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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

Implements

Index

Constructors

constructor

Properties

_bdc

_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

registerWith

registerWith: (h: Observable) => void

Type declaration

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

unregisterWithAll

unregisterWithAll: () => void

Type declaration

    • (): void
    • Returns void

Methods

accept

blackForwardVariance1

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

blackForwardVariance2

blackForwardVol1

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

blackForwardVol2

blackVariance1

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

blackVariance2

blackVarianceImpl

  • 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

    Returns Real

blackVol1

blackVol2

blackVolImpl

businessDayConvention

bvtsInit1

bvtsInit2

bvtsInit3

calendar

  • the calendar used for reference and/or option date calculation

    Returns Calendar

checkRange1

  • checkRange1(d: Date, extrapolate: boolean): void
  • date-range check

    Parameters

    • d: Date
    • extrapolate: boolean

    Returns void

checkRange2

  • checkRange2(t: Time, extrapolate: boolean): void
  • time-range check

    Parameters

    • t: Time
    • extrapolate: boolean

    Returns void

checkStrike

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

dayCounter

maxDate

  • maxDate(): Date
  • the latest date for which the curve can return values

    Returns Date

maxStrike

maxTime

  • the latest time for which the curve can return values

    Returns Time

minStrike

optionDateFromTenor

  • optionDateFromTenor(p: Period): Date

referenceDate

  • referenceDate(): Date
  • the date at which discount = 1.0 and/or variance = 0.0

    Returns Date

settlementDays

timeFromReference

  • timeFromReference(d: Date): Time

tsInit1

tsInit2

tsInit3

update

  • update(): void

vtsInit1

vtsInit2

vtsInit3