObservers

notifyObservers: () => void

Type declaration

- (): void
- Returns void

recalculate

recalculate: () => 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

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

addTimesTo

addTimesTo(times: Time[]): void

- Defined in ql/models/calibrationhelper.ts:97
Parameters
- times: Time[]
Returns void

blackPrice

blackPrice(volatility: Volatility): Real

- Defined in ql/models/calibrationhelper.ts:112
Parameters
- volatility: Volatility
Returns Real

calibrationError

calibrationError(): Real

Overrides LazyObjectCalibrationHelperBase.calibrationError
- Defined in ql/models/calibrationhelper.ts:57
Returns Real

impliedVolatility

impliedVolatility(targetValue: Real, accuracy: Real, maxEvaluations: Size, minVol: Volatility, maxVol: Volatility): Volatility

- Defined in ql/models/calibrationhelper.ts:101
Parameters
- targetValue: Real
- accuracy: Real
- maxEvaluations: Size
- minVol: Volatility
- maxVol: Volatility
Returns Volatility

init

init(volatility: Handle<Quote>, termStructure: Handle<YieldTermStructure>, calibrationErrorType?: CalibrationErrorType, type?: VolatilityType, shift?: Real): BlackCalibrationHelper

- Defined in ql/models/calibrationhelper.ts:18
Parameters
- volatility: Handle<Quote>
- termStructure: Handle<YieldTermStructure>
- Default value calibrationErrorType: CalibrationErrorType = BlackCalibrationHelper.CalibrationErrorType.RelativePriceError
- Default value type: VolatilityType = VolatilityType.ShiftedLognormal
- Default value shift: Real = 0
Returns BlackCalibrationHelper

marketValue

marketValue(): Real

- Defined in ql/models/calibrationhelper.ts:48
Returns Real

modelValue

modelValue(): Real

- Defined in ql/models/calibrationhelper.ts:53
Returns Real

performCalculations

performCalculations(): void

Overrides LazyObjectCalibrationHelperBase.performCalculations
- Defined in ql/models/calibrationhelper.ts:36
Returns void

setPricingEngine

setPricingEngine(engine: PricingEngine): void

- Defined in ql/models/calibrationhelper.ts:116
Parameters
- engine: PricingEngine
Returns void

update

update(): void

Inherited from LazyObjectCalibrationHelperBase.update
- Defined in mixins/ql/models/lazyobjectcalibrationhelperbase.ts:24
Returns void

volatility

volatility(): Handle<Quote>

- Defined in ql/models/calibrationhelper.ts:40
Returns Handle<Quote>

volatilityType

volatilityType(): VolatilityType

- Defined in ql/models/calibrationhelper.ts:44
Returns VolatilityType

Hierarchy

Implements

Index

Enumerations

Properties

Methods

Properties

_alwaysForward

_calculated

Private _calibrationErrorType

Protected _engine

_frozen

_isDisposed

Protected _marketValue

_observables

_observers

Protected _shift

Protected _termStructure

Protected _volatility

Protected _volatilityType

alwaysForwardNotifications

Type declaration

Returns void

calculate

Type declaration

Returns void

deepUpdate

Type declaration

Returns void

dispose

Type declaration

Returns void

freeze

Type declaration

Returns void

isDisposed

notifyObservers

Type declaration

Returns void

recalculate

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

unfreeze

Type declaration

Returns void

unregisterObserver

Type declaration

Parameters

o: Observer

Returns void

unregisterWith

Type declaration

Parameters

h: Observable

Returns Size

unregisterWithAll

Type declaration

Returns void

Methods

addTimesTo

Parameters

times: Time[]

Returns void

blackPrice

Parameters