Options
All
  • Public
  • Public/Protected
  • All
Menu

Class SwaptionVolCube1x

Hierarchy

Implements

Index

Classes

Constructors

Properties

Methods

Constructors

constructor

Properties

I

I: Interpolation

S

S: SmileSection

_alwaysForward

_alwaysForward: boolean = false

Protected _atmVol

_atmVol: Handle<SwaptionVolatilityStructure>

Private _backwardFlat

_backwardFlat: boolean

_bdc

_bdc: BusinessDayConvention

_calculated

_calculated: boolean = false

_calendar

_calendar: Calendar

Private _cutoffStrike

_cutoffStrike: Real

_dayCounter

_dayCounter: DayCounter

Private _denseParameters

_denseParameters: Cube

Private _endCriteria

_endCriteria: EndCriteria

Private _errorAccept

_errorAccept: Real

Protected _evaluationDate

_evaluationDate: Date

_extrapolate

_extrapolate: boolean

_frozen

_frozen: boolean = false

Private _isAtmCalibrated

_isAtmCalibrated: boolean

_isDisposed

_isDisposed: boolean = false

Private _isParameterFixed

_isParameterFixed: boolean[]

Protected _localSmile

_localSmile: Volatility[]

Protected _localStrikes

_localStrikes: Rate[]

Private _marketVolCube

_marketVolCube: Cube

Private _maxErrorTolerance

_maxErrorTolerance: Real

Private _maxGuesses

_maxGuesses: Size

_moving

_moving: boolean

Protected _nOptionTenors

_nOptionTenors: Size

Protected _nStrikes

_nStrikes: Size

Protected _nSwapTenors

_nSwapTenors: Size

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Private _optMethod

_optMethod: OptimizationMethod

Protected _optionDates

_optionDates: Date[]

Protected _optionDatesAsReal

_optionDatesAsReal: Real[]

Protected _optionInterpolator

_optionInterpolator: Interpolation

Protected _optionTenors

_optionTenors: Period[]

Protected _optionTimes

_optionTimes: Time[]

Private _parametersGuess

_parametersGuess: Cube

Private _parametersGuessQuotes

_parametersGuessQuotes: Array<Array<Handle<Quote>>>

Private _privateObserver

_privateObserver: PrivateObserver

_referenceDate

_referenceDate: Date

_settlementDays

_settlementDays: Natural

Protected _shortSwapIndexBase

_shortSwapIndexBase: SwapIndex

Private _sparseParameters

_sparseParameters: Cube

Private _sparseSmiles

_sparseSmiles: SmileSection[][]

Protected _strikeSpreads

_strikeSpreads: Spread[]

Protected _swapIndexBase

_swapIndexBase: SwapIndex

Protected _swapLengths

_swapLengths: Time[]

Protected _swapTenors

_swapTenors: Period[]

_updated

_updated: boolean

Private _useMaxError

_useMaxError: boolean

Protected _vegaWeightedSmileFit

_vegaWeightedSmileFit: boolean

Private _volCubeAtmCalibrated

_volCubeAtmCalibrated: Cube

Protected _volSpreads

_volSpreads: Array<Array<Handle<Quote>>>

allowsExtrapolation

allowsExtrapolation: () => boolean

Type declaration

    • (): boolean

    • Returns boolean

alwaysForwardNotifications

alwaysForwardNotifications: () => void

Type declaration

    • (): void

    • Returns void

blackVariance1

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

Type declaration

blackVariance2

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

Type declaration

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

    • Parameters

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

      Returns Real

blackVariance3

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

Type declaration

    • Parameters

      • optionTime: Time
      • swapTenor: Period
      • strike: Rate
      • Optional extrapolate: boolean

      Returns Real

blackVariance4

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

Type declaration

    • Parameters

      • optionTenor: Period
      • swapLength: Time
      • strike: Rate
      • Optional extrapolate: boolean

      Returns Real

blackVariance5

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

Type declaration

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

    • Parameters

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

      Returns Real

blackVariance6

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

Type declaration

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

    • Parameters

      • optionTime: Time
      • swapLength: Time
      • strike: Rate
      • Optional extrapolate: boolean

      Returns Real

businessDayConvention

businessDayConvention: () => BusinessDayConvention

Type declaration

calculate

calculate: () => void

Type declaration

    • (): void

    • Returns void

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

checkSwapTenor1

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

Type declaration

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

    • Parameters

      • swapTenor: Period
      • extrapolate: boolean

      Returns void

checkSwapTenor2

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

Type declaration

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

    • Parameters

      • swapLength: Time
      • extrapolate: boolean

      Returns void

deepUpdate

deepUpdate: () => void

Type declaration

    • (): void

    • Returns void

disableExtrapolation

disableExtrapolation: (b: boolean) => void

Type declaration

    • (b: boolean): void

    • Parameters

      • b: boolean

      Returns void

dispose

dispose: () => void

Type declaration

    • (): void

    • Returns void

enableExtrapolation

enableExtrapolation: (b: boolean) => void

Type declaration

    • (b: boolean): void

    • Parameters

      • b: boolean

      Returns void

freeze

freeze: () => void

Type declaration

    • (): void

    • Returns void

isDisposed

isDisposed: boolean

maxSwapLength

maxSwapLength: () => Time

Type declaration

notifyObservers

notifyObservers: () => void

Type declaration

    • (): void

    • Returns void

optionDateFromTenor

optionDateFromTenor: (p: Period) => Date

Type declaration

recalculate

recalculate: () => 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

shift1

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

Type declaration

    • Parameters

      • optionTenor: Period
      • swapTenor: Period
      • Optional extrapolate: boolean

      Returns Real

shift2

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

Type declaration

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

    • Parameters

      • optionDate: Date
      • swapTenor: Period
      • Optional extrapolate: boolean

      Returns Real

shift3

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

Type declaration

    • Parameters

      • optionTime: Time
      • swapTenor: Period
      • Optional extrapolate: boolean

      Returns Real

shift4

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

Type declaration

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

    • Parameters

      • optionTenor: Period
      • swapLength: Time
      • Optional extrapolate: boolean

      Returns Real

shift5

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

Type declaration

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

    • Parameters

      • optionDate: Date
      • swapLength: Time
      • Optional extrapolate: boolean

      Returns Real

shift6

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

Type declaration

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

    • Parameters

      • optionTime: Time
      • swapLength: Time
      • Optional extrapolate: boolean

      Returns Real

shiftImpl1

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

Type declaration

    • Parameters

      • optionDate: Date
      • swapTenor: Period

      Returns Real

smileSection1

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

Type declaration

smileSection2

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

Type declaration

smileSection3

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

Type declaration

smileSection4

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

Type declaration

smileSection5

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

Type declaration

    • Parameters

      • optionDate: Date
      • swapLength: Time
      • Optional extrapolate: boolean

      Returns SmileSection

smileSection6

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

Type declaration

svsInit1

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

Type declaration

svsInit2

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

Type declaration

svsInit3

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

Type declaration

swapLength1

swapLength1: (swapTenor: Period) => Time

Type declaration

swapLength2

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

Type declaration

    • (start: Date, end: Date): Time

    • Parameters

      • start: Date
      • end: Date

      Returns Time

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

Type declaration

volatility2

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

Type declaration

volatility3

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

Type declaration

volatility4

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

Type declaration

volatility5

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

Type declaration

    • Parameters

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

      Returns Volatility

volatility6

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

atmStrike1

  • atmStrike1(optionD: Date, swapTenor: Period): Rate

atmStrike2

atmVol

calendar

Protected createSparseSmiles

  • createSparseSmiles(): void

  • Returns void

dayCounter

denseSabrParameters

  • denseSabrParameters(): Matrix

  • Returns Matrix

Protected fillVolatilityCube

  • fillVolatilityCube(): void

  • Returns void

marketVolCube1

  • Parameters

    Returns Matrix

marketVolCube2

  • Returns Matrix

maxDate

  • maxDate(): Date

maxStrike

maxSwapTenor

maxTime

minStrike

optionDateFromTime

  • optionDateFromTime(optionTime: Time): Date

optionDates

  • optionDates(): Date[]

optionTenors

optionTimes

  • optionTimes(): Time[]

performCalculations

  • performCalculations(): void

recalibration1

  • recalibration1(beta: Real, swapTenor: Period): void

  • Parameters

    Returns void

recalibration2

  • recalibration2(beta: Real[], swapTenor: Period): void

  • Parameters

    Returns void

recalibration3

  • Parameters

    Returns void

referenceDate

  • referenceDate(): Date

Protected registerWithParametersGuess

  • registerWithParametersGuess(): void

  • Returns void

Protected registerWithVolatilitySpread

  • registerWithVolatilitySpread(): void

requiredNumberOfStrikes

  • requiredNumberOfStrikes(): Size

Protected sabrCalibration

  • sabrCalibration(marketVolCube: Cube): Cube

  • Parameters

    • marketVolCube: Cube

    Returns Cube

sabrCalibrationSection

  • sabrCalibrationSection(marketVolCube: Cube, parametersCube: Cube, swapTenor: Period): void

  • Parameters

    Returns void

setParameterGuess

  • setParameterGuess(): void

  • Returns void

settlementDays

Protected shiftImpl

shiftImpl2

shortSwapIndexBase

Protected smileSection

  • Parameters

    • optionTime: Time
    • swapLength: Time
    • sabrParametersCube: Cube

    Returns SmileSection

smileSectionImpl

  • Parameters

    Returns SmileSection

smileSectionImpl1

smileSectionImpl2

sparseSabrParameters

  • sparseSabrParameters(): Matrix

  • Returns Matrix

Protected spreadVolInterpolation

  • spreadVolInterpolation(atmOptionDate: Date, atmSwapTenor: Period): Real[]

  • Parameters

    • atmOptionDate: Date
    • atmSwapTenor: Period

    Returns Real[]

strikeSpreads

svc1xInit

  • Parameters

    • atmVolStructure: Handle<SwaptionVolatilityStructure>
    • optionTenors: Period[]
    • swapTenors: Period[]
    • strikeSpreads: Spread[]
    • volSpreads: Array<Array<Handle<Quote>>>
    • swapIndexBase: SwapIndex
    • shortSwapIndexBase: SwapIndex
    • vegaWeightedSmileFit: boolean
    • parametersGuess: Array<Array<Handle<Quote>>>
    • isParameterFixed: boolean[]
    • isAtmCalibrated: boolean
    • Default value endCriteria: EndCriteria = null
    • Default value maxErrorTolerance: Real = QL_NULL_REAL
    • Default value optMethod: OptimizationMethod = null
    • Default value errorAccept: Real = QL_NULL_REAL
    • Default value useMaxError: boolean = false
    • Default value maxGuesses: Size = 50
    • Default value backwardFlat: boolean = false
    • Default value cutoffStrike: Real = 0.0001

    Returns SwaptionVolCube1x

svcInit

svdInit1

svdInit2

svdInit3

swapIndexBase

swapLengths

  • swapLengths(): Time[]

swapTenors

update

  • update(): void

updateAfterRecalibration

  • updateAfterRecalibration(): void

  • Returns void

vegaWeightedSmileFit

  • vegaWeightedSmileFit(): boolean

volCubeAtmCalibrated

  • volCubeAtmCalibrated(): Matrix

  • Returns Matrix

volSpreads1

volatilityImpl1

volatilityImpl2

volatilityType