TreeSwaptionEngine | quantlib.js

Numerical lattice engine for swaptions

warning: This engine is not guaranteed to work if the underlying swap has a start date in the past, i.e., before today's date. When using this engine, prune the initial part of the swap so that it starts at $ t \geq 0 $.
test: calculations are checked against cached results

Hierarchy

LatticeShortRateModelEngine<Arguments, Results>
- TreeSwaptionEngine

Implements

Index

Constructors

constructor

Methods

Constructors

constructor

new TreeSwaptionEngine(): TreeSwaptionEngine

- Defined in ql/pricingengines/swaption/treeswaptionengine.ts:32
Returns TreeSwaptionEngine

Properties

_arguments

_arguments: Arguments

_isDisposed

_isDisposed: boolean = false

Protected _lattice

_lattice: Lattice

_model

_model: Handle<ShortRateModel>

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

_results

_results: Results

Private _termStructure

_termStructure: Handle<YieldTermStructure>

Protected _timeGrid

_timeGrid: TimeGrid

Protected _timeSteps

_timeSteps: Size

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/swaption/treeswaptionengine.ts:81
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(model?: Handle<ShortRateModel>): GenericModelEngine<ShortRateModel, Arguments, Results>

Inherited from GenericModelEngine.init1
- Defined in ql/pricingengines/genericmodelengine.ts:20
Parameters
- Default value model: Handle<ShortRateModel> = new Handle()
Returns GenericModelEngine<ShortRateModel, Arguments, Results>

init2

init2(model: ShortRateModel): GenericModelEngine<ShortRateModel, Arguments, Results>

Inherited from GenericModelEngine.init2
- Defined in ql/pricingengines/genericmodelengine.ts:28
Parameters
- model: ShortRateModel
Returns GenericModelEngine<ShortRateModel, Arguments, Results>

lsrmeInit1

lsrmeInit1(model: ShortRateModel, timeSteps: Size): LatticeShortRateModelEngine<Arguments, Results>

Inherited from LatticeShortRateModelEngine.lsrmeInit1
- Defined in ql/pricingengines/latticeshortratemodelengine.ts:25
Parameters
- model: ShortRateModel
- timeSteps: Size
Returns LatticeShortRateModelEngine<Arguments, Results>

lsrmeInit2

lsrmeInit2(model: Handle<ShortRateModel>, timeSteps: Size): LatticeShortRateModelEngine<Arguments, Results>

Inherited from LatticeShortRateModelEngine.lsrmeInit2
- Defined in ql/pricingengines/latticeshortratemodelengine.ts:36
Parameters
- model: Handle<ShortRateModel>
- timeSteps: Size
Returns LatticeShortRateModelEngine<Arguments, Results>

lsrmeInit3

lsrmeInit3(model: ShortRateModel, timeGrid: TimeGrid): LatticeShortRateModelEngine<Arguments, Results>

Inherited from LatticeShortRateModelEngine.lsrmeInit3
- Defined in ql/pricingengines/latticeshortratemodelengine.ts:47
Parameters
- model: ShortRateModel
- timeGrid: TimeGrid
Returns LatticeShortRateModelEngine<Arguments, Results>

reset

reset(): void

Inherited from GenericEngine.reset

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

tseInit1

tseInit1(model: ShortRateModel, timeSteps: Size, termStructure?: Handle<YieldTermStructure>): TreeSwaptionEngine

- Defined in ql/pricingengines/swaption/treeswaptionengine.ts:40
Parameters
- model: ShortRateModel
- timeSteps: Size
- Default value termStructure: Handle<YieldTermStructure> = new Handle(new YieldTermStructure())
Returns TreeSwaptionEngine

tseInit2

tseInit2(model: ShortRateModel, timeGrid: TimeGrid, termStructure?: Handle<YieldTermStructure>): TreeSwaptionEngine

- Defined in ql/pricingengines/swaption/treeswaptionengine.ts:54
Parameters
- model: ShortRateModel
- timeGrid: TimeGrid
- Default value termStructure: Handle<YieldTermStructure> = new Handle(new YieldTermStructure())
Returns TreeSwaptionEngine

tseInit3

tseInit3(model: Handle<ShortRateModel>, timeSteps: Size, termStructure?: Handle<YieldTermStructure>): TreeSwaptionEngine

- Defined in ql/pricingengines/swaption/treeswaptionengine.ts:68
Parameters
- model: Handle<ShortRateModel>
- timeSteps: Size
- Default value termStructure: Handle<YieldTermStructure> = new Handle(new YieldTermStructure())
Returns TreeSwaptionEngine

update

update(): void

Inherited from LatticeShortRateModelEngine.update

Overrides GenericEngine.update
- Defined in ql/pricingengines/latticeshortratemodelengine.ts:57
Returns void

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Returns TreeSwaptionEngine

Properties

_arguments

_isDisposed

Protected _lattice

_model

_observables

_observers

_results

Private _termStructure

Protected _timeGrid

Protected _timeSteps

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

Default value model: Handle<ShortRateModel> = new Handle()

Returns GenericModelEngine<ShortRateModel, Arguments, Results>

init2

Parameters

model: ShortRateModel

Returns GenericModelEngine<ShortRateModel, Arguments, Results>

lsrmeInit1

Parameters

model: ShortRateModel

timeSteps: Size

Returns LatticeShortRateModelEngine<Arguments, Results>

lsrmeInit2

Parameters