LocalConstantVol | quantlib.js

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

LocalVolTermStructure
- LocalConstantVol

Implements

Index

Constructors

constructor

Constructors

constructor

new LocalConstantVol(): LocalConstantVol

Inherited from LocalVolTermStructure.constructor
- Defined in ql/termstructures/volatility/equityfx/localvoltermstructure.ts:20
Returns LocalConstantVol

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

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

- (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 LocalVolTermStructure.accept
- Defined in ql/termstructures/volatility/equityfx/localconstantvol.ts:88
Parameters
- v: AcyclicVisitor
Returns void

businessDayConvention

businessDayConvention(): BusinessDayConvention

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

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/localconstantvol.ts:68
Returns DayCounter

lcvInit1

lcvInit1(referenceDate: Date, volatility: Volatility, dayCounter: DayCounter): LocalConstantVol

- Defined in ql/termstructures/volatility/equityfx/localconstantvol.ts:28
Parameters
- referenceDate: Date
- volatility: Volatility
- dayCounter: DayCounter
Returns LocalConstantVol

lcvInit2

lcvInit2(referenceDate: Date, volatility: Handle<Quote>, dayCounter: DayCounter): LocalConstantVol

- Defined in ql/termstructures/volatility/equityfx/localconstantvol.ts:37
Parameters
- referenceDate: Date
- volatility: Handle<Quote>
- dayCounter: DayCounter
Returns LocalConstantVol

lcvInit3

lcvInit3(settlementDays: Natural, calendar: Calendar, volatility: Volatility, dayCounter: DayCounter): LocalConstantVol

- Defined in ql/termstructures/volatility/equityfx/localconstantvol.ts:48
Parameters
- settlementDays: Natural
- calendar: Calendar
- volatility: Volatility
- dayCounter: DayCounter
Returns LocalConstantVol

lcvInit4

lcvInit4(settlementDays: Natural, calendar: Calendar, volatility: Handle<Quote>, dayCounter: DayCounter): LocalConstantVol

- Defined in ql/termstructures/volatility/equityfx/localconstantvol.ts:58
Parameters
- settlementDays: Natural
- calendar: Calendar
- volatility: Handle<Quote>
- dayCounter: DayCounter
Returns LocalConstantVol

localVol1

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

Inherited from LocalVolTermStructure.localVol1
- Defined in ql/termstructures/volatility/equityfx/localvoltermstructure.ts:52
Parameters
- d: Date
- underlyingLevel: Real
- Default value extrapolate: boolean = false
Returns Volatility

localVol2

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

Inherited from LocalVolTermStructure.localVol2
- Defined in ql/termstructures/volatility/equityfx/localvoltermstructure.ts:59
Parameters
- t: Time
- underlyingLevel: Real
- Default value extrapolate: boolean = false
Returns Volatility

localVolImpl

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

Overrides LocalVolTermStructure.localVolImpl
- Defined in ql/termstructures/volatility/equityfx/localconstantvol.ts:84
Parameters
- t: Time
- strike: Real
Returns Volatility

lvtsInit1

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

Inherited from LocalVolTermStructure.lvtsInit1
- Defined in ql/termstructures/volatility/equityfx/localvoltermstructure.ts:27
Parameters
- Default value bdc: BusinessDayConvention = BusinessDayConvention.Following
- Default value dc: DayCounter = new DayCounter()
Returns LocalVolTermStructure

lvtsInit2

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

Inherited from LocalVolTermStructure.lvtsInit2
- Defined in ql/termstructures/volatility/equityfx/localvoltermstructure.ts:35
Parameters
- referenceDate: Date
- Default value cal: Calendar = new Calendar()
- Default value bdc: BusinessDayConvention = BusinessDayConvention.Following
- Default value dc: DayCounter = new DayCounter()
Returns LocalVolTermStructure

lvtsInit3

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

Inherited from LocalVolTermStructure.lvtsInit3
- Defined in ql/termstructures/volatility/equityfx/localvoltermstructure.ts:44
Parameters
- settlementDays: Natural
- cal: Calendar
- Default value bdc: BusinessDayConvention = BusinessDayConvention.Following
- Default value dc: DayCounter = new DayCounter()
Returns LocalVolTermStructure

maxDate

maxDate(): Date

Overrides TermStructure.maxDate
- Defined in ql/termstructures/volatility/equityfx/localconstantvol.ts:72
Returns Date

maxStrike

maxStrike(): Real

Overrides VolatilityTermStructure.maxStrike
- Defined in ql/termstructures/volatility/equityfx/localconstantvol.ts:80
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/localconstantvol.ts:76
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

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 LocalConstantVol

Properties

_bdc

_calendar

_dayCounter

_extrapolate

_isDisposed

_moving

_observables

_observers

_referenceDate

_settlementDays

_updated

Private _volatility

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

businessDayConvention

Returns BusinessDayConvention