CPIBondHelper | quantlib.js

CPI bond helper for curve bootstrap

Hierarchy

BondHelper
- CPIBondHelper

Implements

Index

Constructors

constructor

Methods

Constructors

constructor

new CPIBondHelper(price: Handle<Quote>, settlementDays: Natural, faceAmount: Real, growthOnly: boolean, baseCPI: Real, observationLag: Period, cpiIndex: ZeroInflationIndex, observationInterpolation: InterpolationType, schedule: Schedule, fixedRate: Rate[], accrualDayCounter: DayCounter, paymentConvention: BusinessDayConvention, issueDate?: Date, paymentCalendar?: Calendar, exCouponPeriod?: Period, exCouponCalendar?: Calendar, exCouponConvention?: BusinessDayConvention, exCouponEndOfMonth?: boolean, useCleanPrice?: boolean): CPIBondHelper

Overrides BondHelper.constructor
- Defined in ql/termstructures/yield/bondhelpers.ts:143
Parameters
- price: Handle<Quote>
- settlementDays: Natural
- faceAmount: Real
- growthOnly: boolean
- baseCPI: Real
- observationLag: Period
- cpiIndex: ZeroInflationIndex
- observationInterpolation: InterpolationType
- schedule: Schedule
- fixedRate: Rate[]
- accrualDayCounter: DayCounter
- paymentConvention: BusinessDayConvention
- Default value issueDate: Date = null
- Default value paymentCalendar: Calendar = new Calendar()
- Default value exCouponPeriod: Period = new Period()
- Default value exCouponCalendar: Calendar = new Calendar()
- Default value exCouponConvention: BusinessDayConvention = BusinessDayConvention.Unadjusted
- Default value exCouponEndOfMonth: boolean = false
- Default value useCleanPrice: boolean = true
Returns CPIBondHelper

Properties

Protected _bond

_bond: Bond

Protected _cpiBond

_cpiBond: CPIBond

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

- (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

accept

accept(v: AcyclicVisitor): void

Overrides BondHelper.accept
- Defined in ql/termstructures/yield/bondhelpers.ts:173
Parameters
- v: AcyclicVisitor
Returns void

bond

bond(): Bond

Inherited from BondHelper.bond
- Defined in ql/termstructures/yield/bondhelpers.ts:72
Returns Bond

bshInit1

bshInit1(quote: Handle<Quote>): BootstrapHelper

Inherited from BootstrapHelper.bshInit1
- Defined in ql/termstructures/bootstraphelper.ts:42
Parameters
- quote: Handle<Quote>
Returns BootstrapHelper

bshInit2

bshInit2(quote: Real): BootstrapHelper

Inherited from BootstrapHelper.bshInit2
- Defined in ql/termstructures/bootstraphelper.ts:50
Parameters
- quote: Real
Returns BootstrapHelper

cpiBond

cpiBond(): CPIBond

- Defined in ql/termstructures/yield/bondhelpers.ts:169
Returns CPIBond

deepUpdate

deepUpdate(): void

Inherited from ObserverObservable.deepUpdate
- Defined in mixins/ql/patterns/observerobservable.ts:23
Returns void

earliestDate

earliestDate(): Date

Inherited from BootstrapHelper.earliestDate
- Defined in ql/termstructures/bootstraphelper.ts:93
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

Inherited from BondHelper.impliedQuote

Overrides BootstrapHelper.impliedQuote
- Defined in ql/termstructures/yield/bondhelpers.ts:54
Returns Real

latestDate

latestDate(): Date

Inherited from BootstrapHelper.latestDate
- Defined in ql/termstructures/bootstraphelper.ts:126
Returns Date

latestRelevantDate

latestRelevantDate(): Date

Inherited from BootstrapHelper.latestRelevantDate
- Defined in ql/termstructures/bootstraphelper.ts:112
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

Inherited from BootstrapHelper.maturityDate
- Defined in ql/termstructures/bootstraphelper.ts:98
instrument's maturity date

Returns Date

pillarDate

pillarDate(): Date

Inherited from BootstrapHelper.pillarDate
- Defined in ql/termstructures/bootstraphelper.ts:119
Returns Date

quote

quote(): Handle<Quote>

Inherited from BootstrapHelper.quote
- Defined in ql/termstructures/bootstraphelper.ts:56
Returns Handle<Quote>

quoteError

quoteError(): Real

Inherited from BootstrapHelper.quoteError
- Defined in ql/termstructures/bootstraphelper.ts:64
Returns Real

setTermStructure

setTermStructure(t: YieldTermStructure): void

Inherited from BondHelper.setTermStructure

Overrides BootstrapHelper.setTermStructure
- Defined in ql/termstructures/yield/bondhelpers.ts:64
Parameters
- t: YieldTermStructure
Returns void

update

update(): void

Inherited from BootstrapHelper.update

Overrides ObserverObservable.update
- Defined in ql/termstructures/bootstraphelper.ts:133
Returns void

useCleanPrice

useCleanPrice(): boolean

Inherited from BondHelper.useCleanPrice
- Defined in ql/termstructures/yield/bondhelpers.ts:76
Returns boolean

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Parameters

price: Handle<Quote>

settlementDays: Natural

faceAmount: Real

growthOnly: boolean

baseCPI: Real

observationLag: Period

cpiIndex: ZeroInflationIndex

observationInterpolation: InterpolationType

schedule: Schedule

fixedRate: Rate[]

accrualDayCounter: DayCounter

paymentConvention: BusinessDayConvention

Default value issueDate: Date = null

Default value paymentCalendar: Calendar = new Calendar()

Default value exCouponPeriod: Period = new Period()

Default value exCouponCalendar: Calendar = new Calendar()

Default value exCouponConvention: BusinessDayConvention = BusinessDayConvention.Unadjusted

Default value exCouponEndOfMonth: boolean = false

Default value useCleanPrice: boolean = true

Returns CPIBondHelper

Properties

Protected _bond

Protected _cpiBond

Protected _earliestDate

_isDisposed

Protected _latestDate

Protected _latestRelevantDate

Protected _maturityDate

_observables

_observers

Protected _pillarDate

Protected _quote

Protected _termStructure

Protected _termStructureHandle

Protected _useCleanPrice

dispose

Type declaration

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