ConstantCapFloorTermVolatility

Cap/floor term-volatility structure

This class is purely abstract and defines the interface of concrete structures which will be derived from this one.

Hierarchy

CapFloorTermVolatilityStructure
- ConstantCapFloorTermVolatility

Implements

Index

Properties

_bdc

_bdc: BusinessDayConvention

_calendar

_calendar: Calendar

_dayCounter

_dayCounter: DayCounter

_extrapolate

_extrapolate: boolean

_isDisposed

_isDisposed: boolean = false

_moving

_moving: boolean

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

_referenceDate

_referenceDate: Date

_settlementDays

_settlementDays: Natural

_updated

_updated: boolean

Private _volatility

_volatility: Handle<Quote>

allowsExtrapolation

allowsExtrapolation: () => boolean

Type declaration

- (): boolean
- Returns boolean

deepUpdate

deepUpdate: () => void

Type declaration

- (): void
- Returns void

disableExtrapolation

disableExtrapolation: (b?: boolean) => void

Type declaration

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

dispose

dispose: () => void

Type declaration

- (): void
- Returns void

enableExtrapolation

enableExtrapolation: (b?: boolean) => void

Type declaration

- (b?: boolean): void
- Parameters
  - Optional b: boolean
  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

businessDayConvention

businessDayConvention(): BusinessDayConvention

Inherited from VolatilityTermStructure.businessDayConvention
- Defined in ql/termstructures/voltermstructure.ts:46
Returns BusinessDayConvention

calendar

calendar(): Calendar

Inherited from TermStructure.calendar
- Defined in ql/termstructure.ts:151
the calendar used for reference and/or option date calculation

Returns Calendar

ccftvInit1

ccftvInit1(settlementDays: Natural, cal: Calendar, bdc: BusinessDayConvention, vol: Handle<Quote>, dc: DayCounter): ConstantCapFloorTermVolatility

- Defined in ql/termstructures/volatility/capfloor/constantcapfloortermvol.ts:26
Parameters
- settlementDays: Natural
- cal: Calendar
- bdc: BusinessDayConvention
- vol: Handle<Quote>
- dc: DayCounter
Returns ConstantCapFloorTermVolatility

ccftvInit2

ccftvInit2(referenceDate: Date, cal: Calendar, bdc: BusinessDayConvention, vol: Handle<Quote>, dc: DayCounter): ConstantCapFloorTermVolatility

- Defined in ql/termstructures/volatility/capfloor/constantcapfloortermvol.ts:37
Parameters
- referenceDate: Date
- cal: Calendar
- bdc: BusinessDayConvention
- vol: Handle<Quote>
- dc: DayCounter
Returns ConstantCapFloorTermVolatility

ccftvInit3

ccftvInit3(settlementDays: Natural, cal: Calendar, bdc: BusinessDayConvention, vol: Volatility, dc: DayCounter): ConstantCapFloorTermVolatility

- Defined in ql/termstructures/volatility/capfloor/constantcapfloortermvol.ts:48
Parameters
- settlementDays: Natural
- cal: Calendar
- bdc: BusinessDayConvention
- vol: Volatility
- dc: DayCounter
Returns ConstantCapFloorTermVolatility

ccftvInit4

ccftvInit4(referenceDate: Date, cal: Calendar, bdc: BusinessDayConvention, vol: Volatility, dc: DayCounter): ConstantCapFloorTermVolatility

- Defined in ql/termstructures/volatility/capfloor/constantcapfloortermvol.ts:59
Parameters
- referenceDate: Date
- cal: Calendar
- bdc: BusinessDayConvention
- vol: Volatility
- dc: DayCounter
Returns ConstantCapFloorTermVolatility

cftvsInit1

cftvsInit1(bdc: BusinessDayConvention, dc?: DayCounter): CapFloorTermVolatilityStructure

Inherited from CapFloorTermVolatilityStructure.cftvsInit1
- Defined in ql/termstructures/volatility/capfloor/capfloortermvolatilitystructure.ts:21
Parameters
- bdc: BusinessDayConvention
- Default value dc: DayCounter = new DayCounter()
Returns CapFloorTermVolatilityStructure

cftvsInit2

cftvsInit2(refDate: Date, cal: Calendar, bdc: BusinessDayConvention, dc?: DayCounter): CapFloorTermVolatilityStructure

Inherited from CapFloorTermVolatilityStructure.cftvsInit2
- Defined in ql/termstructures/volatility/capfloor/capfloortermvolatilitystructure.ts:28
Parameters
- refDate: Date
- cal: Calendar
- bdc: BusinessDayConvention
- Default value dc: DayCounter = new DayCounter()
Returns CapFloorTermVolatilityStructure

cftvsInit3

cftvsInit3(settlementDays: Natural, cal: Calendar, bdc: BusinessDayConvention, dc?: DayCounter): CapFloorTermVolatilityStructure

Inherited from CapFloorTermVolatilityStructure.cftvsInit3
- Defined in ql/termstructures/volatility/capfloor/capfloortermvolatilitystructure.ts:36
Parameters
- settlementDays: Natural
- cal: Calendar
- bdc: BusinessDayConvention
- Default value dc: DayCounter = new DayCounter()
Returns CapFloorTermVolatilityStructure

checkRange1

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

Inherited from TermStructure.checkRange1
- Defined in ql/termstructure.ts:188
date-range check

Parameters
- d: Date
- extrapolate: boolean
Returns void

checkRange2

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

Inherited from TermStructure.checkRange2
- Defined in ql/termstructure.ts:199
time-range check

Parameters
- t: Time
- extrapolate: boolean
Returns void

checkStrike

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

Inherited from VolatilityTermStructure.checkStrike
- Defined in ql/termstructures/voltermstructure.ts:64
Parameters
- k: Rate
- extrapolate: boolean
Returns void

dayCounter

dayCounter(): DayCounter

Inherited from TermStructure.dayCounter
- Defined in ql/termstructure.ts:120
the day counter used for date/time conversion

Returns DayCounter

maxDate

maxDate(): Date

Overrides TermStructure.maxDate
- Defined in ql/termstructures/volatility/capfloor/constantcapfloortermvol.ts:69
Returns Date

maxStrike

maxStrike(): Real

Overrides VolatilityTermStructure.maxStrike
- Defined in ql/termstructures/volatility/capfloor/constantcapfloortermvol.ts:77
Returns Real

maxTime

maxTime(): Time

Inherited from TermStructure.maxTime
- Defined in ql/termstructure.ts:135
the latest time for which the curve can return values

Returns Time

minStrike

minStrike(): Real

Overrides VolatilityTermStructure.minStrike
- Defined in ql/termstructures/volatility/capfloor/constantcapfloortermvol.ts:73
Returns Real

optionDateFromTenor

optionDateFromTenor(p: Period): Date

Inherited from VolatilityTermStructure.optionDateFromTenor
- Defined in ql/termstructures/voltermstructure.ts:50
Parameters
- p: Period
Returns Date

referenceDate

referenceDate(): Date

Inherited from TermStructure.referenceDate
- Defined in ql/termstructure.ts:140
the date at which discount = 1.0 and/or variance = 0.0

Returns Date

settlementDays

settlementDays(): Natural

Inherited from TermStructure.settlementDays
- Defined in ql/termstructure.ts:156
the settlementDays used for reference date calculation

Returns Natural

timeFromReference

timeFromReference(d: Date): Time

Inherited from TermStructure.timeFromReference
- Defined in ql/termstructure.ts:125
date/time conversion

Parameters
- d: Date
Returns Time

tsInit1

tsInit1(dc?: DayCounter): TermStructure

Inherited from TermStructure.tsInit1
- Defined in ql/termstructure.ts:79
Parameters
- Default value dc: DayCounter = new DayCounter()
Returns TermStructure

tsInit2

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

Inherited from TermStructure.tsInit2
- Defined in ql/termstructure.ts:91
Parameters
- referenceDate: Date
- Default value calendar: Calendar = new Calendar()
- Default value dc: DayCounter = new DayCounter()
Returns TermStructure

tsInit3

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

Inherited from TermStructure.tsInit3
- Defined in ql/termstructure.ts:107
Parameters
- settlementDays: Natural
- calendar: Calendar
- Default value dc: DayCounter = new DayCounter()
Returns TermStructure

update

update(): void

Inherited from TermStructure.update

Overrides ObserverObservableExtrapolator.update
- Defined in ql/termstructure.ts:163
Returns void

volatility1

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

Inherited from CapFloorTermVolatilityStructure.volatility1
- Defined in ql/termstructures/volatility/capfloor/capfloortermvolatilitystructure.ts:43
Parameters
- optT: Period
- strike: Rate
- Default value extrap: boolean = false
Returns Volatility

volatility2

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

Inherited from CapFloorTermVolatilityStructure.volatility2
- Defined in ql/termstructures/volatility/capfloor/capfloortermvolatilitystructure.ts:48
Parameters
- d: Date
- strike: Rate
- Default value extrap: boolean = false
Returns Volatility

volatility3

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

Inherited from CapFloorTermVolatilityStructure.volatility3
- Defined in ql/termstructures/volatility/capfloor/capfloortermvolatilitystructure.ts:54
Parameters
- t: Time
- strike: Rate
- Default value extrap: boolean = false
Returns Volatility

volatilityImpl

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

Overrides CapFloorTermVolatilityStructure.volatilityImpl
- Defined in ql/termstructures/volatility/capfloor/constantcapfloortermvol.ts:81
Parameters
- t: Time
- r: Rate
Returns Volatility

vtsInit1

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

Inherited from VolatilityTermStructure.vtsInit1
- Defined in ql/termstructures/voltermstructure.ts:21
Parameters
- bdc: BusinessDayConvention
- Default value dc: DayCounter = new DayCounter()
Returns VolatilityTermStructure

vtsInit2

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

Inherited from VolatilityTermStructure.vtsInit2
- Defined in ql/termstructures/voltermstructure.ts:29
Parameters
- referenceDate: Date
- cal: Calendar
- bdc: BusinessDayConvention
- Default value dc: DayCounter = new DayCounter()
Returns VolatilityTermStructure

vtsInit3

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

Inherited from VolatilityTermStructure.vtsInit3
- Defined in ql/termstructures/voltermstructure.ts:38
Parameters
- settlementDays: Natural
- cal: Calendar
- bdc: BusinessDayConvention
- Default value dc: DayCounter = new DayCounter()
Returns VolatilityTermStructure

Hierarchy

Implements

Index

Properties

Methods

Properties

_bdc

_calendar

_dayCounter

_extrapolate

_isDisposed

_moving

_observables

_observers

_referenceDate

_settlementDays

_updated

Private _volatility

allowsExtrapolation

Type declaration

Returns boolean

deepUpdate

Type declaration

Returns void

disableExtrapolation

Type declaration

Parameters

Optional b: boolean

Returns void

dispose

Type declaration

Returns void

enableExtrapolation

Type declaration

Parameters

Optional b: boolean

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

businessDayConvention

Returns BusinessDayConvention

calendar

Returns Calendar

ccftvInit1

Parameters

settlementDays: Natural

cal: Calendar

bdc: BusinessDayConvention

vol: Handle<Quote>