BlackVarianceTermStructure

Black variance term structure

This abstract class acts as an adapter to VolTermStructure allowing the programmer to implement only the blackVarianceImpl(Time, Real, bool) method in derived classes.

Volatility are assumed to be expressed on an annual basis.

Hierarchy

BlackVolTermStructure
- BlackVarianceTermStructure

Implements

Index

Constructors

constructor

Constructors

constructor

new BlackVarianceTermStructure(): BlackVarianceTermStructure

Inherited from BlackVolTermStructure.constructor
- Defined in ql/termstructures/volatility/equityfx/blackvoltermstructure.ts:22
Returns BlackVarianceTermStructure

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

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 BlackVolTermStructure.accept
- Defined in ql/termstructures/volatility/equityfx/blackvoltermstructure.ts:240
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

Inherited from BlackVolTermStructure.blackVarianceImpl
- Defined in ql/termstructures/volatility/equityfx/blackvoltermstructure.ts:186
Calculations

These methods must be implemented in derived classes to perform the actual volatility calculations. When they are called, range check has already been performed; therefore, they must assume that extrapolation is required.

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

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

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

Returns DayCounter

maxDate

maxDate(): Date

Inherited from TermStructure.maxDate
- Defined in ql/termstructure.ts:130
the latest date for which the curve can return values

Returns Date

maxStrike

maxStrike(): Rate

Inherited from VolatilityTermStructure.maxStrike
- Defined in ql/termstructures/voltermstructure.ts:60
Returns Rate

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(): Rate

Inherited from VolatilityTermStructure.minStrike
- Defined in ql/termstructures/voltermstructure.ts:56
Returns Rate

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

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

Returns BlackVarianceTermStructure

Properties

_bdc

_calendar

_dayCounter

_extrapolate

_isDisposed

_moving

_observables

_observers

_referenceDate

_settlementDays

_updated

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

accept

Parameters

v: AcyclicVisitor

Returns void

blackForwardVariance1

Parameters

date1: Date