SpreadedSwaptionVolatility

Hierarchy

SwaptionVolatilityStructure
- SpreadedSwaptionVolatility

Implements

Index

Constructors

constructor

Methods

Constructors

constructor

new SpreadedSwaptionVolatility(baseVol: Handle<SwaptionVolatilityStructure>, spread: Handle<Quote>): SpreadedSwaptionVolatility

- Defined in ql/termstructures/volatility/swaption/spreadedswaptionvol.ts:17
Parameters
- baseVol: Handle<SwaptionVolatilityStructure>
- spread: Handle<Quote>
Returns SpreadedSwaptionVolatility

Properties

Private _baseVol

_baseVol: Handle<SwaptionVolatilityStructure>

_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, swapTenor: Period, strike: Rate, extrapolate?: boolean): Real

Inherited from SwaptionVolatilityStructure.blackVariance1
- Defined in ql/termstructures/volatility/swaption/swaptionvolstructure.ts:100
Parameters
- optionTenor: Period
- swapTenor: Period
- strike: Rate
- Default value extrapolate: boolean = false
Returns Real

blackVariance2

blackVariance2(optionDate: Date, swapTenor: Period, strike: Rate, extrapolate?: boolean): Real

Inherited from SwaptionVolatilityStructure.blackVariance2
- Defined in ql/termstructures/volatility/swaption/swaptionvolstructure.ts:107
Parameters
- optionDate: Date
- swapTenor: Period
- strike: Rate
- Default value extrapolate: boolean = false
Returns Real

blackVariance3

blackVariance3(optionTime: Time, swapTenor: Period, strike: Rate, extrapolate?: boolean): Real

Inherited from SwaptionVolatilityStructure.blackVariance3
- Defined in ql/termstructures/volatility/swaption/swaptionvolstructure.ts:116
Parameters
- optionTime: Time
- swapTenor: Period
- strike: Rate
- Default value extrapolate: boolean = false
Returns Real

blackVariance4

blackVariance4(optionTenor: Period, swapLength: Time, strike: Rate, extrapolate?: boolean): Real

Inherited from SwaptionVolatilityStructure.blackVariance4
- Defined in ql/termstructures/volatility/swaption/swaptionvolstructure.ts:124
Parameters
- optionTenor: Period
- swapLength: Time
- strike: Rate
- Default value extrapolate: boolean = false
Returns Real

blackVariance5

blackVariance5(optionDate: Date, swapLength: Time, strike: Rate, extrapolate?: boolean): Real

Inherited from SwaptionVolatilityStructure.blackVariance5
- Defined in ql/termstructures/volatility/swaption/swaptionvolstructure.ts:131
Parameters
- optionDate: Date
- swapLength: Time
- strike: Rate
- Default value extrapolate: boolean = false
Returns Real

blackVariance6

blackVariance6(optionTime: Time, swapLength: Time, strike: Rate, extrapolate?: boolean): Real

Inherited from SwaptionVolatilityStructure.blackVariance6
- Defined in ql/termstructures/volatility/swaption/swaptionvolstructure.ts:140
Parameters
- optionTime: Time
- swapLength: Time
- strike: Rate
- Default value extrapolate: boolean = false
Returns Real

businessDayConvention

businessDayConvention(): BusinessDayConvention

Inherited from VolatilityTermStructure.businessDayConvention
- Defined in ql/termstructures/voltermstructure.ts:46
Returns BusinessDayConvention

calendar

calendar(): Calendar

Overrides TermStructure.calendar
- Defined in ql/termstructures/volatility/swaption/spreadedswaptionvol.ts:48
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

checkSwapTenor1

checkSwapTenor1(swapTenor: Period, extrapolate: boolean): void

Inherited from SwaptionVolatilityStructure.checkSwapTenor1
- Defined in ql/termstructures/volatility/swaption/swaptionvolstructure.ts:299
Parameters
- swapTenor: Period
- extrapolate: boolean
Returns void

checkSwapTenor2

checkSwapTenor2(swapLength: Time, extrapolate: boolean): void

Inherited from SwaptionVolatilityStructure.checkSwapTenor2
- Defined in ql/termstructures/volatility/swaption/swaptionvolstructure.ts:310
Parameters
- swapLength: Time
- extrapolate: boolean
Returns void

dayCounter

dayCounter(): DayCounter

Overrides TermStructure.dayCounter
- Defined in ql/termstructures/volatility/swaption/spreadedswaptionvol.ts:32
Returns DayCounter

maxDate

maxDate(): Date

Overrides TermStructure.maxDate
- Defined in ql/termstructures/volatility/swaption/spreadedswaptionvol.ts:36
Returns Date

maxStrike

maxStrike(): Rate

Overrides VolatilityTermStructure.maxStrike
- Defined in ql/termstructures/volatility/swaption/spreadedswaptionvol.ts:60
Returns Rate

maxSwapLength

maxSwapLength(): Time

Inherited from SwaptionVolatilityStructure.maxSwapLength
- Defined in ql/termstructures/volatility/swaption/swaptionvolstructure.ts:230
Returns Time

maxSwapTenor

maxSwapTenor(): Period

Overrides SwaptionVolatilityStructure.maxSwapTenor
- Defined in ql/termstructures/volatility/swaption/spreadedswaptionvol.ts:64
Returns Period

maxTime

maxTime(): Time

Overrides TermStructure.maxTime
- Defined in ql/termstructures/volatility/swaption/spreadedswaptionvol.ts:40
Returns Time

minStrike

minStrike(): Rate

Overrides VolatilityTermStructure.minStrike
- Defined in ql/termstructures/volatility/swaption/spreadedswaptionvol.ts:56
Returns Rate

optionDateFromTenor

optionDateFromTenor(p: Period): Date

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

referenceDate

referenceDate(): Date

Overrides TermStructure.referenceDate
- Defined in ql/termstructures/volatility/swaption/spreadedswaptionvol.ts:44
Returns Date

settlementDays

settlementDays(): Natural

Overrides TermStructure.settlementDays
- Defined in ql/termstructures/volatility/swaption/spreadedswaptionvol.ts:52
Returns Natural

shift1

shift1(optionTenor: Period, swapTenor: Period, extrapolate?: boolean): Real

Inherited from SwaptionVolatilityStructure.shift1
- Defined in ql/termstructures/volatility/swaption/swaptionvolstructure.ts:148
Parameters
- optionTenor: Period
- swapTenor: Period
- Default value extrapolate: boolean = false
Returns Real

shift2

shift2(optionDate: Date, swapTenor: Period, extrapolate?: boolean): Real

Inherited from SwaptionVolatilityStructure.shift2
- Defined in ql/termstructures/volatility/swaption/swaptionvolstructure.ts:153
Parameters
- optionDate: Date
- swapTenor: Period
- Default value extrapolate: boolean = false
Returns Real

shift3

shift3(optionTime: Time, swapTenor: Period, extrapolate?: boolean): Real

Inherited from SwaptionVolatilityStructure.shift3
- Defined in ql/termstructures/volatility/swaption/swaptionvolstructure.ts:159
Parameters
- optionTime: Time
- swapTenor: Period
- Default value extrapolate: boolean = false
Returns Real

shift4

shift4(optionTenor: Period, swapLength: Time, extrapolate?: boolean): Real

Inherited from SwaptionVolatilityStructure.shift4
- Defined in ql/termstructures/volatility/swaption/swaptionvolstructure.ts:166
Parameters
- optionTenor: Period
- swapLength: Time
- Default value extrapolate: boolean = false
Returns Real

shift5

shift5(optionDate: Date, swapLength: Time, extrapolate?: boolean): Real

Inherited from SwaptionVolatilityStructure.shift5
- Defined in ql/termstructures/volatility/swaption/swaptionvolstructure.ts:171
Parameters
- optionDate: Date
- swapLength: Time
- Default value extrapolate: boolean = false
Returns Real

shift6

shift6(optionTime: Time, swapLength: Time, extrapolate?: boolean): Real

Inherited from SwaptionVolatilityStructure.shift6
- Defined in ql/termstructures/volatility/swaption/swaptionvolstructure.ts:178
Parameters
- optionTime: Time
- swapLength: Time
- Default value extrapolate: boolean = false
Returns Real

shiftImpl1

shiftImpl1(optionDate: Date, swapTenor: Period): Real

Inherited from SwaptionVolatilityStructure.shiftImpl1
- Defined in ql/termstructures/volatility/swaption/swaptionvolstructure.ts:286
Parameters
- optionDate: Date
- swapTenor: Period
Returns Real

shiftImpl2

shiftImpl2(optionTime: Time, swapLength: Time): Real

Overrides SwaptionVolatilityStructure.shiftImpl2
- Defined in ql/termstructures/volatility/swaption/spreadedswaptionvol.ts:94
Parameters
- optionTime: Time
- swapLength: Time
Returns Real

smileSection1

smileSection1(optionTenor: Period, swapTenor: Period, extrapolate?: boolean): SmileSection

Inherited from SwaptionVolatilityStructure.smileSection1
- Defined in ql/termstructures/volatility/swaption/swaptionvolstructure.ts:184
Parameters
- optionTenor: Period
- swapTenor: Period
- Default value extrapolate: boolean = false
Returns SmileSection

smileSection2

smileSection2(optionDate: Date, swapTenor: Period, extrapolate?: boolean): SmileSection

Inherited from SwaptionVolatilityStructure.smileSection2
- Defined in ql/termstructures/volatility/swaption/swaptionvolstructure.ts:190
Parameters
- optionDate: Date
- swapTenor: Period
- Default value extrapolate: boolean = false
Returns SmileSection

smileSection3

smileSection3(optionTime: Time, swapTenor: Period, extrapolate?: boolean): SmileSection

Inherited from SwaptionVolatilityStructure.smileSection3
- Defined in ql/termstructures/volatility/swaption/swaptionvolstructure.ts:197
Parameters
- optionTime: Time
- swapTenor: Period
- Default value extrapolate: boolean = false
Returns SmileSection

smileSection4

smileSection4(optionTenor: Period, swapLength: Time, extrapolate?: boolean): SmileSection

Inherited from SwaptionVolatilityStructure.smileSection4
- Defined in ql/termstructures/volatility/swaption/swaptionvolstructure.ts:204
Parameters
- optionTenor: Period
- swapLength: Time
- Default value extrapolate: boolean = false
Returns SmileSection

smileSection5

smileSection5(optionDate: Date, swapLength: Time, extrapolate?: boolean): SmileSection

Inherited from SwaptionVolatilityStructure.smileSection5
- Defined in ql/termstructures/volatility/swaption/swaptionvolstructure.ts:212
Parameters
- optionDate: Date
- swapLength: Time
- Default value extrapolate: boolean = false
Returns SmileSection

smileSection6

smileSection6(optionTime: Time, swapLength: Time, extrapolate?: boolean): SmileSection

Inherited from SwaptionVolatilityStructure.smileSection6
- Defined in ql/termstructures/volatility/swaption/swaptionvolstructure.ts:219
Parameters
- optionTime: Time
- swapLength: Time
- Default value extrapolate: boolean = false
Returns SmileSection

smileSectionImpl1

smileSectionImpl1(d: Date, swapT: Period): SmileSection

Overrides SwaptionVolatilityStructure.smileSectionImpl1
- Defined in ql/termstructures/volatility/swaption/spreadedswaptionvol.ts:72
Parameters
- d: Date
- swapT: Period
Returns SmileSection

smileSectionImpl2

smileSectionImpl2(optionTime: Time, swapLength: Time): SmileSection

Overrides SwaptionVolatilityStructure.smileSectionImpl2
- Defined in ql/termstructures/volatility/swaption/spreadedswaptionvol.ts:78
Parameters
- optionTime: Time
- swapLength: Time
Returns SmileSection

svsInit1

svsInit1(bdc: BusinessDayConvention, dc?: DayCounter): SwaptionVolatilityStructure

Inherited from SwaptionVolatilityStructure.svsInit1
- Defined in ql/termstructures/volatility/swaption/swaptionvolstructure.ts:26
Parameters
- bdc: BusinessDayConvention
- Default value dc: DayCounter = new DayCounter()
Returns SwaptionVolatilityStructure

svsInit2

svsInit2(referenceDate: Date, cal: Calendar, bdc: BusinessDayConvention, dc?: DayCounter): SwaptionVolatilityStructure

Inherited from SwaptionVolatilityStructure.svsInit2
- Defined in ql/termstructures/volatility/swaption/swaptionvolstructure.ts:33
Parameters
- referenceDate: Date
- cal: Calendar
- bdc: BusinessDayConvention
- Default value dc: DayCounter = new DayCounter()
Returns SwaptionVolatilityStructure

svsInit3

svsInit3(settlementDays: Natural, cal: Calendar, bdc: BusinessDayConvention, dc?: DayCounter): SwaptionVolatilityStructure

Inherited from SwaptionVolatilityStructure.svsInit3
- Defined in ql/termstructures/volatility/swaption/swaptionvolstructure.ts:41
Parameters
- settlementDays: Natural
- cal: Calendar
- bdc: BusinessDayConvention
- Default value dc: DayCounter = new DayCounter()
Returns SwaptionVolatilityStructure

swapLength1

swapLength1(swapTenor: Period): Time

Inherited from SwaptionVolatilityStructure.swapLength1
- Defined in ql/termstructures/volatility/swaption/swaptionvolstructure.ts:238
Parameters
- swapTenor: Period
Returns Time

swapLength2

swapLength2(start: Date, end: Date): Time

Inherited from SwaptionVolatilityStructure.swapLength2
- Defined in ql/termstructures/volatility/swaption/swaptionvolstructure.ts:253
Parameters
- start: Date
- end: Date
Returns Time

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, swapTenor: Period, strike: Rate, extrapolate?: boolean): Volatility

Inherited from SwaptionVolatilityStructure.volatility1
- Defined in ql/termstructures/volatility/swaption/swaptionvolstructure.ts:48
Parameters
- optionTenor: Period
- swapTenor: Period
- strike: Rate
- Default value extrapolate: boolean = false
Returns Volatility

volatility2

volatility2(optionDate: Date, swapTenor: Period, strike: Rate, extrapolate?: boolean): Volatility

Inherited from SwaptionVolatilityStructure.volatility2
- Defined in ql/termstructures/volatility/swaption/swaptionvolstructure.ts:55
Parameters
- optionDate: Date
- swapTenor: Period
- strike: Rate
- Default value extrapolate: boolean = false
Returns Volatility

volatility3

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

Inherited from SwaptionVolatilityStructure.volatility3
- Defined in ql/termstructures/volatility/swaption/swaptionvolstructure.ts:64
Parameters
- optionTime: Time
- swapTenor: Period
- strike: Rate
- Default value extrapolate: boolean = false
Returns Volatility

volatility4

volatility4(optionTenor: Period, swapLength: Time, strike: Rate, extrapolate?: boolean): Volatility

Inherited from SwaptionVolatilityStructure.volatility4
- Defined in ql/termstructures/volatility/swaption/swaptionvolstructure.ts:74
Parameters
- optionTenor: Period
- swapLength: Time
- strike: Rate
- Default value extrapolate: boolean = false
Returns Volatility

volatility5

volatility5(optionDate: Date, swapLength: Time, strike: Rate, extrapolate?: boolean): Volatility

Inherited from SwaptionVolatilityStructure.volatility5
- Defined in ql/termstructures/volatility/swaption/swaptionvolstructure.ts:81
Parameters
- optionDate: Date
- swapLength: Time
- strike: Rate
- Default value extrapolate: boolean = false
Returns Volatility

volatility6

volatility6(optionTime: Time, swapLength: Time, strike: Rate, extrapolate?: boolean): Volatility

Inherited from SwaptionVolatilityStructure.volatility6
- Defined in ql/termstructures/volatility/swaption/swaptionvolstructure.ts:91
Parameters
- optionTime: Time
- swapLength: Time
- strike: Rate
- Default value extrapolate: boolean = false
Returns Volatility

volatilityImpl1

volatilityImpl1(d: Date, p: Period, strike: Rate): Volatility

Overrides SwaptionVolatilityStructure.volatilityImpl1
- Defined in ql/termstructures/volatility/swaption/spreadedswaptionvol.ts:84
Parameters
- d: Date
- p: Period
- strike: Rate
Returns Volatility

volatilityImpl2

volatilityImpl2(t: Time, l: Time, strike: Rate): Volatility

Overrides SwaptionVolatilityStructure.volatilityImpl2
- Defined in ql/termstructures/volatility/swaption/spreadedswaptionvol.ts:89
Parameters
- t: Time
- l: Time
- strike: Rate
Returns Volatility

volatilityType

volatilityType(): VolatilityType

Overrides SwaptionVolatilityStructure.volatilityType
- Defined in ql/termstructures/volatility/swaption/spreadedswaptionvol.ts:68
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<SwaptionVolatilityStructure>

spread: Handle<Quote>

Returns SpreadedSwaptionVolatility

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