BlackStyleSwaptionEngine

Generic Black-style-formula swaption engine

This is the base class for the Black and Bachelier swaption engines

Hierarchy

engine
- BlackStyleSwaptionEngine
  - BlackSwaptionEngine
  - BachelierSwaptionEngine

Implements

Index

Enumerations

CashAnnuityModel

Constructors

constructor

Properties

Methods

Constructors

constructor

new BlackStyleSwaptionEngine(spec: Black76Spec | BachelierSpec): BlackStyleSwaptionEngine

Overrides engine.constructor
- Defined in ql/pricingengines/swaption/blackswaptionengine.ts:34
Parameters
- spec: Black76Spec | BachelierSpec
Returns BlackStyleSwaptionEngine

Properties

_arguments

_arguments: Arguments

Private _discountCurve

_discountCurve: Handle<YieldTermStructure>

_isDisposed

_isDisposed: boolean = false

Private _model

_model: CashAnnuityModel

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

_results

_results: Results

Private _vol

_vol: Handle<SwaptionVolatilityStructure>

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

spec

spec: Black76Spec | BachelierSpec

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

bsseInit1

bsseInit1(discountCurve: Handle<YieldTermStructure>, vol: Volatility, dc?: DayCounter, displacement?: Real, model?: CashAnnuityModel): BlackStyleSwaptionEngine

- Defined in ql/pricingengines/swaption/blackswaptionengine.ts:41
Parameters
- discountCurve: Handle<YieldTermStructure>
- vol: Volatility
- Default value dc: DayCounter = new Actual365Fixed()
- Default value displacement: Real = 0
- Default value model: CashAnnuityModel = BlackStyleSwaptionEngine.CashAnnuityModel.DiscountCurve
Returns BlackStyleSwaptionEngine

bsseInit2

bsseInit2(discountCurve: Handle<YieldTermStructure>, vol: Handle<Quote>, dc?: DayCounter, displacement?: Real, model?: CashAnnuityModel): BlackStyleSwaptionEngine

- Defined in ql/pricingengines/swaption/blackswaptionengine.ts:57
Parameters
- discountCurve: Handle<YieldTermStructure>
- vol: Handle<Quote>
- Default value dc: DayCounter = new Actual365Fixed()
- Default value displacement: Real = 0
- Default value model: CashAnnuityModel = BlackStyleSwaptionEngine.CashAnnuityModel.DiscountCurve
Returns BlackStyleSwaptionEngine

bsseInit3

bsseInit3(discountCurve: Handle<YieldTermStructure>, vol: Handle<SwaptionVolatilityStructure>, model?: CashAnnuityModel): BlackStyleSwaptionEngine

- Defined in ql/pricingengines/swaption/blackswaptionengine.ts:74
Parameters
- discountCurve: Handle<YieldTermStructure>
- vol: Handle<SwaptionVolatilityStructure>
- Default value model: CashAnnuityModel = BlackStyleSwaptionEngine.CashAnnuityModel.DiscountCurve
Returns BlackStyleSwaptionEngine

calculate

calculate(): void

Overrides PricingEngineObserver.calculate
- Defined in ql/pricingengines/swaption/blackswaptionengine.ts:88
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

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/swaption/blackswaptionengine.ts:188
Returns Handle<YieldTermStructure>

update

update(): void

Inherited from GenericEngine.update

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

volatility

volatility(): Handle<SwaptionVolatilityStructure>

- Defined in ql/pricingengines/swaption/blackswaptionengine.ts:191
Returns Handle<SwaptionVolatilityStructure>

Hierarchy

Implements

Index

Enumerations

Constructors

Properties

Methods

Constructors

constructor

Parameters

spec: Black76Spec | BachelierSpec

Returns BlackStyleSwaptionEngine

Properties

_arguments

Private _discountCurve

_isDisposed

Private _model

_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

spec

unregisterObserver

Type declaration

Parameters

o: Observer

Returns void

unregisterWith

Type declaration

Parameters

h: Observable

Returns Size

unregisterWithAll

Type declaration

Returns void

Methods

bsseInit1

Parameters

discountCurve: Handle<YieldTermStructure>

vol: Volatility

Default value dc: DayCounter = new Actual365Fixed()

Default value displacement: Real = 0

Default value model: CashAnnuityModel = BlackStyleSwaptionEngine.CashAnnuityModel.DiscountCurve

Returns BlackStyleSwaptionEngine

bsseInit2

Parameters

discountCurve: Handle<YieldTermStructure>

vol: Handle<Quote>

Default value dc: DayCounter = new Actual365Fixed()

Default value displacement: Real = 0

Default value model: CashAnnuityModel = BlackStyleSwaptionEngine.CashAnnuityModel.DiscountCurve

Returns BlackStyleSwaptionEngine

bsseInit3

Parameters

discountCurve: Handle<YieldTermStructure>