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Class FixedRateBondHelper

Fixed-coupon bond helper for curve bootstrap

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

  • Parameters

    • price: Handle<Quote>
    • settlementDays: Natural
    • faceAmount: Real
    • schedule: Schedule
    • coupons: Rate[]
    • dayCounter: DayCounter
    • Default value paymentConvention: BusinessDayConvention = BusinessDayConvention.Following
    • Default value redemption: Real = 100
    • 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 FixedRateBondHelper

Properties

Protected _bond

_bond: Bond

Protected _earliestDate

_earliestDate: Date

Protected _fixedRateBond

_fixedRateBond: FixedRateBond

_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

fixedRateBond

  • Returns FixedRateBond

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