SwaptionVolatilityMatrix

At-the-money swaption-volatility matrix

This class provides the at-the-money volatility for a given swaption by interpolating a volatility matrix whose elements are the market volatilities of a set of swaption with given option date and swapLength.

The volatility matrix M must be defined so that:

the number of rows equals the number of option dates;
the number of columns equals the number of swap tenors;
M[i][j] contains the volatility corresponding to the i-th option and j-th tenor.

Hierarchy

SwaptionVolatilityDiscrete
- SwaptionVolatilityMatrix

Implements

Index

Properties

_alwaysForward

_alwaysForward: boolean = false

_bdc

_bdc: BusinessDayConvention

_calculated

_calculated: boolean = false

_calendar

_calendar: Calendar

_dayCounter

_dayCounter: DayCounter

Protected _evaluationDate

_evaluationDate: Date

_extrapolate

_extrapolate: boolean

_frozen

_frozen: boolean = false

Private _interpolation

_interpolation: Interpolation2D

Private _interpolationShifts

_interpolationShifts: Interpolation2D

_isDisposed

_isDisposed: boolean = false

_moving

_moving: boolean

Protected _nOptionTenors

_nOptionTenors: Size

Protected _nSwapTenors

_nSwapTenors: Size

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Protected _optionDates

_optionDates: Date[]

Protected _optionDatesAsReal

_optionDatesAsReal: Real[]

Protected _optionInterpolator

_optionInterpolator: Interpolation

Protected _optionTenors

_optionTenors: Period[]

Protected _optionTimes

_optionTimes: Time[]

_referenceDate

_referenceDate: Date

_settlementDays

_settlementDays: Natural

Private _shiftValues

_shiftValues: Real[][]

Private _shifts

_shifts: Matrix

Protected _swapLengths

_swapLengths: Time[]

Protected _swapTenors

_swapTenors: Period[]

_updated

_updated: boolean

Private _volHandles

_volHandles: Array<Array<Handle<Quote>>>

Private _volatilities

_volatilities: Matrix

Private _volatilityType

_volatilityType: VolatilityType

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

- (optionTenor: Period, swapTenor: Period, strike: Rate, extrapolate?: boolean): Real
- Parameters
  - optionTenor: Period
  - swapTenor: Period
  - strike: Rate
  - Optional extrapolate: boolean
  Returns Real

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

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

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

- (): BusinessDayConvention
- Returns BusinessDayConvention

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

- (): Time
- Returns Time

notifyObservers

notifyObservers: () => void

Type declaration

- (): void
- Returns void

optionDateFromTenor

optionDateFromTenor: (p: Period) => Date

Type declaration

- (p: Period): Date
- Parameters
  - p: Period
  Returns Date

recalculate

recalculate: () => 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

shift1

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

Type declaration

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

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

- (optionDate: Date, swapTenor: Period): Real
- Parameters
  - optionDate: Date
  - swapTenor: Period
  Returns Real

smileSection1

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

Type declaration

- (optionTenor: Period, swapTenor: Period, extrapolate?: boolean): SmileSection
- Parameters
  - optionTenor: Period
  - swapTenor: Period
  - Optional extrapolate: boolean
  Returns SmileSection

smileSection2

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

Type declaration

- (optionDate: Date, swapTenor: Period, extrapolate?: boolean): SmileSection
- Parameters
  - optionDate: Date
  - swapTenor: Period
  - Optional extrapolate: boolean
  Returns SmileSection

smileSection3

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

Type declaration

- (optionTime: Time, swapTenor: Period, extrapolate?: boolean): SmileSection
- Parameters
  - optionTime: Time
  - swapTenor: Period
  - Optional extrapolate: boolean
  Returns SmileSection

smileSection4

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

Type declaration

- (optionTenor: Period, swapLength: Time, extrapolate?: boolean): SmileSection
- Parameters
  - optionTenor: Period
  - swapLength: Time
  - Optional extrapolate: boolean
  Returns SmileSection

smileSection5

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

Type declaration

- (optionDate: Date, swapLength: Time, extrapolate?: boolean): SmileSection
- Parameters
  - optionDate: Date
  - swapLength: Time
  - Optional extrapolate: boolean
  Returns SmileSection

smileSection6

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

Type declaration

- (optionTime: Time, swapLength: Time, extrapolate?: boolean): SmileSection
- Parameters
  - optionTime: Time
  - swapLength: Time
  - Optional extrapolate: boolean
  Returns SmileSection

swapLength1

swapLength1: (swapTenor: Period) => Time

Type declaration

- (swapTenor: Period): Time
- Parameters
  - swapTenor: Period
  Returns Time

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

- (dc: DayCounter): TermStructure
- Parameters
  - dc: DayCounter
  Returns TermStructure

tsInit2

tsInit2: (referenceDate: Date, calendar: Calendar, dc: DayCounter) => TermStructure

Type declaration

- (referenceDate: Date, calendar: Calendar, dc: DayCounter): TermStructure
- Parameters
  - referenceDate: Date
  - calendar: Calendar
  - dc: DayCounter
  Returns TermStructure

tsInit3

tsInit3: (settlementDays: Natural, calendar: Calendar, dc: DayCounter) => TermStructure

Type declaration

- (settlementDays: Natural, calendar: Calendar, dc: DayCounter): TermStructure
- Parameters
  - settlementDays: Natural
  - calendar: Calendar
  - dc: DayCounter
  Returns TermStructure

unfreeze

unfreeze: () => void

Type declaration

- (): void
- 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

volatility1

volatility1: (optionTenor: Period, swapTenor: Period, strike: Rate, extrapolate?: boolean) => Volatility

Type declaration

- (optionTenor: Period, swapTenor: Period, strike: Rate, extrapolate?: boolean): Volatility
- Parameters
  - optionTenor: Period
  - swapTenor: Period
  - strike: Rate
  - Optional extrapolate: boolean
  Returns Volatility

volatility2

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

Type declaration

- (optionDate: Date, swapTenor: Period, strike: Rate, extrapolate?: boolean): Volatility
- Parameters
  - optionDate: Date
  - swapTenor: Period
  - strike: Rate
  - Optional extrapolate: boolean
  Returns Volatility

volatility3

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

Type declaration

- (optionTime: Time, swapTenor: Period, strike: Rate, extrapolate?: boolean): Volatility
- Parameters
  - optionTime: Time
  - swapTenor: Period
  - strike: Rate
  - Optional extrapolate: boolean
  Returns Volatility

volatility4

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

Type declaration

- (optionTenor: Period, swapLength: Time, strike: Rate, extrapolate?: boolean): Volatility
- Parameters
  - optionTenor: Period
  - swapLength: Time
  - strike: Rate
  - Optional extrapolate: boolean
  Returns Volatility

volatility5

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

Type declaration

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

- (optionTime: Time, swapLength: Time, strike: Rate, extrapolate?: boolean): Volatility
- Parameters
  - optionTime: Time
  - swapLength: Time
  - strike: Rate
  - Optional extrapolate: boolean
  Returns Volatility

vtsInit1

vtsInit1: (bdc: BusinessDayConvention, dc?: DayCounter) => VolatilityTermStructure

Type declaration

- (bdc: BusinessDayConvention, dc?: DayCounter): VolatilityTermStructure
- Parameters
  - bdc: BusinessDayConvention
  - Optional dc: DayCounter
  Returns VolatilityTermStructure

vtsInit2

vtsInit2: (referenceDate: Date, cal: Calendar, bdc: BusinessDayConvention, dc?: DayCounter) => VolatilityTermStructure

Type declaration

- (referenceDate: Date, cal: Calendar, bdc: BusinessDayConvention, dc?: DayCounter): VolatilityTermStructure
- Parameters
  - referenceDate: Date
  - cal: Calendar
  - bdc: BusinessDayConvention
  - Optional dc: DayCounter
  Returns VolatilityTermStructure

vtsInit3

vtsInit3: (settlementDays: Natural, cal: Calendar, bdc: BusinessDayConvention, dc?: DayCounter) => VolatilityTermStructure

Type declaration

- (settlementDays: Natural, cal: Calendar, bdc: BusinessDayConvention, dc?: DayCounter): VolatilityTermStructure
- Parameters
  - settlementDays: Natural
  - cal: Calendar
  - bdc: BusinessDayConvention
  - Optional dc: DayCounter
  Returns VolatilityTermStructure

Methods

calendar

calendar(): Calendar

Inherited from SwaptionVolatilityStructureLazyObject.calendar
- Defined in mixins/ql/termstructures/swaptionvolstructurelazyobject.ts:62
Returns Calendar

Private checkInputs

checkInputs(volRows: Size, volsColumns: Size, shiftRows: Size, shiftsColumns: Size): void

- Defined in ql/termstructures/volatility/swaption/swaptionvolmatrix.ts:328
Parameters
- volRows: Size
- volsColumns: Size
- shiftRows: Size
- shiftsColumns: Size
Returns void

dayCounter

dayCounter(): DayCounter

Inherited from SwaptionVolatilityStructureLazyObject.dayCounter
- Defined in mixins/ql/termstructures/swaptionvolstructurelazyobject.ts:49
Returns DayCounter

locate1

locate1(optionDate: Date, swapTenor: Period): [Size, Size]

- Defined in ql/termstructures/volatility/swaption/swaptionvolmatrix.ts:287
returns the lower indexes of surrounding volatility matrix corners

Parameters
- optionDate: Date
- swapTenor: Period
Returns [Size, Size]

locate2

locate2(optionTime: Time, swapLength: Time): [Size, Size]

- Defined in ql/termstructures/volatility/swaption/swaptionvolmatrix.ts:292
Parameters
- optionTime: Time
- swapLength: Time
Returns [Size, Size]

maxDate

maxDate(): Date

Overrides SwaptionVolatilityStructureLazyObject.maxDate
- Defined in ql/termstructures/volatility/swaption/swaptionvolmatrix.ts:271
Returns Date

maxStrike

maxStrike(): Rate

Overrides SwaptionVolatilityStructureLazyObject.maxStrike
- Defined in ql/termstructures/volatility/swaption/swaptionvolmatrix.ts:278
Returns Rate

maxSwapTenor

maxSwapTenor(): Period

Overrides SwaptionVolatilityStructureLazyObject.maxSwapTenor
- Defined in ql/termstructures/volatility/swaption/swaptionvolmatrix.ts:282
Returns Period

maxTime

maxTime(): Time

Inherited from SwaptionVolatilityStructureLazyObject.maxTime
- Defined in mixins/ql/termstructures/swaptionvolstructurelazyobject.ts:56
Returns Time

minStrike

minStrike(): Rate

Overrides SwaptionVolatilityStructureLazyObject.minStrike
- Defined in ql/termstructures/volatility/swaption/swaptionvolmatrix.ts:275
Returns Rate

optionDateFromTime

optionDateFromTime(optionTime: Time): Date

Inherited from SwaptionVolatilityDiscrete.optionDateFromTime
- Defined in ql/termstructures/volatility/swaption/swaptionvoldiscrete.ts:153
Parameters
- optionTime: Time
Returns Date

optionDates

optionDates(): Date[]

Inherited from SwaptionVolatilityDiscrete.optionDates
- Defined in ql/termstructures/volatility/swaption/swaptionvoldiscrete.ts:119
Returns Date[]

optionTenors

optionTenors(): Period[]

Inherited from SwaptionVolatilityDiscrete.optionTenors
- Defined in ql/termstructures/volatility/swaption/swaptionvoldiscrete.ts:115
Returns Period[]

optionTimes

optionTimes(): Time[]

Inherited from SwaptionVolatilityDiscrete.optionTimes
- Defined in ql/termstructures/volatility/swaption/swaptionvoldiscrete.ts:123
Returns Time[]

performCalculations

performCalculations(): void

Overrides SwaptionVolatilityDiscrete.performCalculations
- Defined in ql/termstructures/volatility/swaption/swaptionvolmatrix.ts:257
Returns void

referenceDate

referenceDate(): Date

Inherited from SwaptionVolatilityStructureLazyObject.referenceDate
- Defined in mixins/ql/termstructures/swaptionvolstructurelazyobject.ts:59
Returns Date

Private registerWithMarketData

registerWithMarketData(): void

- Defined in ql/termstructures/volatility/swaption/swaptionvolmatrix.ts:364
Returns void

settlementDays

settlementDays(): Natural

Inherited from SwaptionVolatilityStructureLazyObject.settlementDays
- Defined in mixins/ql/termstructures/swaptionvolstructurelazyobject.ts:65
Returns Natural

shiftImpl2

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

Overrides SwaptionVolatilityStructureLazyObject.shiftImpl2
- Defined in ql/termstructures/volatility/swaption/swaptionvolmatrix.ts:322
Parameters
- optionTime: Time
- swapLength: Time
Returns Real

smileSectionImpl1

smileSectionImpl1(optionDate: Date, swapTenor: Period): SmileSection

Inherited from SwaptionVolatilityStructureLazyObject.smileSectionImpl1
- Defined in mixins/ql/termstructures/swaptionvolstructurelazyobject.ts:169
Parameters
- optionDate: Date
- swapTenor: Period
Returns SmileSection

smileSectionImpl2

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

Overrides SwaptionVolatilityStructureLazyObject.smileSectionImpl2
- Defined in ql/termstructures/volatility/swaption/swaptionvolmatrix.ts:307
defining the following method would break CMS test suite to be further investigated

Parameters
- optionTime: Time
- swapLength: Time
Returns SmileSection

svdInit1

svdInit1(optionTenors: Period[], swapTenors: Period[], settlementDays: Natural, cal: Calendar, bdc: BusinessDayConvention, dc: DayCounter): SwaptionVolatilityDiscrete

Inherited from SwaptionVolatilityDiscrete.svdInit1
- Defined in ql/termstructures/volatility/swaption/swaptionvoldiscrete.ts:21
Parameters
- optionTenors: Period[]
- swapTenors: Period[]
- settlementDays: Natural
- cal: Calendar
- bdc: BusinessDayConvention
- dc: DayCounter
Returns SwaptionVolatilityDiscrete

svdInit2

svdInit2(optionTenors: Period[], swapTenors: Period[], referenceDate: Date, cal: Calendar, bdc: BusinessDayConvention, dc: DayCounter): SwaptionVolatilityDiscrete

Inherited from SwaptionVolatilityDiscrete.svdInit2
- Defined in ql/termstructures/volatility/swaption/swaptionvoldiscrete.ts:54
Parameters
- optionTenors: Period[]
- swapTenors: Period[]
- referenceDate: Date
- cal: Calendar
- bdc: BusinessDayConvention
- dc: DayCounter
Returns SwaptionVolatilityDiscrete

svdInit3

svdInit3(optionDates: Date[], swapTenors: Period[], referenceDate: Date, cal: Calendar, bdc: BusinessDayConvention, dc: DayCounter): SwaptionVolatilityDiscrete

Inherited from SwaptionVolatilityDiscrete.svdInit3
- Defined in ql/termstructures/volatility/swaption/swaptionvoldiscrete.ts:84
Parameters
- optionDates: Date[]
- swapTenors: Period[]
- referenceDate: Date
- cal: Calendar
- bdc: BusinessDayConvention
- dc: DayCounter
Returns SwaptionVolatilityDiscrete

svmInit1

svmInit1(calendar: Calendar, bdc: BusinessDayConvention, optionTenors: Period[], swapTenors: Period[], vols: Array<Array<Handle<Quote>>>, dayCounter: DayCounter, flatExtrapolation?: boolean, type?: VolatilityType, shifts?: Real[][]): SwaptionVolatilityMatrix

- Defined in ql/termstructures/volatility/swaption/swaptionvolmatrix.ts:40
Parameters
- calendar: Calendar
- bdc: BusinessDayConvention
- optionTenors: Period[]
- swapTenors: Period[]
- vols: Array<Array<Handle<Quote>>>
- dayCounter: DayCounter
- Default value flatExtrapolation: boolean = false
- Default value type: VolatilityType = VolatilityType.ShiftedLognormal
- Default value shifts: Real[][] = []
Returns SwaptionVolatilityMatrix

svmInit2

svmInit2(referenceDate: Date, calendar: Calendar, bdc: BusinessDayConvention, optionTenors: Period[], swapTenors: Period[], vols: Array<Array<Handle<Quote>>>, dayCounter: DayCounter, flatExtrapolation?: boolean, type?: VolatilityType, shifts?: Real[][]): SwaptionVolatilityMatrix

- Defined in ql/termstructures/volatility/swaption/swaptionvolmatrix.ts:77
Parameters
- referenceDate: Date
- calendar: Calendar
- bdc: BusinessDayConvention
- optionTenors: Period[]
- swapTenors: Period[]
- vols: Array<Array<Handle<Quote>>>
- dayCounter: DayCounter
- Default value flatExtrapolation: boolean = false
- Default value type: VolatilityType = VolatilityType.ShiftedLognormal
- Default value shifts: Real[][] = []
Returns SwaptionVolatilityMatrix

svmInit3

svmInit3(calendar: Calendar, bdc: BusinessDayConvention, optionTenors: Period[], swapTenors: Period[], vols: Matrix, dayCounter: DayCounter, flatExtrapolation?: boolean, type?: VolatilityType, shifts?: Matrix): SwaptionVolatilityMatrix

- Defined in ql/termstructures/volatility/swaption/swaptionvolmatrix.ts:116
Parameters
- calendar: Calendar
- bdc: BusinessDayConvention
- optionTenors: Period[]
- swapTenors: Period[]
- vols: Matrix
- dayCounter: DayCounter
- Default value flatExtrapolation: boolean = false
- Default value type: VolatilityType = VolatilityType.ShiftedLognormal
- Default value shifts: Matrix = []
Returns SwaptionVolatilityMatrix

svmInit4

svmInit4(referenceDate: Date, calendar: Calendar, bdc: BusinessDayConvention, optionTenors: Period[], swapTenors: Period[], vols: Matrix, dayCounter: DayCounter, flatExtrapolation?: boolean, type?: VolatilityType, shifts?: Matrix): SwaptionVolatilityMatrix

- Defined in ql/termstructures/volatility/swaption/swaptionvolmatrix.ts:162
Parameters
- referenceDate: Date
- calendar: Calendar
- bdc: BusinessDayConvention
- optionTenors: Period[]
- swapTenors: Period[]
- vols: Matrix
- dayCounter: DayCounter
- Default value flatExtrapolation: boolean = false
- Default value type: VolatilityType = VolatilityType.ShiftedLognormal
- Default value shifts: Matrix = []
Returns SwaptionVolatilityMatrix

svmInit5

svmInit5(today: Date, optionDates: Date[], swapTenors: Period[], vols: Matrix, dayCounter: DayCounter, flatExtrapolation?: boolean, type?: VolatilityType, shifts?: Matrix): SwaptionVolatilityMatrix

- Defined in ql/termstructures/volatility/swaption/swaptionvolmatrix.ts:210
Parameters
- today: Date
- optionDates: Date[]
- swapTenors: Period[]
- vols: Matrix
- dayCounter: DayCounter
- Default value flatExtrapolation: boolean = false
- Default value type: VolatilityType = VolatilityType.ShiftedLognormal
- Default value shifts: Matrix = []
Returns SwaptionVolatilityMatrix

swapLengths

swapLengths(): Time[]

Inherited from SwaptionVolatilityDiscrete.swapLengths
- Defined in ql/termstructures/volatility/swaption/swaptionvoldiscrete.ts:131
Returns Time[]

swapTenors

swapTenors(): Period[]

Inherited from SwaptionVolatilityDiscrete.swapTenors
- Defined in ql/termstructures/volatility/swaption/swaptionvoldiscrete.ts:127
Returns Period[]

update

update(): void

Inherited from SwaptionVolatilityDiscrete.update

Overrides SwaptionVolatilityStructureLazyObject.update
- Defined in ql/termstructures/volatility/swaption/swaptionvoldiscrete.ts:135
Returns void

volatilityImpl1

volatilityImpl1(optionDate: Date, swapTenor: Period, strike: Rate): Volatility

Inherited from SwaptionVolatilityStructureLazyObject.volatilityImpl1
- Defined in mixins/ql/termstructures/swaptionvolstructurelazyobject.ts:175
Parameters
- optionDate: Date
- swapTenor: Period
- strike: Rate
Returns Volatility

volatilityImpl2

volatilityImpl2(optionTime: Time, swapLength: Time, strike: Rate): Volatility

Overrides SwaptionVolatilityStructureLazyObject.volatilityImpl2
- Defined in ql/termstructures/volatility/swaption/swaptionvolmatrix.ts:316
Parameters
- optionTime: Time
- swapLength: Time
- strike: Rate
Returns Volatility

volatilityType

volatilityType(): VolatilityType

Overrides SwaptionVolatilityStructureLazyObject.volatilityType
- Defined in ql/termstructures/volatility/swaption/swaptionvolmatrix.ts:299
Returns VolatilityType

Hierarchy

Implements

Index

Properties

Methods

Properties

_alwaysForward

_bdc

_calculated

_calendar

_dayCounter

Protected _evaluationDate

_extrapolate

_frozen

Private _interpolation

Private _interpolationShifts

_isDisposed

_moving

Protected _nOptionTenors

Protected _nSwapTenors

_observables

_observers

Protected _optionDates

Protected _optionDatesAsReal

Protected _optionInterpolator

Protected _optionTenors

Protected _optionTimes

_referenceDate

_settlementDays

Private _shiftValues

Private _shifts

Protected _swapLengths

Protected _swapTenors

_updated

Private _volHandles

Private _volatilities

Private _volatilityType

allowsExtrapolation

Type declaration

Returns boolean

alwaysForwardNotifications

Type declaration

Returns void

blackVariance1

Type declaration

Parameters

optionTenor: Period

swapTenor: Period

strike: Rate

Optional extrapolate: boolean

Returns Real

blackVariance2

Type declaration

Parameters

optionDate: Date

swapTenor: Period

strike: Rate

Optional extrapolate: boolean

Returns Real

blackVariance3

Type declaration

Parameters

optionTime: Time

swapTenor: Period

strike: Rate

Optional extrapolate: boolean

Returns Real

blackVariance4

Type declaration

Parameters

optionTenor: Period

swapLength: Time

strike: Rate

Optional extrapolate: boolean

Returns Real

blackVariance5

Type declaration

Parameters

optionDate: Date

swapLength: Time