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Class SabrInterpolatedSmileSection

Hierarchy

Implements

Index

Properties

Methods

Properties

Protected _actualStrikes

_actualStrikes: Rate[]

Protected _alpha

_alpha: Real

_alwaysForward

_alwaysForward: boolean = false

Protected _atmVolatility

_atmVolatility: Handle<Quote>

Protected _beta

_beta: Real

_calculated

_calculated: boolean = false

_dc

_dc: DayCounter

Protected _endCriteria

_endCriteria: EndCriteria

Protected _evaluationDate

_evaluationDate: Date

_exerciseDate

_exerciseDate: Date

_exerciseTime

_exerciseTime: Time

Protected _forward

_forward: Handle<Quote>

Protected _forwardValue

_forwardValue: Real

_frozen

_frozen: boolean = false

Protected _hasFloatingStrikes

_hasFloatingStrikes: boolean

Protected _isAlphaFixed

_isAlphaFixed: boolean

Protected _isBetaFixed

_isBetaFixed: boolean

_isDisposed

_isDisposed: boolean = false

_isFloating

_isFloating: boolean

Protected _isNuFixed

_isNuFixed: boolean

Protected _isRhoFixed

_isRhoFixed: boolean

Protected _method

_method: OptimizationMethod

Protected _nu

_nu: Real

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

_referenceDate

_referenceDate: Date

Protected _rho

_rho: Real

Protected _sabrInterpolation

_sabrInterpolation: SABRInterpolation

_shift

_shift: Rate

Protected _strikes

_strikes: Rate[]

Protected _vegaWeighted

_vegaWeighted: boolean

Protected _volHandles

_volHandles: Array<Handle<Quote>>

_volatilityType

_volatilityType: VolatilityType

Protected _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

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

alpha

  • Returns Real

atmLevel

beta

  • Returns Real

Protected createInterpolation

  • createInterpolation(): void

  • Returns void

endCriteria

  • endCriteria(): Type

  • Returns Type

maxError

  • Returns Real

maxStrike

minStrike

nu

  • Returns Real

performCalculations

  • performCalculations(): void

rho

  • Returns Real

rmsError

  • Returns Real

sissInit1

  • Parameters

    • optionDate: Date
    • forward: Handle<Quote>
    • strikes: Rate[]
    • hasFloatingStrikes: boolean
    • atmVolatility: Handle<Quote>
    • volHandles: Array<Handle<Quote>>
    • alpha: Real
    • beta: Real
    • nu: Real
    • rho: Real
    • Default value isAlphaFixed: boolean = false
    • Default value isBetaFixed: boolean = false
    • Default value isNuFixed: boolean = false
    • Default value isRhoFixed: boolean = false
    • Default value vegaWeighted: boolean = true
    • Default value endCriteria: EndCriteria = null
    • Default value method: OptimizationMethod = null
    • Default value dc: DayCounter = new Actual365Fixed()
    • Default value shift: Real = 0

    Returns SabrInterpolatedSmileSection

sissInit2

  • Parameters

    • optionDate: Date
    • forward: Rate
    • strikes: Rate[]
    • hasFloatingStrikes: boolean
    • atmVolatility: Volatility
    • volHandles: Volatility[]
    • alpha: Real
    • beta: Real
    • nu: Real
    • rho: Real
    • Default value isAlphaFixed: boolean = false
    • Default value isBetaFixed: boolean = false
    • Default value isNuFixed: boolean = false
    • Default value isRhoFixed: boolean = false
    • Default value vegaWeighted: boolean = true
    • Default value endCriteria: EndCriteria = null
    • Default value method: OptimizationMethod = null
    • Default value dc: DayCounter = new Actual365Fixed()
    • Default value shift: Real = 0

    Returns SabrInterpolatedSmileSection

update

  • update(): void

varianceImpl

volatilityImpl