CapFloorTermVolSurface

Cap/floor smile volatility surface

This class provides the volatility for a given cap/floor interpolating a volatility surface whose elements are the market term volatilities of a set of caps/floors with given length and given strike.

Hierarchy

CapFloorTermVolatilityStructureLazyObject
- CapFloorTermVolSurface

Implements

Index

Properties

Methods

Properties

_alwaysForward

_alwaysForward: boolean = false

_bdc

_bdc: BusinessDayConvention

_calculated

_calculated: boolean = false

_calendar

_calendar: Calendar

_dayCounter

_dayCounter: DayCounter

Private _evaluationDate

_evaluationDate: Date

_extrapolate

_extrapolate: boolean

_frozen

_frozen: boolean = false

Private _interpolation

_interpolation: Interpolation2D

_isDisposed

_isDisposed: boolean = false

_moving

_moving: boolean

Private _nOptionTenors

_nOptionTenors: Size

Private _nStrikes

_nStrikes: Size

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Private _optionDates

_optionDates: Date[]

Private _optionTenors

_optionTenors: Period[]

Private _optionTimes

_optionTimes: Time[]

_referenceDate

_referenceDate: Date

_settlementDays

_settlementDays: Natural

Private _strikes

_strikes: Rate[]

_updated

_updated: boolean

Private _volHandles

_volHandles: Array<Array<Handle<Quote>>>

Private _vols

_vols: Matrix

allowsExtrapolation

allowsExtrapolation: () => boolean

Type declaration

- (): boolean
- Returns boolean

alwaysForwardNotifications

alwaysForwardNotifications: () => void

Type declaration

- (): void
- Returns void

businessDayConvention

businessDayConvention: () => BusinessDayConvention

Type declaration

- (): BusinessDayConvention
- Returns BusinessDayConvention

calculate

calculate: () => void

Type declaration

- (): void
- Returns void

calendar

calendar: () => 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

checkStrike

checkStrike: (k: Rate, extrapolate: boolean) => void

Type declaration

- (k: Rate, extrapolate: boolean): void
- Parameters
  - k: Rate
  - extrapolate: boolean
  Returns void

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

isDisposed

isDisposed: boolean

maxTime

maxTime: () => Time

Type declaration

- (): Time
- Returns Time

notifyObservers

notifyObservers: () => void

Type declaration

- (): void
- Returns void

optionDateFromTenor

optionDateFromTenor: (p: Period) => Date

Type declaration

- (p: Period): Date
- Parameters
  - p: Period
  Returns Date

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

settlementDays

settlementDays: () => Natural

Type declaration

- (): Natural
- Returns Natural

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

volatility1

volatility1: (optT: Period, strike: Rate, extrap?: boolean) => Volatility

Type declaration

- (optT: Period, strike: Rate, extrap?: boolean): Volatility
- Parameters
  - optT: Period
  - strike: Rate
  - Optional extrap: boolean
  Returns Volatility

volatility2

volatility2: (d: Date, strike: Rate, extrap?: boolean) => Volatility

Type declaration

- (d: Date, strike: Rate, extrap?: boolean): Volatility
- Parameters
  - d: Date
  - strike: Rate
  - Optional extrap: boolean
  Returns Volatility

volatility3

volatility3: (t: Time, strike: Rate, extrap?: boolean) => Volatility

Type declaration

- (t: Time, strike: Rate, extrap?: boolean): Volatility
- Parameters
  - t: Time
  - strike: Rate
  - Optional extrap: boolean
  Returns Volatility

vtsInit1

vtsInit1: (bdc: BusinessDayConvention, dc?: DayCounter) => VolatilityTermStructure

Type declaration

- (bdc: BusinessDayConvention, dc?: DayCounter): VolatilityTermStructure
- Parameters
  - bdc: BusinessDayConvention
  - Optional dc: DayCounter
  Returns VolatilityTermStructure

vtsInit2

vtsInit2: (referenceDate: Date, cal: Calendar, bdc: BusinessDayConvention, dc?: DayCounter) => VolatilityTermStructure

Type declaration

- (referenceDate: Date, cal: Calendar, bdc: BusinessDayConvention, dc?: DayCounter): VolatilityTermStructure
- Parameters
  - referenceDate: Date
  - cal: Calendar
  - bdc: BusinessDayConvention
  - Optional dc: DayCounter
  Returns VolatilityTermStructure

vtsInit3

vtsInit3: (settlementDays: Natural, cal: Calendar, bdc: BusinessDayConvention, dc?: DayCounter) => VolatilityTermStructure

Type declaration

- (settlementDays: Natural, cal: Calendar, bdc: BusinessDayConvention, dc?: DayCounter): VolatilityTermStructure
- Parameters
  - settlementDays: Natural
  - cal: Calendar
  - bdc: BusinessDayConvention
  - Optional dc: DayCounter
  Returns VolatilityTermStructure

Methods

cftvsInit4

cftvsInit4(settlementDays: Natural, calendar: Calendar, bdc: BusinessDayConvention, optionTenors: Period[], strikes: Rate[], vols: Matrix, dc?: DayCounter): CapFloorTermVolSurface

- Defined in ql/termstructures/volatility/capfloor/capfloortermvolsurface.ts:132
Parameters
- settlementDays: Natural
- calendar: Calendar
- bdc: BusinessDayConvention
- optionTenors: Period[]
- strikes: Rate[]
- vols: Matrix
- Default value dc: DayCounter = new DayCounter()
Returns CapFloorTermVolSurface

cftvsfInit1

cftvsfInit1(settlementDays: Natural, calendar: Calendar, bdc: BusinessDayConvention, optionTenors: Period[], strikes: Rate[], vols: Array<Array<Handle<Quote>>>, dc?: DayCounter): CapFloorTermVolSurface

- Defined in ql/termstructures/volatility/capfloor/capfloortermvolsurface.ts:33
Parameters
- settlementDays: Natural
- calendar: Calendar
- bdc: BusinessDayConvention
- optionTenors: Period[]
- strikes: Rate[]
- vols: Array<Array<Handle<Quote>>>
- Default value dc: DayCounter = new DayCounter()
Returns CapFloorTermVolSurface

cftvsfInit2

cftvsfInit2(settlementDate: Date, calendar: Calendar, bdc: BusinessDayConvention, optionTenors: Period[], strikes: Rate[], vols: Array<Array<Handle<Quote>>>, dc?: DayCounter): CapFloorTermVolSurface

- Defined in ql/termstructures/volatility/capfloor/capfloortermvolsurface.ts:68
Parameters
- settlementDate: Date
- calendar: Calendar
- bdc: BusinessDayConvention
- optionTenors: Period[]
- strikes: Rate[]
- vols: Array<Array<Handle<Quote>>>
- Default value dc: DayCounter = new DayCounter()
Returns CapFloorTermVolSurface

cftvsfInit3

cftvsfInit3(settlementDate: Date, calendar: Calendar, bdc: BusinessDayConvention, optionTenors: Period[], strikes: Rate[], vols: Matrix, dc?: DayCounter): CapFloorTermVolSurface

- Defined in ql/termstructures/volatility/capfloor/capfloortermvolsurface.ts:103
Parameters
- settlementDate: Date
- calendar: Calendar
- bdc: BusinessDayConvention
- optionTenors: Period[]
- strikes: Rate[]
- vols: Matrix
- Default value dc: DayCounter = new DayCounter()
Returns CapFloorTermVolSurface

Private checkInputs

checkInputs(): void

- Defined in ql/termstructures/volatility/capfloor/capfloortermvolsurface.ts:224
Returns void

Private initializeOptionDatesAndTimes

initializeOptionDatesAndTimes(): void

- Defined in ql/termstructures/volatility/capfloor/capfloortermvolsurface.ts:262
Returns void

Private interpolate

interpolate(): void

- Defined in ql/termstructures/volatility/capfloor/capfloortermvolsurface.ts:277
Returns void

maxDate

maxDate(): Date

Overrides CapFloorTermVolatilityStructureLazyObject.maxDate
- Defined in ql/termstructures/volatility/capfloor/capfloortermvolsurface.ts:160
Returns Date

maxStrike

maxStrike(): Real

Overrides CapFloorTermVolatilityStructureLazyObject.maxStrike
- Defined in ql/termstructures/volatility/capfloor/capfloortermvolsurface.ts:170
Returns Real

minStrike

minStrike(): Real

Overrides CapFloorTermVolatilityStructureLazyObject.minStrike
- Defined in ql/termstructures/volatility/capfloor/capfloortermvolsurface.ts:166
Returns Real

optionDates

optionDates(): Date[]

- Defined in ql/termstructures/volatility/capfloor/capfloortermvolsurface.ts:178
Returns Date[]

optionTenors

optionTenors(): Period[]

- Defined in ql/termstructures/volatility/capfloor/capfloortermvolsurface.ts:174
Returns Period[]

optionTimes

optionTimes(): Time[]

- Defined in ql/termstructures/volatility/capfloor/capfloortermvolsurface.ts:184
Returns Time[]

performCalculations

performCalculations(): void

Overrides CapFloorTermVolatilityStructureLazyObject.performCalculations
- Defined in ql/termstructures/volatility/capfloor/capfloortermvolsurface.ts:207
Returns void

Private registerWithMarketData

registerWithMarketData(): void

- Defined in ql/termstructures/volatility/capfloor/capfloortermvolsurface.ts:269
Returns void

strikes

strikes(): Rate[]

- Defined in ql/termstructures/volatility/capfloor/capfloortermvolsurface.ts:190
Returns Rate[]

update

update(): void

Overrides CapFloorTermVolatilityStructureLazyObject.update
- Defined in ql/termstructures/volatility/capfloor/capfloortermvolsurface.ts:194
Returns void

volatilityImpl

volatilityImpl(t: Time, strike: Rate): Volatility

Overrides CapFloorTermVolatilityStructureLazyObject.volatilityImpl
- Defined in ql/termstructures/volatility/capfloor/capfloortermvolsurface.ts:219
Parameters
- t: Time
- strike: Rate
Returns Volatility

Hierarchy

Implements

Index

Properties

Methods

Properties

_alwaysForward

_bdc

_calculated

_calendar

_dayCounter

Private _evaluationDate

_extrapolate

_frozen

Private _interpolation

_isDisposed

_moving

Private _nOptionTenors

Private _nStrikes

_observables

_observers

Private _optionDates

Private _optionTenors

Private _optionTimes

_referenceDate

_settlementDays

Private _strikes

_updated

Private _volHandles

Private _vols

allowsExtrapolation

Type declaration

Returns boolean

alwaysForwardNotifications

Type declaration

Returns void

businessDayConvention

Type declaration

Returns BusinessDayConvention

calculate

Type declaration

Returns void

calendar

Type declaration

Returns Calendar

cftvsInit1

Type declaration

Parameters

bdc: BusinessDayConvention

Optional dc: DayCounter

Returns CapFloorTermVolatilityStructure

cftvsInit2

Type declaration

Parameters

referenceDate: Date

cal: Calendar

bdc: BusinessDayConvention

Optional dc: DayCounter

Returns CapFloorTermVolatilityStructure

cftvsInit3

Type declaration

Parameters

settlementDays: Natural

cal: Calendar

bdc: BusinessDayConvention

Optional dc: DayCounter

Returns CapFloorTermVolatilityStructure

checkRange1

Type declaration

Parameters

d: Date

extrapolate: boolean

Returns void

checkRange2

Type declaration

Parameters

t: Time

extrapolate: boolean

Returns void

checkStrike