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zero inflation (i.e. CPI/RPI/HICP/etc.) volatility structures

Abstract interface. CPI volatility is always with respect to some base date. Also deal with lagged observations of an index with a (usually different) availability lag.

Hierarchy

Implements

Index

Properties

Protected _baseLevel

_baseLevel: Volatility

_bdc

_calendar

_calendar: Calendar

_dayCounter

_dayCounter: DayCounter

_extrapolate

_extrapolate: boolean

Protected _frequency

_frequency: Frequency

Protected _indexIsInterpolated

_indexIsInterpolated: boolean

_isDisposed

_isDisposed: boolean = false

_moving

_moving: boolean

_observables

_observables: Set<Observable> = new Set()

Protected _observationLag

_observationLag: Period

_observers

_observers: Set<Observer> = new Set()

_referenceDate

_referenceDate: Date

_settlementDays

_settlementDays: Natural

_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

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

baseDate

  • baseDate(): Date
  • Returns Date

baseLevel

  • Returns Volatility

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

Protected checkRange3

  • checkRange3(d: Date, strike: Rate, extrapolate: boolean): void
  • Parameters

    • d: Date
    • strike: Rate
    • extrapolate: boolean

    Returns void

Protected checkRange4

  • checkRange4(t: Time, strike: Rate, extrapolate: boolean): void
  • Parameters

    • t: Time
    • strike: Rate
    • extrapolate: boolean

    Returns void

checkStrike

  • checkStrike(k: Rate, extrapolate: boolean): void

cpivsInit

dayCounter

frequency

  • Returns Frequency

indexIsInterpolated

  • indexIsInterpolated(): boolean
  • Returns boolean

maxDate

  • maxDate(): Date
  • the latest date for which the curve can return values

    Returns Date

maxStrike

maxTime

  • the latest time for which the curve can return values

    Returns Time

minStrike

observationLag

  • Returns Period

optionDateFromTenor

  • optionDateFromTenor(p: Period): Date

referenceDate

  • referenceDate(): Date
  • the date at which discount = 1.0 and/or variance = 0.0

    Returns Date

settlementDays

timeFromBase

  • timeFromBase(maturityDate: Date, obsLag?: Period): Time
  • Parameters

    • maturityDate: Date
    • Default value obsLag: Period = new Period().init1(-1, TimeUnit.Days)

    Returns Time

timeFromReference

  • timeFromReference(d: Date): Time

totalVariance1

  • totalVariance1(maturityDate: Date, strike: Rate, obsLag?: Period, extrapolate?: boolean): Volatility
  • Parameters

    • maturityDate: Date
    • strike: Rate
    • Default value obsLag: Period = new Period().init1(-1, TimeUnit.Days)
    • Default value extrapolate: boolean = false

    Returns Volatility

totalVariance2

  • Parameters

    • tenor: Period
    • strike: Rate
    • Default value obsLag: Period = new Period().init1(-1, TimeUnit.Days)
    • Default value extrap: boolean = false

    Returns Volatility

tsInit1

tsInit2

tsInit3

update

  • update(): void

volatility1

  • Parameters

    • maturityDate: Date
    • strike: Rate
    • Default value obsLag: Period = new Period().init1(-1, TimeUnit.Days)
    • Default value extrapolate: boolean = false

    Returns Volatility

volatility2

  • Parameters

    • optionTenor: Period
    • strike: Rate
    • Default value obsLag: Period = new Period().init1(-1, TimeUnit.Days)
    • Default value extrapolate: boolean = false

    Returns Volatility

Protected volatilityImpl

  • Parameters

    Returns Volatility

vtsInit1

vtsInit2

vtsInit3