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Class RelativeDateBootstrapHelper

Bootstrap helper with date schedule relative to global evaluation date Derived classes must takes care of rebuilding the date schedule when the global evaluation date changes

Hierarchy

Implements

Index

Properties

Methods

Properties

Protected _earliestDate

_earliestDate: Date

Protected _evaluationDate

_evaluationDate: Date

_isDisposed

_isDisposed: boolean = false

Protected _latestDate

_latestDate: Date

Protected _latestRelevantDate

_latestRelevantDate: Date

Protected _maturityDate

_maturityDate: Date

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Protected _pillarDate

_pillarDate: Date

Protected _quote

_quote: Handle<Quote>

Protected _termStructure

_termStructure: Curve

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

registerWith

registerWith: (h: Observable) => void

Type declaration

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

unregisterWithAll

unregisterWithAll: () => void

Type declaration

    • (): void

    • Returns void

Methods

accept

bshInit1

bshInit2

deepUpdate

  • deepUpdate(): void

earliestDate

  • earliestDate(): Date

  • earliest relevant date

    The earliest date at which data are needed by the helper in order to provide a quote.

    Returns Date

impliedQuote

  • impliedQuote(): Real

Protected initializeDates

  • initializeDates(): void

  • Returns void

latestDate

  • latestDate(): Date

latestRelevantDate

  • latestRelevantDate(): Date

  • latest relevant date

    The latest date at which data are needed by the helper in order to provide a quote. It does not necessarily equal the maturity of the underlying instrument.

    Returns Date

maturityDate

  • maturityDate(): Date

  • instrument's maturity date

    Returns Date

pillarDate

  • pillarDate(): Date

quote

quoteError

  • quoteError(): Real

rdbshInit1

  • Parameters

    Returns void

rdbshInit2

  • rdbshInit2(quote: Real): void

  • Parameters

    Returns void

setTermStructure

  • setTermStructure(t: any): void

  • sets the term structure to be used for pricing warning Being a pointer and not a shared_ptr, the term structure is not guaranteed to remain allocated for the whole life of the rate helper. It is responsibility of the programmer to ensure that the pointer remains valid. It is advised that this method is called only inside the term structure being bootstrapped, setting the pointer to this, i.e., the term structure itself.

    Parameters

    • t: any

    Returns void

update

  • update(): void