BlackSwaptionEngine | quantlib.js

Shifted Lognormal Black-formula swaption engine

warning The engine assumes that the exercise date lies before the start date of the passed swap.

Hierarchy

BlackStyleSwaptionEngine
- BlackSwaptionEngine

Implements

Index

Enumerations

CashAnnuityModel

Constructors

constructor

Properties

Methods

Constructors

constructor

new BlackSwaptionEngine(): BlackSwaptionEngine

Overrides BlackStyleSwaptionEngine.constructor
- Defined in ql/pricingengines/swaption/blackswaptionengine.ts:251
Returns BlackSwaptionEngine

Properties

_arguments

_arguments: Arguments

_isDisposed

_isDisposed: boolean = false

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

_results

_results: Results

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

bseInit1

bseInit1(discountCurve: Handle<YieldTermStructure>, vol: Volatility, dc?: DayCounter, displacement?: Real, model?: CashAnnuityModel): BlackSwaptionEngine

- Defined in ql/pricingengines/swaption/blackswaptionengine.ts:257
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 BlackSwaptionEngine

bseInit2

bseInit2(discountCurve: Handle<YieldTermStructure>, vol: Handle<Quote>, dc?: DayCounter, displacement?: Real, model?: CashAnnuityModel): BlackSwaptionEngine

- Defined in ql/pricingengines/swaption/blackswaptionengine.ts:268
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 BlackSwaptionEngine

bseInit3

bseInit3(discountCurve: Handle<YieldTermStructure>, vol: Handle<SwaptionVolatilityStructure>, model?: CashAnnuityModel): BlackSwaptionEngine

- Defined in ql/pricingengines/swaption/blackswaptionengine.ts:279
Parameters
- discountCurve: Handle<YieldTermStructure>
- vol: Handle<SwaptionVolatilityStructure>
- Default value model: CashAnnuityModel = BlackStyleSwaptionEngine.CashAnnuityModel.DiscountCurve
Returns BlackSwaptionEngine

bsseInit1

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

Inherited from BlackStyleSwaptionEngine.bsseInit1
- 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

Inherited from BlackStyleSwaptionEngine.bsseInit2
- 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

Inherited from BlackStyleSwaptionEngine.bsseInit3
- 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

Inherited from BlackStyleSwaptionEngine.calculate

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>

Inherited from BlackStyleSwaptionEngine.termStructure
- 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>

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

Hierarchy

Implements

Index

Enumerations

Constructors

Properties

Methods

Constructors

constructor

Returns BlackSwaptionEngine

Properties

_arguments

_isDisposed

_observables

_observers

_results

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

bseInit1

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 BlackSwaptionEngine

bseInit2

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 BlackSwaptionEngine

bseInit3

Parameters

discountCurve: Handle<YieldTermStructure>

vol: Handle<SwaptionVolatilityStructure>

Default value model: CashAnnuityModel = BlackStyleSwaptionEngine.CashAnnuityModel.DiscountCurve

Returns BlackSwaptionEngine

bsseInit1

Parameters