Options
All
  • Public
  • Public/Protected
  • All
Menu

Hierarchy

Implements

Index

Constructors

constructor

Properties

Private _baseVol

_bdc

_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

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

blackVariance1

blackVariance2

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

blackVariance3

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

blackVariance4

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

blackVariance5

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

blackVariance6

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

businessDayConvention

calendar

checkRange1

  • checkRange1(d: Date, extrapolate: boolean): void
  • date-range check

    Parameters

    • d: Date
    • extrapolate: boolean

    Returns void

checkRange2

  • checkRange2(t: Time, extrapolate: boolean): void
  • time-range check

    Parameters

    • t: Time
    • extrapolate: boolean

    Returns void

checkStrike

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

checkSwapTenor1

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

checkSwapTenor2

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

dayCounter

maxDate

  • maxDate(): Date
  • Returns Date

maxStrike

maxSwapLength

  • maxSwapLength(): Time

maxSwapTenor

maxTime

  • Returns Time

minStrike

optionDateFromTenor

  • optionDateFromTenor(p: Period): Date

referenceDate

  • referenceDate(): Date

settlementDays

shift1

shift2

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

    • optionDate: Date
    • swapTenor: Period
    • Default value extrapolate: boolean = false

    Returns Real

shift3

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

shift4

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

shift5

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

    • optionDate: Date
    • swapLength: Time
    • Default value extrapolate: boolean = false

    Returns Real

shift6

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

    • optionTime: Time
    • swapLength: Time
    • Default value extrapolate: boolean = false

    Returns Real

shiftImpl1

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

shiftImpl2

smileSection1

smileSection2

smileSection3

smileSection4

smileSection5

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

smileSection6

smileSectionImpl1

smileSectionImpl2

svsInit1

svsInit2

svsInit3

swapLength1

swapLength2

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

timeFromReference

  • timeFromReference(d: Date): Time

tsInit1

tsInit2

tsInit3

update

  • update(): void

volatility1

volatility2

volatility3

volatility4

volatility5

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

volatility6

volatilityImpl1

volatilityImpl2

volatilityType

vtsInit1

vtsInit2

vtsInit3