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Class BondHelper

Bond helper for curve bootstrap

warning This class assumes that the reference date does not change between calls of setTermStructure().

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

  • warning

    Setting a pricing engine to the passed bond from external code will cause the bootstrap to fail or to give wrong results. It is advised to discard the bond after creating the helper, so that the helper has sole ownership of it.

    Parameters

    • price: Handle<Quote>
    • bond: Bond
    • Default value useCleanPrice: boolean = true

    Returns BondHelper

Properties

Protected _bond

_bond: Bond

Protected _earliestDate

_earliestDate: Date

_isDisposed

_isDisposed: boolean = false

Protected _latestDate

_latestDate: Date

Protected _latestRelevantDate

_latestRelevantDate: Date

Protected _maturityDate

_maturityDate: Date

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Protected _pillarDate

_pillarDate: Date

Protected _quote

_quote: Handle<Quote>

Protected _termStructure

_termStructure: Curve

Protected _termStructureHandle

_termStructureHandle: RelinkableHandle<YieldTermStructure> = new RelinkableHandle()

Protected _useCleanPrice

_useCleanPrice: boolean

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

accept

bond

  • Returns Bond

bshInit1

bshInit2

deepUpdate

  • deepUpdate(): void

earliestDate

  • earliestDate(): Date

  • earliest relevant date

    The earliest date at which data are needed by the helper in order to provide a quote.

    Returns Date

impliedQuote

  • impliedQuote(): Real

latestDate

  • latestDate(): Date

latestRelevantDate

  • latestRelevantDate(): Date

  • latest relevant date

    The latest date at which data are needed by the helper in order to provide a quote. It does not necessarily equal the maturity of the underlying instrument.

    Returns Date

maturityDate

  • maturityDate(): Date

  • instrument's maturity date

    Returns Date

pillarDate

  • pillarDate(): Date

quote

quoteError

  • quoteError(): Real

setTermStructure

update

  • update(): void

useCleanPrice

  • useCleanPrice(): boolean

  • Returns boolean