PiecewiseYoYInflationCurve

Hierarchy

YoYInflationTermStructureInterpolatedCurveLazyObject
- PiecewiseYoYInflationCurve

Implements

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new PiecewiseYoYInflationCurve(interpolator: Interpolator, traits?: Traits, bootstrap?: IterativeBootstrap | LocalBootstrap): PiecewiseYoYInflationCurve

- Defined in ql/termstructures/inflation/piecewiseyoyinflationcurve.ts:25
Parameters
- interpolator: Interpolator
- Default value traits: Traits = new YoYInflationTraits()
- Default value bootstrap: IterativeBootstrap | LocalBootstrap = new IterativeBootstrap(traits, interpolator)
Returns PiecewiseYoYInflationCurve

Properties

_accuracy

_accuracy: Real

_alwaysForward

_alwaysForward: boolean = false

_baseRate

_baseRate: Rate

_base_curve

_base_curve: InflationCurve

_bootstrap

_bootstrap: IterativeBootstrap | LocalBootstrap

_calculated

_calculated: boolean = false

_calendar

_calendar: Calendar

_data

_data: Real[]

_dayCounter

_dayCounter: DayCounter

_extrapolate

_extrapolate: boolean

_frequency

_frequency: Frequency

_frozen

_frozen: boolean = false

_indexIsInterpolated

_indexIsInterpolated: boolean

_instruments

_instruments: BootstrapHelper[]

_interpolation

_interpolation: Interpolation

_interpolator

_interpolator: Interpolator

_isDisposed

_isDisposed: boolean = false

_maxDate

_maxDate: Date

_moving

_moving: boolean

_nominalTermStructure

_nominalTermStructure: Handle<YieldTermStructure>

_observables

_observables: Set<Observable> = new Set()

_observationLag

_observationLag: Period

_observers

_observers: Set<Observer> = new Set()

_referenceDate

_referenceDate: Date

_seasonality

_seasonality: Seasonality

_settlementDays

_settlementDays: Natural

_times

_times: Time[]

_traits

_traits: Traits

_updated

_updated: boolean

allowsExtrapolation

allowsExtrapolation: () => boolean

Type declaration

- (): boolean
- Returns boolean

alwaysForwardNotifications

alwaysForwardNotifications: () => void

Type declaration

- (): void
- Returns void

baseRate

baseRate: () => Rate

Type declaration

- (): Rate
- Returns Rate

calculate

calculate: () => void

Type declaration

- (): void
- Returns void

calendar

calendar: () => Calendar

Type declaration

- (): Calendar
- Returns Calendar

checkRange1

checkRange1: (d: Date, extrapolate: boolean) => void

Type declaration

- (d: Date, extrapolate: boolean): void
- Parameters
  - d: Date
  - extrapolate: boolean
  Returns void

checkRange2

checkRange2: (t: Time, extrapolate: boolean) => void

Type declaration

- (t: Time, extrapolate: boolean): void
- Parameters
  - t: Time
  - extrapolate: boolean
  Returns void

curveInit1

curveInit1: (referenceDate: Date, calendar: Calendar, dayCounter: DayCounter, lag: Period, frequency: Frequency, indexIsInterpolated: boolean, yTS: Handle<YieldTermStructure>, dates: Date[], rates: Rate[], interpolator?: Interpolator) => InflationCurve

Type declaration

- (referenceDate: Date, calendar: Calendar, dayCounter: DayCounter, lag: Period, frequency: Frequency, indexIsInterpolated: boolean, yTS: Handle<YieldTermStructure>, dates: Date[], rates: Rate[], interpolator?: Interpolator): InflationCurve
- Parameters
  - referenceDate: Date
  - calendar: Calendar
  - dayCounter: DayCounter
  - lag: Period
  - frequency: Frequency
  - indexIsInterpolated: boolean
  - yTS: Handle<YieldTermStructure>
  - dates: Date[]
  - rates: Rate[]
  - Optional interpolator: Interpolator
  Returns InflationCurve

curveInit2

curveInit2: (referenceDate: Date, calendar: Calendar, dayCounter: DayCounter, baseRate: Rate, lag: Period, frequency: Frequency, indexIsInterpolated: boolean, yTS: Handle<YieldTermStructure>, interpolator?: Interpolator) => InflationCurve

Type declaration

- (referenceDate: Date, calendar: Calendar, dayCounter: DayCounter, baseRate: Rate, lag: Period, frequency: Frequency, indexIsInterpolated: boolean, yTS: Handle<YieldTermStructure>, interpolator?: Interpolator): InflationCurve
- Parameters
  - referenceDate: Date
  - calendar: Calendar
  - dayCounter: DayCounter
  - baseRate: Rate
  - lag: Period
  - frequency: Frequency
  - indexIsInterpolated: boolean
  - yTS: Handle<YieldTermStructure>
  - Optional interpolator: Interpolator
  Returns InflationCurve

dayCounter

dayCounter: () => DayCounter

Type declaration

- (): DayCounter
- Returns DayCounter

deepUpdate

deepUpdate: () => void

Type declaration

- (): void
- Returns void

disableExtrapolation

disableExtrapolation: (b: boolean) => void

Type declaration

- (b: boolean): void
- Parameters
  - b: boolean
  Returns void

dispose

dispose: () => void

Type declaration

- (): void
- Returns void

enableExtrapolation

enableExtrapolation: (b: boolean) => void

Type declaration

- (b: boolean): void
- Parameters
  - b: boolean
  Returns void

freeze

freeze: () => void

Type declaration

- (): void
- Returns void

frequency

frequency: () => Frequency

Type declaration

- (): Frequency
- Returns Frequency

hasSeasonality

hasSeasonality: () => boolean

Type declaration

- (): boolean
- Returns boolean

icInit1

icInit1: (times: Time[], data: Real[], i: Interpolator) => InterpolatedCurve

Type declaration

- (times: Time[], data: Real[], i: Interpolator): InterpolatedCurve
- Parameters
  - times: Time[]
  - data: Real[]
  - i: Interpolator
  Returns InterpolatedCurve

indexIsInterpolated

indexIsInterpolated: () => boolean

Type declaration

- (): boolean
- Returns boolean

isDisposed

isDisposed: boolean

itsInit1

itsInit1: (baseRate: Rate, observationLag: Period, frequency: Frequency, indexIsInterpolated: boolean, yTS: Handle<YieldTermStructure>, dayCounter?: DayCounter, seasonality?: Seasonality) => InflationTermStructure

Type declaration

- (baseRate: Rate, observationLag: Period, frequency: Frequency, indexIsInterpolated: boolean, yTS: Handle<YieldTermStructure>, dayCounter?: DayCounter, seasonality?: Seasonality): InflationTermStructure
- Parameters
  - baseRate: Rate
  - observationLag: Period
  - frequency: Frequency
  - indexIsInterpolated: boolean
  - yTS: Handle<YieldTermStructure>
  - Optional dayCounter: DayCounter
  - Optional seasonality: Seasonality
  Returns InflationTermStructure

itsInit2

itsInit2: (referenceDate: Date, baseRate: Rate, observationLag: Period, frequency: Frequency, indexIsInterpolated: boolean, yTS: Handle<YieldTermStructure>, calendar?: Calendar, dayCounter?: DayCounter, seasonality?: Seasonality) => InflationTermStructure

Type declaration

- (referenceDate: Date, baseRate: Rate, observationLag: Period, frequency: Frequency, indexIsInterpolated: boolean, yTS: Handle<YieldTermStructure>, calendar?: Calendar, dayCounter?: DayCounter, seasonality?: Seasonality): InflationTermStructure
- Parameters
  - referenceDate: Date
  - baseRate: Rate
  - observationLag: Period
  - frequency: Frequency
  - indexIsInterpolated: boolean
  - yTS: Handle<YieldTermStructure>
  - Optional calendar: Calendar
  - Optional dayCounter: DayCounter
  - Optional seasonality: Seasonality
  Returns InflationTermStructure

itsInit3

itsInit3: (settlementDays: Natural, calendar: Calendar, baseRate: Rate, observationLag: Period, frequency: Frequency, indexIsInterpolated: boolean, yTS: Handle<YieldTermStructure>, dayCounter?: DayCounter, seasonality?: Seasonality) => InflationTermStructure

Type declaration

- (settlementDays: Natural, calendar: Calendar, baseRate: Rate, observationLag: Period, frequency: Frequency, indexIsInterpolated: boolean, yTS: Handle<YieldTermStructure>, dayCounter?: DayCounter, seasonality?: Seasonality): InflationTermStructure
- Parameters
  - settlementDays: Natural
  - calendar: Calendar
  - baseRate: Rate
  - observationLag: Period
  - frequency: Frequency
  - indexIsInterpolated: boolean
  - yTS: Handle<YieldTermStructure>
  - Optional dayCounter: DayCounter
  - Optional seasonality: Seasonality
  Returns InflationTermStructure

maxTime

maxTime: () => Time

Type declaration

- (): Time
- Returns Time

nominalTermStructure

nominalTermStructure: () => Handle<YieldTermStructure>

Type declaration

- (): Handle<YieldTermStructure>
- Returns Handle<YieldTermStructure>

notifyObservers

notifyObservers: () => void

Type declaration

- (): void
- Returns void

observationLag

observationLag: () => Period

Type declaration

- (): Period
- Returns Period

recalculate

recalculate: () => void

Type declaration

- (): void
- Returns void

referenceDate

referenceDate: () => Date

Type declaration

- (): Date
- Returns Date

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

seasonality

seasonality: () => Seasonality

Type declaration

- (): Seasonality
- Returns Seasonality

setBaseRate

setBaseRate: (r: Rate) => void

Type declaration

- (r: Rate): void
- Parameters
  - r: Rate
  Returns void

setSeasonality

setSeasonality: (seasonality?: Seasonality) => void

Type declaration

- (seasonality?: Seasonality): void
- Parameters
  - Optional seasonality: Seasonality
  Returns void

settlementDays

settlementDays: () => Natural

Type declaration

- (): Natural
- Returns Natural

setupInterpolation

setupInterpolation: () => void

Type declaration

- (): void
- Returns void

timeFromReference

timeFromReference: (date: Date) => Time

Type declaration

- (date: Date): Time
- Parameters
  - date: Date
  Returns Time

tsInit1

tsInit1: (dc: DayCounter) => TermStructure

Type declaration

- (dc: DayCounter): TermStructure
- Parameters
  - dc: DayCounter
  Returns TermStructure

tsInit2

tsInit2: (referenceDate: Date, calendar: Calendar, dc: DayCounter) => TermStructure

Type declaration

- (referenceDate: Date, calendar: Calendar, dc: DayCounter): TermStructure
- Parameters
  - referenceDate: Date
  - calendar: Calendar
  - dc: DayCounter
  Returns TermStructure

tsInit3

tsInit3: (settlementDays: Natural, calendar: Calendar, dc: DayCounter) => TermStructure

Type declaration

- (settlementDays: Natural, calendar: Calendar, dc: DayCounter): TermStructure
- Parameters
  - settlementDays: Natural
  - calendar: Calendar
  - dc: DayCounter
  Returns TermStructure

unfreeze

unfreeze: () => void

Type declaration

- (): void
- 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

yoyRate1

yoyRate1: (d: Date, instObsLag?: Period, forceLinearInterpolation?: boolean, extrapolate?: boolean) => Rate

Type declaration

- (d: Date, instObsLag?: Period, forceLinearInterpolation?: boolean, extrapolate?: boolean): Rate
- Parameters
  - d: Date
  - Optional instObsLag: Period
  - Optional forceLinearInterpolation: boolean
  - Optional extrapolate: boolean
  Returns Rate

yoyRate2

yoyRate2: (t: Time, extrapolate?: boolean) => Rate

Type declaration

- (t: Time, extrapolate?: boolean): Rate
- Parameters
  - t: Time
  - Optional extrapolate: boolean
  Returns Rate

yoyRateImpl

yoyRateImpl: (t: Time) => Rate

Type declaration

- (t: Time): Rate
- Parameters
  - t: Time
  Returns Rate

yoyitsInit1

yoyitsInit1: (dayCounter: DayCounter, baseYoYRate: Rate, lag: Period, frequency: Frequency, indexIsInterpolated: boolean, yieldTS: Handle<YieldTermStructure>, seasonality: Seasonality) => YoYInflationTermStructure

Type declaration

- (dayCounter: DayCounter, baseYoYRate: Rate, lag: Period, frequency: Frequency, indexIsInterpolated: boolean, yieldTS: Handle<YieldTermStructure>, seasonality: Seasonality): YoYInflationTermStructure
- Parameters
  - dayCounter: DayCounter
  - baseYoYRate: Rate
  - lag: Period
  - frequency: Frequency
  - indexIsInterpolated: boolean
  - yieldTS: Handle<YieldTermStructure>
  - seasonality: Seasonality
  Returns YoYInflationTermStructure

yoyitsInit2

yoyitsInit2: (referenceDate: Date, calendar: Calendar, dayCounter: DayCounter, baseZeroRate: Rate, lag: Period, frequency: Frequency, indexIsInterpolated: boolean, yTS: Handle<YieldTermStructure>, seasonality?: Seasonality) => YoYInflationTermStructure

Type declaration

- (referenceDate: Date, calendar: Calendar, dayCounter: DayCounter, baseZeroRate: Rate, lag: Period, frequency: Frequency, indexIsInterpolated: boolean, yTS: Handle<YieldTermStructure>, seasonality?: Seasonality): YoYInflationTermStructure
- Parameters
  - referenceDate: Date
  - calendar: Calendar
  - dayCounter: DayCounter
  - baseZeroRate: Rate
  - lag: Period
  - frequency: Frequency
  - indexIsInterpolated: boolean
  - yTS: Handle<YieldTermStructure>
  - Optional seasonality: Seasonality
  Returns YoYInflationTermStructure

yoyitsInit3

yoyitsInit3: (settlementDays: Natural, calendar: Calendar, dayCounter: DayCounter, baseZeroRate: Rate, lag: Period, frequency: Frequency, indexIsInterpolated: boolean, yTS: Handle<YieldTermStructure>, seasonality?: Seasonality) => YoYInflationTermStructure

Type declaration

- (settlementDays: Natural, calendar: Calendar, dayCounter: DayCounter, baseZeroRate: Rate, lag: Period, frequency: Frequency, indexIsInterpolated: boolean, yTS: Handle<YieldTermStructure>, seasonality?: Seasonality): YoYInflationTermStructure
- Parameters
  - settlementDays: Natural
  - calendar: Calendar
  - dayCounter: DayCounter
  - baseZeroRate: Rate
  - lag: Period
  - frequency: Frequency
  - indexIsInterpolated: boolean
  - yTS: Handle<YieldTermStructure>
  - Optional seasonality: Seasonality
  Returns YoYInflationTermStructure

Methods

baseDate

baseDate(): Date

Implementation of InflationCurve.baseDate

Overrides YoYInflationTermStructureInterpolatedCurveLazyObject.baseDate
- Defined in ql/termstructures/inflation/piecewiseyoyinflationcurve.ts:53
Returns Date

data

data(): Real[]

Implementation of InflationCurve.data
- Defined in ql/termstructures/inflation/piecewiseyoyinflationcurve.ts:73
Returns Real[]

dates

dates(): Date[]

Implementation of InflationCurve.dates
- Defined in ql/termstructures/inflation/piecewiseyoyinflationcurve.ts:68
Returns Date[]

maxDate

maxDate(): Date

Implementation of InflationCurve.maxDate

Overrides YoYInflationTermStructureInterpolatedCurveLazyObject.maxDate
- Defined in ql/termstructures/inflation/piecewiseyoyinflationcurve.ts:58
Returns Date

nodes

nodes(): Array<[Date, Real]>

Implementation of InflationCurve.nodes
- Defined in ql/termstructures/inflation/piecewiseyoyinflationcurve.ts:78
Returns Array<[Date, Real]>

performCalculations

performCalculations(): void

Overrides YoYInflationTermStructureInterpolatedCurveLazyObject.performCalculations
- Defined in ql/termstructures/inflation/piecewiseyoyinflationcurve.ts:88
Returns void

pwyoyicInit

pwyoyicInit(referenceDate: Date, calendar: Calendar, dayCounter: DayCounter, lag: Period, frequency: Frequency, indexIsInterpolated: boolean, baseYoYRate: Rate, nominalTS: Handle<YieldTermStructure>, instruments: BootstrapHelper[], accuracy?: Real): PiecewiseYoYInflationCurve

- Defined in ql/termstructures/inflation/piecewiseyoyinflationcurve.ts:38
Parameters
- referenceDate: Date
- calendar: Calendar
- dayCounter: DayCounter
- lag: Period
- frequency: Frequency
- indexIsInterpolated: boolean
- baseYoYRate: Rate
- nominalTS: Handle<YieldTermStructure>
- instruments: BootstrapHelper[]
- Default value accuracy: Real = 1e-12
Returns PiecewiseYoYInflationCurve

times

times(): Time[]

Implementation of InflationCurve.times
- Defined in ql/termstructures/inflation/piecewiseyoyinflationcurve.ts:63
Returns Time[]

update

update(): void

Implementation of InflationCurve.update

Overrides YoYInflationTermStructureInterpolatedCurveLazyObject.update
- Defined in ql/termstructures/inflation/piecewiseyoyinflationcurve.ts:83
Returns void

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Parameters

interpolator: Interpolator

Default value traits: Traits = new YoYInflationTraits()

Default value bootstrap: IterativeBootstrap | LocalBootstrap = new IterativeBootstrap(traits, interpolator)

Returns PiecewiseYoYInflationCurve

Properties

_accuracy

_alwaysForward

_baseRate

_base_curve

_bootstrap

_calculated

_calendar

_data

_dayCounter

_extrapolate

_frequency

_frozen

_indexIsInterpolated

_instruments

_interpolation

_interpolator

_isDisposed

_maxDate

_moving

_nominalTermStructure

_observables

_observationLag

_observers

_referenceDate

_seasonality

_settlementDays

_times

_traits

_updated

allowsExtrapolation

Type declaration

Returns boolean

alwaysForwardNotifications

Type declaration

Returns void

baseRate

Type declaration

Returns Rate

calculate

Type declaration

Returns void

calendar

Type declaration

Returns Calendar

checkRange1

Type declaration

Parameters

d: Date

extrapolate: boolean

Returns void

checkRange2

Type declaration

Parameters

t: Time

extrapolate: boolean

Returns void

curveInit1

Type declaration

Parameters

referenceDate: Date

calendar: Calendar

dayCounter: DayCounter

lag: Period

frequency: Frequency

indexIsInterpolated: boolean

yTS: Handle<YieldTermStructure>