BachelierCapFloorEngine

Bachelier-Black-formula cap/floor engine

Hierarchy

engine
- BachelierCapFloorEngine

Implements

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new BachelierCapFloorEngine(): BachelierCapFloorEngine

Inherited from engine.constructor
- Defined in ql/instruments/capfloorengine.ts:85
Returns BachelierCapFloorEngine

Properties

_arguments

_arguments: Arguments

Private _discountCurve

_discountCurve: Handle<YieldTermStructure>

_isDisposed

_isDisposed: boolean = false

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

_results

_results: Results

Private _vol

_vol: Handle<OptionletVolatilityStructure>

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

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

calculate

calculate(): void

Overrides PricingEngineObserver.calculate
- Defined in ql/pricingengines/capfloor/bacheliercapfloorengine.ts:66
Returns void

getArguments

getArguments(): Arguments

Inherited from GenericEngine.getArguments

Overrides PricingEngineObserver.getArguments
- Defined in ql/genericengine.ts:17
Returns Arguments

getResults

getResults(): Results

Inherited from GenericEngine.getResults

Overrides PricingEngineObserver.getResults
- Defined in ql/genericengine.ts:21
Returns Results

init1

init1(discountCurve: Handle<YieldTermStructure>, vol: Volatility, dc?: DayCounter): BachelierCapFloorEngine

- Defined in ql/pricingengines/capfloor/bacheliercapfloorengine.ts:27
Parameters
- discountCurve: Handle<YieldTermStructure>
- vol: Volatility
- Default value dc: DayCounter = new Actual365Fixed()
Returns BachelierCapFloorEngine

init2

init2(discountCurve: Handle<YieldTermStructure>, vol: Handle<Quote>, dc?: DayCounter): BachelierCapFloorEngine

- Defined in ql/pricingengines/capfloor/bacheliercapfloorengine.ts:38
Parameters
- discountCurve: Handle<YieldTermStructure>
- vol: Handle<Quote>
- Default value dc: DayCounter = new Actual365Fixed()
Returns BachelierCapFloorEngine

init3

init3(discountCurve: Handle<YieldTermStructure>, vol: Handle<OptionletVolatilityStructure>): BachelierCapFloorEngine

- Defined in ql/pricingengines/capfloor/bacheliercapfloorengine.ts:50
Parameters
- discountCurve: Handle<YieldTermStructure>
- vol: Handle<OptionletVolatilityStructure>
Returns BachelierCapFloorEngine

reset

reset(): void

Inherited from GenericEngine.reset

Overrides PricingEngineObserver.reset
- Defined in ql/genericengine.ts:25
Returns void

termStructure

termStructure(): Handle<YieldTermStructure>

- Defined in ql/pricingengines/capfloor/bacheliercapfloorengine.ts:147
Returns Handle<YieldTermStructure>

update

update(): void

Inherited from GenericEngine.update

Overrides PricingEngineObserver.update
- Defined in ql/genericengine.ts:29
Returns void

volatility

volatility(): Handle<OptionletVolatilityStructure>

- Defined in ql/pricingengines/capfloor/bacheliercapfloorengine.ts:150
Returns Handle<OptionletVolatilityStructure>

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Returns BachelierCapFloorEngine

Properties

_arguments

Private _discountCurve

_isDisposed

_observables

_observers

_results

Private _vol

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

unregisterObserver

Type declaration

Parameters

o: Observer

Returns void

unregisterWith

Type declaration

Parameters

h: Observable

Returns Size

unregisterWithAll

Type declaration

Returns void

Methods

calculate

Returns void

getArguments

Returns Arguments

getResults

Returns Results

init1

Parameters

discountCurve: Handle<YieldTermStructure>

vol: Volatility

Default value dc: DayCounter = new Actual365Fixed()

Returns BachelierCapFloorEngine

init2

Parameters

discountCurve: Handle<YieldTermStructure>

vol: Handle<Quote>

Default value dc: DayCounter = new Actual365Fixed()

Returns BachelierCapFloorEngine

init3

Parameters

discountCurve: Handle<YieldTermStructure>

vol: Handle<OptionletVolatilityStructure>

Returns BachelierCapFloorEngine

reset