CapHelper | quantlib.js

calibration helper for ATM cap

Hierarchy

BlackCalibrationHelper
- CapHelper

Implements

Index

Enumerations

CalibrationErrorType

Constructors

constructor

Methods

Constructors

constructor

new CapHelper(length: Period, volatility: Handle<Quote>, index: IborIndex, fixedLegFrequency: Frequency, fixedLegDayCounter: DayCounter, includeFirstSwaplet: boolean, termStructure: Handle<YieldTermStructure>, errorType?: CalibrationErrorType): CapHelper

- Defined in ql/models/shortrate/calibrationhelpers/caphelper.ts:32
Parameters
- length: Period
- volatility: Handle<Quote>
- index: IborIndex
- fixedLegFrequency: Frequency
- fixedLegDayCounter: DayCounter
- includeFirstSwaplet: boolean
- termStructure: Handle<YieldTermStructure>
- Default value errorType: CalibrationErrorType = BlackCalibrationHelper.CalibrationErrorType.RelativePriceError
Returns CapHelper

Properties

_alwaysForward

_alwaysForward: boolean = false

_calculated

_calculated: boolean = false

Private _cap

_cap: Cap

Protected _engine

_engine: PricingEngine

Private _fixedLegDayCounter

_fixedLegDayCounter: DayCounter

Private _fixedLegFrequency

_fixedLegFrequency: Frequency

_frozen

_frozen: boolean = false

Private _includeFirstSwaplet

_includeFirstSwaplet: boolean

Private _index

_index: IborIndex

_isDisposed

_isDisposed: boolean = false

Private _length

_length: Period

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

Overrides BlackCalibrationHelper.addTimesTo
- Defined in ql/models/shortrate/calibrationhelpers/caphelper.ts:50
Parameters
- times: Time[]
Returns void

blackPrice

blackPrice(sigma: Volatility): Real

Overrides BlackCalibrationHelper.blackPrice
- Defined in ql/models/shortrate/calibrationhelpers/caphelper.ts:68
Parameters
- sigma: Volatility
Returns Real

calibrationError

calibrationError(): Real

Inherited from BlackCalibrationHelper.calibrationError

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

Inherited from BlackCalibrationHelper.impliedVolatility
- 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

Inherited from BlackCalibrationHelper.init
- 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

Inherited from BlackCalibrationHelper.marketValue
- Defined in ql/models/calibrationhelper.ts:48
Returns Real

modelValue

modelValue(): Real

Overrides BlackCalibrationHelper.modelValue
- Defined in ql/models/shortrate/calibrationhelpers/caphelper.ts:62
Returns Real

performCalculations

performCalculations(): void

Overrides BlackCalibrationHelper.performCalculations
- Defined in ql/models/shortrate/calibrationhelpers/caphelper.ts:79
Returns void

setPricingEngine

setPricingEngine(engine: PricingEngine): void

Inherited from BlackCalibrationHelper.setPricingEngine
- 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>

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

volatilityType

volatilityType(): VolatilityType

Inherited from BlackCalibrationHelper.volatilityType
- Defined in ql/models/calibrationhelper.ts:44
Returns VolatilityType

Hierarchy

Implements

Index

Enumerations

Constructors

Properties

Methods

Constructors

constructor

Parameters

length: Period

volatility: Handle<Quote>

index: IborIndex

fixedLegFrequency: Frequency

fixedLegDayCounter: DayCounter

includeFirstSwaplet: boolean

termStructure: Handle<YieldTermStructure>

Default value errorType: CalibrationErrorType = BlackCalibrationHelper.CalibrationErrorType.RelativePriceError

Returns CapHelper

Properties

_alwaysForward

_calculated

Private _cap

Protected _engine

Private _fixedLegDayCounter

Private _fixedLegFrequency

_frozen

Private _includeFirstSwaplet

Private _index

_isDisposed

Private _length

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