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Hierarchy

Implements

Index

Constructors

constructor

Properties

_alwaysForward

_alwaysForward: boolean = false

Private _atmLevel

_atmLevel: Handle<Quote>

_calculated

_calculated: boolean = false

_dc

_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

deepUpdate

deepUpdate: () => void

Type declaration

    • (): void
    • Returns void

density

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

Type declaration

digitalOptionPrice

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

Type declaration

dispose

dispose: () => void

Type declaration

    • (): void
    • Returns void

exerciseDate

exerciseDate: () => Date

Type declaration

    • (): Date
    • Returns Date

exerciseTime

exerciseTime: () => Time

Type declaration

freeze

freeze: () => void

Type declaration

    • (): void
    • Returns void

i

init1

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

Type declaration

init2

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

Type declaration

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

recalculate

recalculate: () => void

Type declaration

    • (): void
    • Returns void

referenceDate

referenceDate: () => Date

Type declaration

    • (): Date
    • Returns Date

registerObserver

registerObserver: (o: Observer) => void

Type declaration

registerWith

registerWith: (h: Observable) => void

Type declaration

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

shift

shift: () => Rate

Type declaration

unfreeze

unfreeze: () => void

Type declaration

    • (): void
    • Returns void

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

unregisterWithAll

unregisterWithAll: () => void

Type declaration

    • (): void
    • Returns void

variance

variance: (strike: Rate) => Real

Type declaration

vega

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

Type declaration

volatility1

volatility1: (strike: Rate) => Volatility

Type declaration

volatility2

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

Type declaration

volatilityType

volatilityType: () => VolatilityType

Type declaration

Methods

atmLevel

issInit1

issInit2

issInit3

  • 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

  • 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

minStrike

performCalculations

  • performCalculations(): void

update

  • update(): void

varianceImpl

volatilityImpl