LocalVolSurface | quantlib.js

Local volatility surface derived from a Black vol surface

For details about this implementation refer to "Stochastic Volatility and Local Volatility," in "Case Studies and Financial Modelling Course Notes," by Jim Gatheral, Fall Term, 2003

see www.math.nyu.edu/fellows_fin_math/gatheral/Lecture1_Fall02.pdf

bug this class is untested, probably unreliable.

Hierarchy

LocalVolTermStructure
- LocalVolSurface
  - NoExceptLocalVolSurface

Implements

Index

Constructors

constructor

Constructors

constructor

new LocalVolSurface(): LocalVolSurface

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

Properties

_bdc

_bdc: BusinessDayConvention

Private _blackTS

_blackTS: Handle<BlackVolTermStructure>

_calendar

_calendar: Calendar

_dayCounter

_dayCounter: DayCounter

Private _dividendTS

_dividendTS: Handle<YieldTermStructure>

_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

Private _riskFreeTS

_riskFreeTS: Handle<YieldTermStructure>

_settlementDays

_settlementDays: Natural

Private _underlying

_underlying: Handle<Quote>

_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 LocalVolTermStructure.accept
- Defined in ql/termstructures/volatility/equityfx/localvolsurface.ts:176
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/localvolsurface.ts:72
Returns DayCounter

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, underlyingLevel: Real): Volatility

Overrides LocalVolTermStructure.localVolImpl
- Defined in ql/termstructures/volatility/equityfx/localvolsurface.ts:88
Parameters
- t: Time
- underlyingLevel: Real
Returns Volatility

lvsInit1

lvsInit1(blackTS: Handle<BlackVolTermStructure>, riskFreeTS: Handle<YieldTermStructure>, dividendTS: Handle<YieldTermStructure>, underlying: Handle<Quote>): LocalVolSurface

- Defined in ql/termstructures/volatility/equityfx/localvolsurface.ts:30
Parameters
- blackTS: Handle<BlackVolTermStructure>
- riskFreeTS: Handle<YieldTermStructure>
- dividendTS: Handle<YieldTermStructure>
- underlying: Handle<Quote>
Returns LocalVolSurface

lvsInit2

lvsInit2(blackTS: Handle<BlackVolTermStructure>, riskFreeTS: Handle<YieldTermStructure>, dividendTS: Handle<YieldTermStructure>, underlying: Real): LocalVolSurface

- Defined in ql/termstructures/volatility/equityfx/localvolsurface.ts:50
Parameters
- blackTS: Handle<BlackVolTermStructure>
- riskFreeTS: Handle<YieldTermStructure>
- dividendTS: Handle<YieldTermStructure>
- underlying: Real
Returns LocalVolSurface

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/localvolsurface.ts:76
Returns Date

maxStrike

maxStrike(): Real

Overrides VolatilityTermStructure.maxStrike
- Defined in ql/termstructures/volatility/equityfx/localvolsurface.ts:84
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/localvolsurface.ts:80
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

Overrides TermStructure.referenceDate
- Defined in ql/termstructures/volatility/equityfx/localvolsurface.ts:68
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 LocalVolSurface

Properties

_bdc

Private _blackTS

_calendar

_dayCounter

Private _dividendTS

_extrapolate

_isDisposed

_moving

_observables

_observers

_referenceDate

Private _riskFreeTS

_settlementDays

Private _underlying

_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