SpreadedOptionletVolatility

Hierarchy

OptionletVolatilityStructure
- SpreadedOptionletVolatility

Implements

Index

Constructors

constructor

Constructors

constructor

new SpreadedOptionletVolatility(baseVol: Handle<OptionletVolatilityStructure>, spread: Handle<Quote>): SpreadedOptionletVolatility

Overrides OptionletVolatilityStructure.constructor
- Defined in ql/termstructures/volatility/optionlet/spreadedoptionletvol.ts:17
Parameters
- baseVol: Handle<OptionletVolatilityStructure>
- spread: Handle<Quote>
Returns SpreadedOptionletVolatility

Properties

Private _baseVol

_baseVol: Handle<OptionletVolatilityStructure>

_bdc

_bdc: BusinessDayConvention

_calendar

_calendar: Calendar

_dayCounter

_dayCounter: DayCounter

_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 _spread

_spread: Handle<Quote>

_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

- (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

blackVariance1

blackVariance1(optionTenor: Period, strike: Rate, extrapolate?: boolean): Volatility

Inherited from OptionletVolatilityStructure.blackVariance1
- Defined in ql/termstructures/volatility/optionlet/optionletvolatilitystructure.ts:92
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

Inherited from OptionletVolatilityStructure.blackVariance2
- Defined in ql/termstructures/volatility/optionlet/optionletvolatilitystructure.ts:102
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

blackVariance3(optionTime: Time, strike: Rate, extrapolate?: boolean): Volatility

Inherited from OptionletVolatilityStructure.blackVariance3
- Defined in ql/termstructures/volatility/optionlet/optionletvolatilitystructure.ts:110
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

businessDayConvention(): BusinessDayConvention

Overrides VolatilityTermStructure.businessDayConvention
- Defined in ql/termstructures/volatility/optionlet/spreadedoptionletvol.ts:47
Returns BusinessDayConvention

calendar

calendar(): Calendar

Overrides TermStructure.calendar
- Defined in ql/termstructures/volatility/optionlet/spreadedoptionletvol.ts:39
Returns Calendar

checkRange1

checkRange1(d: Date, extrapolate: boolean): void

Inherited from TermStructure.checkRange1
- Defined in ql/termstructure.ts:188
date-range check

Parameters
- d: Date
- extrapolate: boolean
Returns void

checkRange2

checkRange2(t: Time, extrapolate: boolean): void

Inherited from TermStructure.checkRange2
- Defined in ql/termstructure.ts:199
time-range check

Parameters
- t: Time
- extrapolate: boolean
Returns void

checkStrike

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

Inherited from VolatilityTermStructure.checkStrike
- Defined in ql/termstructures/voltermstructure.ts:64
Parameters
- k: Rate
- extrapolate: boolean
Returns void

dayCounter

dayCounter(): DayCounter

Overrides TermStructure.dayCounter
- Defined in ql/termstructures/volatility/optionlet/spreadedoptionletvol.ts:23
Returns DayCounter

displacement

displacement(): Real

Overrides OptionletVolatilityStructure.displacement
- Defined in ql/termstructures/volatility/optionlet/spreadedoptionletvol.ts:63
Returns Real

maxDate

maxDate(): Date

Overrides TermStructure.maxDate
- Defined in ql/termstructures/volatility/optionlet/spreadedoptionletvol.ts:27
Returns Date

maxStrike

maxStrike(): Rate

Overrides VolatilityTermStructure.maxStrike
- Defined in ql/termstructures/volatility/optionlet/spreadedoptionletvol.ts:55
Returns Rate

maxTime

maxTime(): Time

Overrides TermStructure.maxTime
- Defined in ql/termstructures/volatility/optionlet/spreadedoptionletvol.ts:31
Returns Time

minStrike

minStrike(): Rate

Overrides VolatilityTermStructure.minStrike
- Defined in ql/termstructures/volatility/optionlet/spreadedoptionletvol.ts:51
Returns Rate

optionDateFromTenor

optionDateFromTenor(p: Period): Date

Inherited from VolatilityTermStructure.optionDateFromTenor
- Defined in ql/termstructures/voltermstructure.ts:50
Parameters
- p: Period
Returns Date

ovsInit1

ovsInit1(bdc?: BusinessDayConvention, dc?: DayCounter): OptionletVolatilityStructure

Inherited from OptionletVolatilityStructure.ovsInit1
- Defined in ql/termstructures/volatility/optionlet/optionletvolatilitystructure.ts:34
Parameters
- Default value bdc: BusinessDayConvention = BusinessDayConvention.Following
- Default value dc: DayCounter = new DayCounter()
Returns OptionletVolatilityStructure

ovsInit2

ovsInit2(referenceDate: Date, cal: Calendar, bdc: BusinessDayConvention, dc?: DayCounter): OptionletVolatilityStructure

Inherited from OptionletVolatilityStructure.ovsInit2
- Defined in ql/termstructures/volatility/optionlet/optionletvolatilitystructure.ts:45
Parameters
- referenceDate: Date
- cal: Calendar
- bdc: BusinessDayConvention
- Default value dc: DayCounter = new DayCounter()
Returns OptionletVolatilityStructure

ovsInit3

ovsInit3(settlementDays: Natural, cal: Calendar, bdc: BusinessDayConvention, dc?: DayCounter): OptionletVolatilityStructure

Inherited from OptionletVolatilityStructure.ovsInit3
- Defined in ql/termstructures/volatility/optionlet/optionletvolatilitystructure.ts:56
Parameters
- settlementDays: Natural
- cal: Calendar
- bdc: BusinessDayConvention
- Default value dc: DayCounter = new DayCounter()
Returns OptionletVolatilityStructure

referenceDate

referenceDate(): Date

Overrides TermStructure.referenceDate
- Defined in ql/termstructures/volatility/optionlet/spreadedoptionletvol.ts:35
Returns Date

settlementDays

settlementDays(): Natural

Overrides TermStructure.settlementDays
- Defined in ql/termstructures/volatility/optionlet/spreadedoptionletvol.ts:43
Returns Natural

smileSection1

smileSection1(optionTenor: Period, extr?: boolean): SmileSection

Inherited from OptionletVolatilityStructure.smileSection1
- Defined in ql/termstructures/volatility/optionlet/optionletvolatilitystructure.ts:117
returns the smile for a given option tenor

Parameters
- optionTenor: Period
- Default value extr: boolean = false
Returns SmileSection

smileSection2

smileSection2(optionDate: Date, extr?: boolean): SmileSection

Inherited from OptionletVolatilityStructure.smileSection2
- Defined in ql/termstructures/volatility/optionlet/optionletvolatilitystructure.ts:123
returns the smile for a given option date

Parameters
- optionDate: Date
- Default value extr: boolean = false
Returns SmileSection

smileSection3

smileSection3(optionTime: Time, extr?: boolean): SmileSection

Inherited from OptionletVolatilityStructure.smileSection3
- Defined in ql/termstructures/volatility/optionlet/optionletvolatilitystructure.ts:129
returns the smile for a given option time

Parameters
- optionTime: Time
- Default value extr: boolean = false
Returns SmileSection

smileSectionImpl1

smileSectionImpl1(d: Date): SmileSection

Overrides OptionletVolatilityStructure.smileSectionImpl1
- Defined in ql/termstructures/volatility/optionlet/spreadedoptionletvol.ts:67
Parameters
- d: Date
Returns SmileSection

smileSectionImpl2

smileSectionImpl2(optionTime: Time): SmileSection

Overrides OptionletVolatilityStructure.smileSectionImpl2
- Defined in ql/termstructures/volatility/optionlet/spreadedoptionletvol.ts:73
Parameters
- optionTime: Time
Returns SmileSection

timeFromReference

timeFromReference(d: Date): Time

Inherited from TermStructure.timeFromReference
- Defined in ql/termstructure.ts:125
date/time conversion

Parameters
- d: Date
Returns Time

tsInit1

tsInit1(dc?: DayCounter): TermStructure

Inherited from TermStructure.tsInit1
- Defined in ql/termstructure.ts:79
Parameters
- Default value dc: DayCounter = new DayCounter()
Returns TermStructure

tsInit2

tsInit2(referenceDate: Date, calendar?: Calendar, dc?: DayCounter): TermStructure

Inherited from TermStructure.tsInit2
- Defined in ql/termstructure.ts:91
Parameters
- referenceDate: Date
- Default value calendar: Calendar = new Calendar()
- Default value dc: DayCounter = new DayCounter()
Returns TermStructure

tsInit3

tsInit3(settlementDays: Natural, calendar: Calendar, dc?: DayCounter): TermStructure

Inherited from TermStructure.tsInit3
- Defined in ql/termstructure.ts:107
Parameters
- settlementDays: Natural
- calendar: Calendar
- Default value dc: DayCounter = new DayCounter()
Returns TermStructure

update

update(): void

Inherited from TermStructure.update

Overrides ObserverObservableExtrapolator.update
- Defined in ql/termstructure.ts:163
Returns void

volatility1

volatility1(optionTenor: Period, strike: Rate, extrapolate?: boolean): Volatility

Inherited from OptionletVolatilityStructure.volatility1
- Defined in ql/termstructures/volatility/optionlet/optionletvolatilitystructure.ts:68
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

Inherited from OptionletVolatilityStructure.volatility2
- Defined in ql/termstructures/volatility/optionlet/optionletvolatilitystructure.ts:78
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

volatility3(optionTime: Time, strike: Rate, extrapolate?: boolean): Volatility

Inherited from OptionletVolatilityStructure.volatility3
- Defined in ql/termstructures/volatility/optionlet/optionletvolatilitystructure.ts:85
returns the volatility for a given option time and strike rate

Parameters
- optionTime: Time
- strike: Rate
- Default value extrapolate: boolean = false
Returns Volatility

volatilityImpl1

volatilityImpl1(optionDate: Date, strike: Rate): Volatility

Inherited from OptionletVolatilityStructure.volatilityImpl1
- Defined in ql/termstructures/volatility/optionlet/optionletvolatilitystructure.ts:142
Parameters
- optionDate: Date
- strike: Rate
Returns Volatility

volatilityImpl2

volatilityImpl2(t: Time, s: Rate): Volatility

Overrides OptionletVolatilityStructure.volatilityImpl2
- Defined in ql/termstructures/volatility/optionlet/spreadedoptionletvol.ts:79
Parameters
- t: Time
- s: Rate
Returns Volatility

volatilityType

volatilityType(): VolatilityType

Overrides OptionletVolatilityStructure.volatilityType
- Defined in ql/termstructures/volatility/optionlet/spreadedoptionletvol.ts:59
Returns VolatilityType

vtsInit1

vtsInit1(bdc: BusinessDayConvention, dc?: DayCounter): VolatilityTermStructure

Inherited from VolatilityTermStructure.vtsInit1
- Defined in ql/termstructures/voltermstructure.ts:21
Parameters
- bdc: BusinessDayConvention
- Default value dc: DayCounter = new DayCounter()
Returns VolatilityTermStructure

vtsInit2

vtsInit2(referenceDate: Date, cal: Calendar, bdc: BusinessDayConvention, dc?: DayCounter): VolatilityTermStructure

Inherited from VolatilityTermStructure.vtsInit2
- Defined in ql/termstructures/voltermstructure.ts:29
Parameters
- referenceDate: Date
- cal: Calendar
- bdc: BusinessDayConvention
- Default value dc: DayCounter = new DayCounter()
Returns VolatilityTermStructure

vtsInit3

vtsInit3(settlementDays: Natural, cal: Calendar, bdc: BusinessDayConvention, dc?: DayCounter): VolatilityTermStructure

Inherited from VolatilityTermStructure.vtsInit3
- Defined in ql/termstructures/voltermstructure.ts:38
Parameters
- settlementDays: Natural
- cal: Calendar
- bdc: BusinessDayConvention
- Default value dc: DayCounter = new DayCounter()
Returns VolatilityTermStructure

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Parameters

baseVol: Handle<OptionletVolatilityStructure>

spread: Handle<Quote>

Returns SpreadedOptionletVolatility

Properties

Private _baseVol

_bdc

_calendar

_dayCounter

_extrapolate

_isDisposed

_moving

_observables

_observers

_referenceDate

_settlementDays

Private _spread

_updated

allowsExtrapolation

Type declaration

Returns boolean

deepUpdate

Type declaration

Returns void

disableExtrapolation

Type declaration

Parameters

Optional b: boolean

Returns void

dispose

Type declaration

Returns void

enableExtrapolation

Type declaration

Parameters

Optional b: boolean

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

blackVariance1

Parameters