BlackVarianceCurve | quantlib.js

Black volatility curve modelled as variance curve

This class calculates time-dependent Black volatilities using as input a vector of (ATM) Black volatilities observed in the market.

The calculation is performed interpolating on the variance curve. Linear interpolation is used as default; this can be changed by the setInterpolation() method.

For strike dependence, see BlackVarianceSurface.

todo check time extrapolation

Hierarchy

BlackVarianceTermStructure
- BlackVarianceCurve

Implements

Index

Constructors

constructor

Constructors

constructor

new BlackVarianceCurve(referenceDate: Date, dates: Date[], blackVolCurve: Volatility[], dayCounter: DayCounter, forceMonotoneVariance?: boolean): BlackVarianceCurve

Overrides BlackVolTermStructure.constructor
- Defined in ql/termstructures/volatility/equityfx/blackvariancecurve.ts:30
Parameters
- referenceDate: Date
- dates: Date[]
- blackVolCurve: Volatility[]
- dayCounter: DayCounter
- Default value forceMonotoneVariance: boolean = true
Returns BlackVarianceCurve

Properties

_bdc

_bdc: BusinessDayConvention

_calendar

_calendar: Calendar

_dayCounter

_dayCounter: DayCounter

_extrapolate

_extrapolate: boolean

_isDisposed

_isDisposed: boolean = false

Private _maxDate

_maxDate: Date

_moving

_moving: boolean

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

_referenceDate

_referenceDate: Date

_settlementDays

_settlementDays: Natural

Private _times

_times: Time[]

_updated

_updated: boolean

Private _varianceCurve

_varianceCurve: Interpolation

Private _variances

_variances: Real[]

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

accept

accept(v: AcyclicVisitor): void

Overrides BlackVarianceTermStructure.accept
- Defined in ql/termstructures/volatility/equityfx/blackvariancecurve.ts:106
Parameters
- v: AcyclicVisitor
Returns void

blackForwardVariance1

blackForwardVariance1(date1: Date, date2: Date, strike: Real, extrapolate?: boolean): Volatility

Inherited from BlackVolTermStructure.blackForwardVariance1
- Defined in ql/termstructures/volatility/equityfx/blackvoltermstructure.ts:137
Parameters
- date1: Date
- date2: Date
- strike: Real
- Default value extrapolate: boolean = false
Returns Volatility

blackForwardVariance2

blackForwardVariance2(time1: Time, time2: Time, strike: Real, extrapolate?: boolean): Volatility

Inherited from BlackVolTermStructure.blackForwardVariance2
- Defined in ql/termstructures/volatility/equityfx/blackvoltermstructure.ts:151
Parameters
- time1: Time
- time2: Time
- strike: Real
- Default value extrapolate: boolean = false
Returns Volatility

blackForwardVol1

blackForwardVol1(date1: Date, date2: Date, strike: Real, extrapolate?: boolean): Volatility

Inherited from BlackVolTermStructure.blackForwardVol1
- Defined in ql/termstructures/volatility/equityfx/blackvoltermstructure.ts:92
Parameters
- date1: Date
- date2: Date
- strike: Real
- Default value extrapolate: boolean = false
Returns Volatility

blackForwardVol2

blackForwardVol2(time1: Time, time2: Time, strike: Real, extrapolate?: boolean): Volatility

Inherited from BlackVolTermStructure.blackForwardVol2
- Defined in ql/termstructures/volatility/equityfx/blackvoltermstructure.ts:106
Parameters
- time1: Time
- time2: Time
- strike: Real
- Default value extrapolate: boolean = false
Returns Volatility

blackVariance1

blackVariance1(d: Date, strike: Real, extrapolate?: boolean): Volatility

Inherited from BlackVolTermStructure.blackVariance1
- Defined in ql/termstructures/volatility/equityfx/blackvoltermstructure.ts:79
Parameters
- d: Date
- strike: Real
- Default value extrapolate: boolean = false
Returns Volatility

blackVariance2

blackVariance2(t: Time, strike: Real, extrapolate?: boolean): Volatility

Inherited from BlackVolTermStructure.blackVariance2
- Defined in ql/termstructures/volatility/equityfx/blackvoltermstructure.ts:86
Parameters
- t: Time
- strike: Real
- Default value extrapolate: boolean = false
Returns Volatility

blackVarianceImpl

blackVarianceImpl(t: Time, strike: Real): Real

Overrides BlackVolTermStructure.blackVarianceImpl
- Defined in ql/termstructures/volatility/equityfx/blackvariancecurve.ts:96
Parameters
- t: Time
- strike: Real
Returns Real

blackVol1

blackVol1(d: Date, strike: Real, extrapolate?: boolean): Volatility

Inherited from BlackVolTermStructure.blackVol1
- Defined in ql/termstructures/volatility/equityfx/blackvoltermstructure.ts:66
Parameters
- d: Date
- strike: Real
- Default value extrapolate: boolean = false
Returns Volatility

blackVol2

blackVol2(t: Time, strike: Real, extrapolate?: boolean): Volatility

Inherited from BlackVolTermStructure.blackVol2
- Defined in ql/termstructures/volatility/equityfx/blackvoltermstructure.ts:73
Parameters
- t: Time
- strike: Real
- Default value extrapolate: boolean = false
Returns Volatility

blackVolImpl

blackVolImpl(t: Time, strike: Real): Volatility

Inherited from BlackVarianceTermStructure.blackVolImpl

Overrides BlackVolTermStructure.blackVolImpl
- Defined in ql/termstructures/volatility/equityfx/blackvoltermstructure.ts:234
Parameters
- t: Time
- strike: Real
Returns Volatility

businessDayConvention

businessDayConvention(): BusinessDayConvention

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

bvtsInit1

bvtsInit1(bdc?: BusinessDayConvention, dc?: DayCounter): BlackVolTermStructure

Inherited from BlackVolTermStructure.bvtsInit1
- Defined in ql/termstructures/volatility/equityfx/blackvoltermstructure.ts:35
Parameters
- Default value bdc: BusinessDayConvention = BusinessDayConvention.Following
- Default value dc: DayCounter = new DayCounter()
Returns BlackVolTermStructure

bvtsInit2

bvtsInit2(referenceDate: Date, cal?: Calendar, bdc?: BusinessDayConvention, dc?: DayCounter): BlackVolTermStructure

Inherited from BlackVolTermStructure.bvtsInit2
- Defined in ql/termstructures/volatility/equityfx/blackvoltermstructure.ts:46
Parameters
- referenceDate: Date
- Default value cal: Calendar = new Calendar()
- Default value bdc: BusinessDayConvention = BusinessDayConvention.Following
- Default value dc: DayCounter = new DayCounter()
Returns BlackVolTermStructure

bvtsInit3

bvtsInit3(settlementDays: Natural, cal: Calendar, bdc?: BusinessDayConvention, dc?: DayCounter): BlackVolTermStructure

Inherited from BlackVolTermStructure.bvtsInit3
- Defined in ql/termstructures/volatility/equityfx/blackvoltermstructure.ts:58
Parameters
- settlementDays: Natural
- cal: Calendar
- Default value bdc: BusinessDayConvention = BusinessDayConvention.Following
- Default value dc: DayCounter = new DayCounter()
Returns BlackVolTermStructure

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

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

Overrides TermStructure.dayCounter
- Defined in ql/termstructures/volatility/equityfx/blackvariancecurve.ts:73
Returns DayCounter

maxDate

maxDate(): Date

Overrides TermStructure.maxDate
- Defined in ql/termstructures/volatility/equityfx/blackvariancecurve.ts:77
Returns Date

maxStrike

maxStrike(): Real

Overrides VolatilityTermStructure.maxStrike
- Defined in ql/termstructures/volatility/equityfx/blackvariancecurve.ts:85
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/equityfx/blackvariancecurve.ts:81
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

setInterpolation

setInterpolation(i: Interpolator): void

- Defined in ql/termstructures/volatility/equityfx/blackvariancecurve.ts:89
Parameters
- i: Interpolator
Returns void

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

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

Constructors

Properties

Methods

Constructors

constructor

Parameters

referenceDate: Date

dates: Date[]

blackVolCurve: Volatility[]

dayCounter: DayCounter

Default value forceMonotoneVariance: boolean = true

Returns BlackVarianceCurve

Properties

_bdc

_calendar

_dayCounter

_extrapolate

_isDisposed

Private _maxDate

_moving

_observables

_observers

_referenceDate

_settlementDays

Private _times

_updated

Private _varianceCurve

Private _variances

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