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Constant caplet volatility, no time-strike dependence

Hierarchy

Implements

Index

Constructors

constructor

Properties

_bdc

_calendar

_calendar: Calendar

_dayCounter

_dayCounter: DayCounter

Private _displacement

_displacement: Real

_extrapolate

_extrapolate: boolean

_isDisposed

_isDisposed: boolean = false

_moving

_moving: boolean

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

_referenceDate

_referenceDate: Date

_settlementDays

_settlementDays: Natural

Private _type

_updated

_updated: boolean

Private _volatility

_volatility: Handle<Quote>

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

blackVariance1

  • returns the Black variance for a given option tenor and strike rate

    Parameters

    • optionTenor: Period
    • strike: Rate
    • Default value extrapolate: boolean = false

    Returns Volatility

blackVariance2

  • blackVariance2(optionDate: Date, strike: Rate, extrapolate?: boolean): Volatility
  • returns the Black variance for a given option date and strike rate 2. blackVariance methods rely on volatility methods

    Parameters

    • optionDate: Date
    • strike: Rate
    • Default value extrapolate: boolean = false

    Returns Volatility

blackVariance3

  • returns the Black variance for a given option time and strike rate

    Parameters

    • optionTime: Time
    • strike: Rate
    • Default value extrapolate: boolean = false

    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

checkStrike

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

covInit1

covInit2

covInit3

covInit4

dayCounter

displacement

  • displacement(): Real

maxDate

  • maxDate(): Date
  • Returns Date

maxStrike

maxTime

  • the latest time for which the curve can return values

    Returns Time

minStrike

optionDateFromTenor

  • optionDateFromTenor(p: Period): Date

ovsInit1

ovsInit2

ovsInit3

referenceDate

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

    Returns Date

settlementDays

smileSection1

smileSection2

  • smileSection2(optionDate: Date, extr?: boolean): SmileSection
  • returns the smile for a given option date

    Parameters

    • optionDate: Date
    • Default value extr: boolean = false

    Returns SmileSection

smileSection3

smileSectionImpl1

smileSectionImpl2

timeFromReference

  • timeFromReference(d: Date): Time

tsInit1

tsInit2

tsInit3

update

  • update(): void

volatility1

  • returns the volatility for a given option tenor and strike rate

    1. Period-based methods convert Period to Date and then use the equivalent Date-based methods

    Parameters

    • optionTenor: Period
    • strike: Rate
    • Default value extrapolate: boolean = false

    Returns Volatility

volatility2

  • volatility2(optionDate: Date, strike: Rate, extrapolate?: boolean): Volatility
  • returns the volatility for a given option date and strike rate 3. relying on xxxImpl methods

    Parameters

    • optionDate: Date
    • strike: Rate
    • Default value extrapolate: boolean = false

    Returns Volatility

volatility3

  • returns the volatility for a given option time and strike rate

    Parameters

    • optionTime: Time
    • strike: Rate
    • Default value extrapolate: boolean = false

    Returns Volatility

volatilityImpl1

volatilityImpl2

volatilityType

vtsInit1

vtsInit2

vtsInit3