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Constant local volatility, no time-strike dependence

This class implements the LocalVolatilityTermStructure interface for a constant local volatility (no time/asset dependence). Local volatility and Black volatility are the same when volatility is at most time dependent, so this class is basically a proxy for BlackVolatilityTermStructure.

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

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

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

businessDayConvention

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

lcvInit1

lcvInit2

lcvInit3

lcvInit4

localVol1

  • localVol1(d: Date, underlyingLevel: Real, extrapolate?: boolean): Volatility
  • Parameters

    • d: Date
    • underlyingLevel: Real
    • Default value extrapolate: boolean = false

    Returns Volatility

localVol2

localVolImpl

lvtsInit1

lvtsInit2

lvtsInit3

maxDate

  • maxDate(): Date
  • 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