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Class GridModelLocalVolSurface

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

  • Parameters

    • referenceDate: Date
    • dates: Date[]
    • strikes: Real[][]
    • dayCounter: DayCounter
    • Default value lowerExtrapolation: Extrapolation = FixedLocalVolSurface.Extrapolation.ConstantExtrapolation
    • Default value upperExtrapolation: Extrapolation = FixedLocalVolSurface.Extrapolation.ConstantExtrapolation

    Returns GridModelLocalVolSurface

Properties

_arguments

_arguments: Parameter[]

_bdc

_bdc: BusinessDayConvention

_calendar

_calendar: Calendar

_constraint

_constraint: Constraint

_dayCounter

_dayCounter: DayCounter

_extrapolate

_extrapolate: boolean

_functionEvaluation

_functionEvaluation: Integer

_isDisposed

_isDisposed: boolean = false

Protected _localVol

_localVol: LocalVolTermStructure

Protected _lowerExtrapolation

_lowerExtrapolation: Extrapolation

_moving

_moving: boolean

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

_problemValues

_problemValues: Real[]

_referenceDate

_referenceDate: Date

_settlementDays

_settlementDays: Natural

_shortRateEndCriteria

_shortRateEndCriteria: Type

Protected _strikes

_strikes: Real[][]

Protected _times

_times: Time[]

_updated

_updated: boolean

Protected _upperExtrapolation

_upperExtrapolation: Extrapolation

accept

accept: (v: AcyclicVisitor) => void

Type declaration

allowsExtrapolation

allowsExtrapolation: () => boolean

Type declaration

    • (): boolean

    • Returns boolean

businessDayConvention

businessDayConvention: () => BusinessDayConvention

Type declaration

calendar

calendar: () => Calendar

Type declaration

calibrate1

calibrate1: (instruments: CalibrationHelperBase[], method: OptimizationMethod, endCriteria: EndCriteria, additionalConstraint?: Constraint, weights?: Real[], fixParameters?: boolean[]) => void

Type declaration

calibrate2

calibrate2: (instruments: BlackCalibrationHelper[], method: OptimizationMethod, endCriteria: EndCriteria, additionalConstraint?: Constraint, weights?: Real[], fixParameters?: boolean[]) => void

Type declaration

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

cmInit

cmInit: (nArguments: Size) => CalibratedModel

Type declaration

constraint

constraint: () => Constraint

Type declaration

dayCounter

dayCounter: () => DayCounter

Type declaration

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

endCriteria

endCriteria: () => Type

Type declaration

functionEvaluation

functionEvaluation: () => Integer

Type declaration

isDisposed

isDisposed: boolean

localVol1

localVol1: (d: Date, underlyingLevel: Real, extrapolate?: boolean) => Volatility

Type declaration

    • Parameters

      • d: Date
      • underlyingLevel: Real
      • Optional extrapolate: boolean

      Returns Volatility

localVol2

localVol2: (t: Time, underlyingLevel: Real, extrapolate?: boolean) => Volatility

Type declaration

lvtsInit1

lvtsInit1: (bdc: BusinessDayConvention, dc?: DayCounter) => LocalVolTermStructure

Type declaration

lvtsInit2

lvtsInit2: (referenceDate: Date, cal: Calendar, bdc: BusinessDayConvention, dc?: DayCounter) => LocalVolTermStructure

Type declaration

lvtsInit3

lvtsInit3: (settlementDays: Natural, cal: Calendar, bdc: BusinessDayConvention, dc?: DayCounter) => LocalVolTermStructure

Type declaration

notifyObservers

notifyObservers: () => void

Type declaration

    • (): void

    • Returns void

optionDateFromTenor

optionDateFromTenor: (p: Period) => Date

Type declaration

params

params: () => Real[]

Type declaration

problemValues

problemValues: () => Real[]

Type declaration

referenceDate

referenceDate: () => Date

Type declaration

    • (): Date

    • Returns Date

registerObserver

registerObserver: (o: Observer) => void

Type declaration

registerWith

registerWith: (h: Observable) => void

Type declaration

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

setParams

setParams: (params: Real[]) => void

Type declaration

    • (params: Real[]): void

    • Parameters

      Returns void

settlementDays

settlementDays: () => Natural

Type declaration

timeFromReference

timeFromReference: (date: Date) => Time

Type declaration

    • (date: Date): Time

    • Parameters

      • date: Date

      Returns Time

tsInit1

tsInit1: (dc: DayCounter) => TermStructure

Type declaration

tsInit2

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

Type declaration

tsInit3

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

Type declaration

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

unregisterWithAll

unregisterWithAll: () => void

Type declaration

    • (): void

    • Returns void

value1

value1: (params: Real[], instruments: CalibrationHelperBase[]) => Real

Type declaration

value2

value2: (params: Real[], instruments: BlackCalibrationHelper[]) => Real

Type declaration

vtsInit1

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

Type declaration

vtsInit2

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

Type declaration

vtsInit3

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

Type declaration

Methods

generateArguments

  • generateArguments(): void

localVolImpl

maxDate

  • maxDate(): Date

maxStrike

maxTime

minStrike

update

  • update(): void