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Class StrippedOptionletAdapter

Adapter class for turning a StrippedOptionletBase object into an OptionletVolatilityStructure.

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Properties

_alwaysForward

_alwaysForward: boolean = false

_bdc

_bdc: BusinessDayConvention

_calculated

_calculated: boolean = false

_calendar

_calendar: Calendar

_dayCounter

_dayCounter: DayCounter

_extrapolate

_extrapolate: boolean

_frozen

_frozen: boolean = false

_isDisposed

_isDisposed: boolean = false

_moving

_moving: boolean

Private _nInterpolations

_nInterpolations: Size

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Private _optionletStripper

_optionletStripper: StrippedOptionletBase

_referenceDate

_referenceDate: Date

_settlementDays

_settlementDays: Natural

Private _strikeInterpolations

_strikeInterpolations: Interpolation[]

_updated

_updated: boolean

allowsExtrapolation

allowsExtrapolation: () => boolean

Type declaration

    • (): boolean

    • Returns boolean

alwaysForwardNotifications

alwaysForwardNotifications: () => void

Type declaration

    • (): void

    • Returns void

blackVariance1

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

Type declaration

blackVariance2

blackVariance2: (optionDate: Date, strike: Rate, extrapolate?: boolean) => Volatility

Type declaration

    • Parameters

      • optionDate: Date
      • strike: Rate
      • Optional extrapolate: boolean

      Returns Volatility

blackVariance3

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

Type declaration

businessDayConvention

businessDayConvention: () => BusinessDayConvention

Type declaration

calculate

calculate: () => void

Type declaration

    • (): void

    • Returns void

calendar

calendar: () => Calendar

Type declaration

checkRange1

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

Type declaration

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

    • Parameters

      • d: Date
      • extrapolate: boolean

      Returns void

checkRange2

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

Type declaration

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

    • Parameters

      • t: Time
      • extrapolate: boolean

      Returns void

checkStrike

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

Type declaration

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

    • Parameters

      • k: Rate
      • extrapolate: boolean

      Returns void

dayCounter

dayCounter: () => DayCounter

Type declaration

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

freeze

freeze: () => void

Type declaration

    • (): void

    • Returns void

isDisposed

isDisposed: boolean

maxTime

maxTime: () => Time

Type declaration

notifyObservers

notifyObservers: () => void

Type declaration

    • (): void

    • Returns void

optionDateFromTenor

optionDateFromTenor: (p: Period) => Date

Type declaration

ovsInit1

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

Type declaration

ovsInit2

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

Type declaration

ovsInit3

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

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

settlementDays

settlementDays: () => Natural

Type declaration

smileSection1

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

Type declaration

smileSection2

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

Type declaration

    • Parameters

      • optionDate: Date
      • Optional extr: boolean

      Returns SmileSection

smileSection3

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

Type declaration

smileSectionImpl1

smileSectionImpl1: (optionDate: Date) => SmileSection

Type declaration

smileSectionImpl2

smileSectionImpl2: (optionTime: Time) => SmileSection

Type declaration

timeFromReference

timeFromReference: (date: Date) => Time

Type declaration

    • (date: Date): Time

    • Parameters

      • date: Date

      Returns Time

tsInit1

tsInit1: (dc: DayCounter) => TermStructure

Type declaration

tsInit2

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

Type declaration

tsInit3

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

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

volatility1

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

Type declaration

volatility2

volatility2: (optionDate: Date, strike: Rate, extrapolate?: boolean) => Volatility

Type declaration

    • Parameters

      • optionDate: Date
      • strike: Rate
      • Optional extrapolate: boolean

      Returns Volatility

volatility3

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

Type declaration

volatilityImpl1

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

Type declaration

volatilityImpl2

volatilityImpl2: (optionTime: Time, strike: Rate) => Volatility

Type declaration

vtsInit1

vtsInit1: (bdc: BusinessDayConvention, dc: DayCounter) => VolatilityTermStructure

Type declaration

vtsInit2

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

Type declaration

vtsInit3

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

Type declaration

Methods

deepUpdate

  • deepUpdate(): void

displacement

  • displacement(): Real

maxDate

  • maxDate(): Date

maxStrike

minStrike

optionletStripper

  • Returns OptionletStripper

performCalculations

  • performCalculations(): void

smileSectionImpl

  • Parameters

    Returns SmileSection

update

  • update(): void

volatilityImpl

  • Parameters

    Returns Volatility

volatilityType