Gaussian1dSmileSection

smile section based on a gaussian 1d model instance

if curves are attached to the swap or ibor index, these are used to adjust the model's yield term structure, if not the model's yield term structure is used directly

Hierarchy

SmileSection
- Gaussian1dSmileSection

Implements

Index

Properties

Private _annuity

_annuity: Real

Private _atm

_atm: Real

_dc

_dc: DayCounter

Private _engine

_engine: PricingEngine

_exerciseDate

_exerciseDate: Date

_exerciseTime

_exerciseTime: Time

Private _fixingDate

_fixingDate: Date

Private _iborIndex

_iborIndex: IborIndex

_isDisposed

_isDisposed: boolean = false

_isFloating

_isFloating: boolean

Private _model

_model: Gaussian1dModel

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

_referenceDate

_referenceDate: Date

_shift

_shift: Rate

Private _swapIndex

_swapIndex: SwapIndex

_volatilityType

_volatilityType: VolatilityType

dispose

dispose: () => void

Type declaration

- (): void
- 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

atmLevel

atmLevel(): Real

Overrides SmileSection.atmLevel
- Defined in ql/termstructures/volatility/gaussian1dsmilesection.ts:103
Returns Real

dayCounter

dayCounter(): DayCounter

Inherited from SmileSection.dayCounter
- Defined in ql/termstructures/volatility/smilesection.ts:115
Returns DayCounter

deepUpdate

deepUpdate(): void

Inherited from ObserverObservable.deepUpdate
- Defined in mixins/ql/patterns/observerobservable.ts:23
Returns void

density

density(strike: Rate, discount?: Real, gap?: Real): Real

Inherited from SmileSection.density
- Defined in ql/termstructures/volatility/smilesection.ts:174
Parameters
- strike: Rate
- Default value discount: Real = 1
- Default value gap: Real = 0.0001
Returns Real

digitalOptionPrice

digitalOptionPrice(strike: Rate, type?: Type, discount?: Real, gap?: Real): Real

Inherited from SmileSection.digitalOptionPrice
- Defined in ql/termstructures/volatility/smilesection.ts:143
Parameters
- strike: Rate
- Default value type: Type = Option.Type.Call
- Default value discount: Real = 1
- Default value gap: Real = 0.00001
Returns Real

exerciseDate

exerciseDate(): Date

Inherited from SmileSection.exerciseDate
- Defined in ql/termstructures/volatility/smilesection.ts:92
Returns Date

exerciseTime

exerciseTime(): Time

Inherited from SmileSection.exerciseTime
- Defined in ql/termstructures/volatility/smilesection.ts:111
Returns Time

g1dInit1

g1dInit1(fixingDate: Date, swapIndex: SwapIndex, model: Gaussian1dModel, dc: DayCounter, swaptionEngine?: Gaussian1dSwaptionEngine): Gaussian1dSmileSection

- Defined in ql/termstructures/volatility/gaussian1dsmilesection.ts:35
Parameters
- fixingDate: Date
- swapIndex: SwapIndex
- model: Gaussian1dModel
- dc: DayCounter
- Default value swaptionEngine: Gaussian1dSwaptionEngine = null
Returns Gaussian1dSmileSection

g1dInit2

g1dInit2(fixingDate: Date, iborIndex: IborIndex, model: Gaussian1dModel, dc: DayCounter, capEngine?: Gaussian1dCapFloorEngine): Gaussian1dSmileSection

- Defined in ql/termstructures/volatility/gaussian1dsmilesection.ts:62
Parameters
- fixingDate: Date
- iborIndex: IborIndex
- model: Gaussian1dModel
- dc: DayCounter
- Default value capEngine: Gaussian1dCapFloorEngine = null
Returns Gaussian1dSmileSection

init1

init1(d: Date, dc?: DayCounter, referenceDate?: Date, type?: VolatilityType, shift?: Rate): SmileSection

Inherited from SmileSection.init1
- Defined in ql/termstructures/volatility/smilesection.ts:24
Parameters
- d: Date
- Default value dc: DayCounter = new DayCounter()
- Default value referenceDate: Date = null
- Default value type: VolatilityType = VolatilityType.ShiftedLognormal
- Default value shift: Rate = 0
Returns SmileSection

init2

init2(exerciseTime: Time, dc?: DayCounter, type?: VolatilityType, shift?: Rate): SmileSection

Inherited from SmileSection.init2
- Defined in ql/termstructures/volatility/smilesection.ts:47
Parameters
- exerciseTime: Time
- Default value dc: DayCounter = new DayCounter()
- Default value type: VolatilityType = VolatilityType.ShiftedLognormal
- Default value shift: Rate = 0
Returns SmileSection

initializeExerciseTime

initializeExerciseTime(): void

Inherited from SmileSection.initializeExerciseTime
- Defined in ql/termstructures/volatility/smilesection.ts:218
Returns void

maxStrike

maxStrike(): Real

Overrides SmileSection.maxStrike
- Defined in ql/termstructures/volatility/gaussian1dsmilesection.ts:99
Returns Real

minStrike

minStrike(): Real

Overrides SmileSection.minStrike
- Defined in ql/termstructures/volatility/gaussian1dsmilesection.ts:95
Returns Real

optionPrice

optionPrice(strike: Rate, type?: Type, discount?: Real): Real

Overrides SmileSection.optionPrice
- Defined in ql/termstructures/volatility/gaussian1dsmilesection.ts:107
Parameters
- strike: Rate
- Default value type: Type = Option.Type.Call
- Default value discount: Real = 1
Returns Real

referenceDate

referenceDate(): Date

Inherited from SmileSection.referenceDate
- Defined in ql/termstructures/volatility/smilesection.ts:104
Returns Date

shift

shift(): Rate

Inherited from SmileSection.shift
- Defined in ql/termstructures/volatility/smilesection.ts:100
Returns Rate

update

update(): void

Inherited from SmileSection.update

Overrides ObserverObservable.update
- Defined in ql/termstructures/volatility/smilesection.ts:65
Returns void

variance

variance(strike: Rate): Real

Inherited from SmileSection.variance
- Defined in ql/termstructures/volatility/smilesection.ts:80
Parameters
- strike: Rate
Returns Real

varianceImpl

varianceImpl(strike: Rate): Real

Inherited from SmileSection.varianceImpl
- Defined in ql/termstructures/volatility/smilesection.ts:228
Parameters
- strike: Rate
Returns Real

vega

vega(strike: Rate, discount?: Real): Real

Inherited from SmileSection.vega
- Defined in ql/termstructures/volatility/smilesection.ts:158
Parameters
- strike: Rate
- Default value discount: Real = 1
Returns Real

volatility1

volatility1(strike: Rate): Volatility

Inherited from SmileSection.volatility1
- Defined in ql/termstructures/volatility/smilesection.ts:84
Parameters
- strike: Rate
Returns Volatility

volatility2

volatility2(strike: Rate, volatilityType: VolatilityType, shift?: Real): Volatility

Inherited from SmileSection.volatility2
- Defined in ql/termstructures/volatility/smilesection.ts:186
Parameters
- strike: Rate
- volatilityType: VolatilityType
- Default value shift: Real = 0
Returns Volatility

volatilityImpl

volatilityImpl(strike: Rate): Real

Overrides SmileSection.volatilityImpl
- Defined in ql/termstructures/volatility/gaussian1dsmilesection.ts:135
Parameters
- strike: Rate
Returns Real

volatilityType

volatilityType(): VolatilityType

Inherited from SmileSection.volatilityType
- Defined in ql/termstructures/volatility/smilesection.ts:96
Returns VolatilityType

Hierarchy

Implements

Index

Properties

Methods

Properties

Private _annuity

Private _atm

_dc

Private _engine

_exerciseDate

_exerciseTime

Private _fixingDate

Private _iborIndex

_isDisposed

_isFloating

Private _model

_observables

_observers

_referenceDate

_shift

Private _swapIndex

_volatilityType

dispose

Type declaration

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

atmLevel

Returns Real

dayCounter

Returns DayCounter

deepUpdate

Returns void

density

Parameters

strike: Rate

Default value discount: Real = 1

Default value gap: Real = 0.0001

Returns Real

digitalOptionPrice

Parameters

strike: Rate

Default value type: Type = Option.Type.Call

Default value discount: Real = 1

Default value gap: Real = 0.00001

Returns Real

exerciseDate

Returns Date