InterpolatedSmileSection

Hierarchy

SmileSectionLazyObject
- InterpolatedSmileSection

Implements

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new InterpolatedSmileSection(i: Interpolator): InterpolatedSmileSection

- Defined in ql/termstructures/volatility/interpolatedsmilesection.ts:20
Parameters
- i: Interpolator
Returns InterpolatedSmileSection

Properties

_alwaysForward

_alwaysForward: boolean = false

Private _atmLevel

_atmLevel: Handle<Quote>

_calculated

_calculated: boolean = false

_dc

_dc: DayCounter

_exerciseDate

_exerciseDate: Date

_exerciseTime

_exerciseTime: Time

Private _exerciseTimeSquareRoot

_exerciseTimeSquareRoot: Real

_frozen

_frozen: boolean = false

Private _interpolation

_interpolation: Interpolation

_isDisposed

_isDisposed: boolean = false

_isFloating

_isFloating: boolean

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

_referenceDate

_referenceDate: Date

_shift

_shift: Rate

Private _stdDevHandles

_stdDevHandles: Array<Handle<Quote>>

Private _strikes

_strikes: Rate[]

_volatilityType

_volatilityType: VolatilityType

Private _vols

_vols: Volatility[]

alwaysForwardNotifications

alwaysForwardNotifications: () => void

Type declaration

- (): void
- Returns void

calculate

calculate: () => void

Type declaration

- (): void
- Returns void

dayCounter

dayCounter: () => DayCounter

Type declaration

- (): DayCounter
- Returns DayCounter

deepUpdate

deepUpdate: () => void

Type declaration

- (): void
- Returns void

density

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

Type declaration

- (strike: Rate, discount?: Real, gap?: Real): Real
- Parameters
  - strike: Rate
  - Optional discount: Real
  - Optional gap: Real
  Returns Real

digitalOptionPrice

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

Type declaration

- (strike: Rate, type?: Type, discount?: Real, gap?: Real): Real
- Parameters
  - strike: Rate
  - Optional type: Type
  - Optional discount: Real
  - Optional gap: Real
  Returns Real

dispose

dispose: () => void

Type declaration

- (): void
- Returns void

exerciseDate

exerciseDate: () => Date

Type declaration

- (): Date
- Returns Date

exerciseTime

exerciseTime: () => Time

Type declaration

- (): Time
- Returns Time

freeze

freeze: () => void

Type declaration

- (): void
- Returns void

i

i: Interpolator

init1

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

Type declaration

- (d: Date, dc?: DayCounter, referenceDate?: Date, type?: VolatilityType, shift?: Rate): SmileSection
- Parameters
  - d: Date
  - Optional dc: DayCounter
  - Optional referenceDate: Date
  - Optional type: VolatilityType
  - Optional shift: Rate
  Returns SmileSection

init2

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

Type declaration

- (exerciseTime: Time, dc?: DayCounter, type?: VolatilityType, shift?: Rate): SmileSection
- Parameters
  - exerciseTime: Time
  - Optional dc: DayCounter
  - Optional type: VolatilityType
  - Optional shift: Rate
  Returns SmileSection

initializeExerciseTime

initializeExerciseTime: () => void

Type declaration

- (): void
- Returns void

isDisposed

isDisposed: boolean

notifyObservers

notifyObservers: () => void

Type declaration

- (): void
- Returns void

optionPrice

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

Type declaration

- (strike: Rate, type?: Type, discount?: Real): Real
- Parameters
  - strike: Rate
  - Optional type: Type
  - Optional discount: Real
  Returns Real

recalculate

recalculate: () => void

Type declaration

- (): void
- Returns void

referenceDate

referenceDate: () => Date

Type declaration

- (): Date
- Returns Date

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

shift

shift: () => Rate

Type declaration

- (): Rate
- Returns Rate

unfreeze

unfreeze: () => void

Type declaration

- (): void
- 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

variance

variance: (strike: Rate) => Real

Type declaration

- (strike: Rate): Real
- Parameters
  - strike: Rate
  Returns Real

vega

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

Type declaration

- (strike: Rate, discount?: Real): Real
- Parameters
  - strike: Rate
  - Optional discount: Real
  Returns Real

volatility1

volatility1: (strike: Rate) => Volatility

Type declaration

- (strike: Rate): Volatility
- Parameters
  - strike: Rate
  Returns Volatility

volatility2

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

Type declaration

- (strike: Rate, volatilityType: VolatilityType, shift?: Real): Volatility
- Parameters
  - strike: Rate
  - volatilityType: VolatilityType
  - Optional shift: Real
  Returns Volatility

volatilityType

volatilityType: () => VolatilityType

Type declaration

- (): VolatilityType
- Returns VolatilityType

Methods

atmLevel

atmLevel(): Real

Overrides SmileSectionLazyObject.atmLevel
- Defined in ql/termstructures/volatility/interpolatedsmilesection.ts:152
Returns Real

issInit1

issInit1(timeToExpiry: Time, strikes: Rate[], stdDevHandles: Array<Handle<Quote>>, atmLevel: Handle<Quote>, dc?: DayCounter, type?: VolatilityType, shift?: Real): InterpolatedSmileSection

- Defined in ql/termstructures/volatility/interpolatedsmilesection.ts:27
Parameters
- timeToExpiry: Time
- strikes: Rate[]
- stdDevHandles: Array<Handle<Quote>>
- atmLevel: Handle<Quote>
- Default value dc: DayCounter = new Actual365Fixed()
- Default value type: VolatilityType = VolatilityType.ShiftedLognormal
- Default value shift: Real = 0
Returns InterpolatedSmileSection

issInit2

issInit2(timeToExpiry: Time, strikes: Rate[], stdDevs: Real[], atmLevel: Real, dc?: DayCounter, type?: VolatilityType, shift?: Real): InterpolatedSmileSection

- Defined in ql/termstructures/volatility/interpolatedsmilesection.ts:51
Parameters
- timeToExpiry: Time
- strikes: Rate[]
- stdDevs: Real[]
- atmLevel: Real
- Default value dc: DayCounter = new Actual365Fixed()
- Default value type: VolatilityType = VolatilityType.ShiftedLognormal
- Default value shift: Real = 0
Returns InterpolatedSmileSection

issInit3

issInit3(d: Date, strikes: Rate[], stdDevHandles: Array<Handle<Quote>>, atmLevel: Handle<Quote>, dc?: DayCounter, referenceDate?: Date, type?: VolatilityType, shift?: Real): InterpolatedSmileSection

- Defined in ql/termstructures/volatility/interpolatedsmilesection.ts:76
Parameters
- d: Date
- strikes: Rate[]
- stdDevHandles: Array<Handle<Quote>>
- atmLevel: Handle<Quote>
- Default value dc: DayCounter = new Actual365Fixed()
- Default value referenceDate: Date = null
- Default value type: VolatilityType = VolatilityType.ShiftedLognormal
- Default value shift: Real = 0
Returns InterpolatedSmileSection

issInit4

issInit4(d: Date, strikes: Rate[], stdDevs: Real[], atmLevel: Real, dc?: DayCounter, referenceDate?: Date, type?: VolatilityType, shift?: Real): InterpolatedSmileSection

- Defined in ql/termstructures/volatility/interpolatedsmilesection.ts:101
Parameters
- d: Date
- strikes: Rate[]
- stdDevs: Real[]
- atmLevel: Real
- Default value dc: DayCounter = new Actual365Fixed()
- Default value referenceDate: Date = null
- Default value type: VolatilityType = VolatilityType.ShiftedLognormal
- Default value shift: Real = 0
Returns InterpolatedSmileSection

maxStrike

maxStrike(): Real

Overrides SmileSectionLazyObject.maxStrike
- Defined in ql/termstructures/volatility/interpolatedsmilesection.ts:148
Returns Real

minStrike

minStrike(): Real

Overrides SmileSectionLazyObject.minStrike
- Defined in ql/termstructures/volatility/interpolatedsmilesection.ts:144
Returns Real

performCalculations

performCalculations(): void

Overrides SmileSectionLazyObject.performCalculations
- Defined in ql/termstructures/volatility/interpolatedsmilesection.ts:125
Returns void

update

update(): void

Overrides SmileSectionLazyObject.update
- Defined in ql/termstructures/volatility/interpolatedsmilesection.ts:156
Returns void

varianceImpl

varianceImpl(strike: Rate): Real

Overrides SmileSectionLazyObject.varianceImpl
- Defined in ql/termstructures/volatility/interpolatedsmilesection.ts:133
Parameters
- strike: Rate
Returns Real

volatilityImpl

volatilityImpl(strike: Rate): Volatility

Overrides SmileSectionLazyObject.volatilityImpl
- Defined in ql/termstructures/volatility/interpolatedsmilesection.ts:139
Parameters
- strike: Rate
Returns Volatility

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Parameters

i: Interpolator

Returns InterpolatedSmileSection

Properties

_alwaysForward

Private _atmLevel

_calculated

_dc

_exerciseDate

_exerciseTime

Private _exerciseTimeSquareRoot

_frozen

Private _interpolation

_isDisposed

_isFloating

_observables

_observers

_referenceDate

_shift

Private _stdDevHandles

Private _strikes

_volatilityType

Private _vols

alwaysForwardNotifications

Type declaration

Returns void

calculate

Type declaration

Returns void

dayCounter

Type declaration

Returns DayCounter

deepUpdate

Type declaration

Returns void

density

Type declaration

Parameters

strike: Rate

Optional discount: Real

Optional gap: Real

Returns Real

digitalOptionPrice

Type declaration

Parameters

strike: Rate

Optional type: Type

Optional discount: Real

Optional gap: Real

Returns Real

dispose

Type declaration

Returns void

exerciseDate

Type declaration

Returns Date

exerciseTime

Type declaration

Returns Time

freeze

Type declaration

Returns void

i

init1

Type declaration

Parameters

d: Date

Optional dc: DayCounter

Optional referenceDate: Date

Optional type: VolatilityType

Optional shift: Rate

Returns SmileSection