KahaleSmileSection | quantlib.js

Hierarchy

SmileSection
- KahaleSmileSection

Implements

Index

Constructors

constructor

Constructors

constructor

new KahaleSmileSection(source: SmileSection, atm?: Real, interpolate?: boolean, exponentialExtrapolation?: boolean, deleteArbitragePoints?: boolean, moneynessGrid?: Real[], gap?: Real, forcedLeftIndex?: Integer, forcedRightIndex?: Integer): KahaleSmileSection

- Defined in ql/termstructures/volatility/kahalesmilesection.ts:26
Parameters
- source: SmileSection
- Default value atm: Real = QL_NULL_REAL
- Default value interpolate: boolean = false
- Default value exponentialExtrapolation: boolean = false
- Default value deleteArbitragePoints: boolean = false
- Default value moneynessGrid: Real[] = []
- Default value gap: Real = 0.00001
- Default value forcedLeftIndex: Integer = -1
- Default value forcedRightIndex: Integer = QL_MAX_INTEGER
Returns KahaleSmileSection

Properties

Private _c

_c: Real[]

Private _cFunctions

_cFunctions: cFunction[]

_dc

_dc: DayCounter

_exerciseDate

_exerciseDate: Date

_exerciseTime

_exerciseTime: Time

Private _exponentialExtrapolation

_exponentialExtrapolation: boolean

Private _f

_f: Real

Private _forcedLeftIndex

_forcedLeftIndex: Integer

Private _forcedRightIndex

_forcedRightIndex: Integer

Private _gap

_gap: Real

Private _interpolate

_interpolate: boolean

_isDisposed

_isDisposed: boolean = false

_isFloating

_isFloating: boolean

Private _k

_k: Real[]

Private _leftIndex

_leftIndex: Size

Private _moneynessGrid

_moneynessGrid: Real[]

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

_referenceDate

_referenceDate: Date

Private _rightIndex

_rightIndex: Size

_shift

_shift: Rate

Private _source

_source: SmileSection

Private _ssutils

_ssutils: SmileSectionUtils

_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/kahalesmilesection.ts:77
Returns Real

Private compute

compute(): void

- Defined in ql/termstructures/volatility/kahalesmilesection.ts:167
Returns void

coreIndices

coreIndices(): [Size, Size]

- Defined in ql/termstructures/volatility/kahalesmilesection.ts:113
Returns [Size, Size]

dayCounter

dayCounter(): DayCounter

Overrides SmileSection.dayCounter
- Defined in ql/termstructures/volatility/kahalesmilesection.ts:89
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

Overrides SmileSection.exerciseDate
- Defined in ql/termstructures/volatility/kahalesmilesection.ts:81
Returns Date

exerciseTime

exerciseTime(): Time

Overrides SmileSection.exerciseTime
- Defined in ql/termstructures/volatility/kahalesmilesection.ts:85
Returns Time

Private index

index(strike: Rate): Size

- Defined in ql/termstructures/volatility/kahalesmilesection.ts:160
Parameters
- strike: Rate
Returns Size

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

leftCoreStrike

leftCoreStrike(): Real

- Defined in ql/termstructures/volatility/kahalesmilesection.ts:105
Returns Real

maxStrike

maxStrike(): Real

Overrides SmileSection.maxStrike
- Defined in ql/termstructures/volatility/kahalesmilesection.ts:73
Returns Real

minStrike

minStrike(): Real

Overrides SmileSection.minStrike
- Defined in ql/termstructures/volatility/kahalesmilesection.ts:69
Returns Real

optionPrice

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

Overrides SmileSection.optionPrice
- Defined in ql/termstructures/volatility/kahalesmilesection.ts:117
Parameters
- strike: Rate
- Default value type: Type = Option.Type.Call
- Default value discount: Real = 1
Returns Real

referenceDate

referenceDate(): Date

Overrides SmileSection.referenceDate
- Defined in ql/termstructures/volatility/kahalesmilesection.ts:93
Returns Date

rightCoreStrike

rightCoreStrike(): Real

- Defined in ql/termstructures/volatility/kahalesmilesection.ts:109
Returns Real

shift

shift(): Real

Overrides SmileSection.shift
- Defined in ql/termstructures/volatility/kahalesmilesection.ts:101
Returns Real

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): Volatility

Overrides SmileSection.volatilityImpl
- Defined in ql/termstructures/volatility/kahalesmilesection.ts:137
Parameters
- strike: Rate
Returns Volatility

volatilityType

volatilityType(): VolatilityType

Overrides SmileSection.volatilityType
- Defined in ql/termstructures/volatility/kahalesmilesection.ts:97
Returns VolatilityType

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Parameters

source: SmileSection

Default value atm: Real = QL_NULL_REAL

Default value interpolate: boolean = false

Default value exponentialExtrapolation: boolean = false

Default value deleteArbitragePoints: boolean = false

Default value moneynessGrid: Real[] = []

Default value gap: Real = 0.00001

Default value forcedLeftIndex: Integer = -1

Default value forcedRightIndex: Integer = QL_MAX_INTEGER

Returns KahaleSmileSection

Properties

Private _c

Private _cFunctions

_dc

_exerciseDate

_exerciseTime

Private _exponentialExtrapolation

Private _f

Private _forcedLeftIndex

Private _forcedRightIndex

Private _gap

Private _interpolate

_isDisposed

_isFloating

Private _k

Private _leftIndex

Private _moneynessGrid

_observables

_observers

_referenceDate

Private _rightIndex

_shift

Private _source

Private _ssutils

_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