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Index

Constructors

constructor

Properties

_dc

_exerciseDate

_exerciseDate: Date

_exerciseTime

_exerciseTime: Time

_isDisposed

_isDisposed: boolean = false

_isFloating

_isFloating: boolean

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

_referenceDate

_referenceDate: Date

_shift

_shift: Rate

Private _spread

_spread: Handle<Quote>

Private _underlyingSection

_underlyingSection: SmileSection

_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

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

atmLevel

dayCounter

deepUpdate

  • deepUpdate(): void

density

  • Parameters

    • strike: Rate
    • Default value discount: Real = 1
    • Default value gap: Real = 0.0001

    Returns Real

digitalOptionPrice

  • 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

exerciseTime

  • exerciseTime(): Time

init1

  • 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

initializeExerciseTime

  • initializeExerciseTime(): void

maxStrike

minStrike

optionPrice

  • Parameters

    • strike: Rate
    • Default value type: Type = Option.Type.Call
    • Default value discount: Real = 1

    Returns Real

referenceDate

  • referenceDate(): Date

shift

  • Returns Rate

update

  • update(): void

variance

varianceImpl

vega

  • Parameters

    • strike: Rate
    • Default value discount: Real = 1

    Returns Real

volatility1

volatility2

volatilityImpl

volatilityType