DiscountCurve | quantlib.js

Term structure based on log-linear interpolation of discount factors

Log-linear interpolation guarantees piecewise-constant forward rates.

Hierarchy

InterpolatedDiscountCurve
- DiscountCurve

Implements

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new DiscountCurve(): DiscountCurve

Overrides InterpolatedDiscountCurve.constructor
- Defined in ql/termstructures/yield/discountcurve.ts:191
Returns DiscountCurve

Properties

_calendar

_calendar: Calendar

_data

_data: Real[]

_dates

_dates: Date[]

_dayCounter

_dayCounter: DayCounter

_extrapolate

_extrapolate: boolean

_interpolation

_interpolation: Interpolation

_interpolator

_interpolator: Interpolator

_isDisposed

_isDisposed: boolean = false

_jumpDates

_jumpDates: Date[]

_jumpTimes

_jumpTimes: Time[]

_jumps

_jumps: Array<Handle<Quote>>

_latestReference

_latestReference: Date

_maxDate

_maxDate: Date

_moving

_moving: boolean

_nJumps

_nJumps: Size

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

_referenceDate

_referenceDate: Date

_settlementDays

_settlementDays: Natural

_times

_times: Time[]

_updated

_updated: boolean

allowsExtrapolation

allowsExtrapolation: () => boolean

Type declaration

- (): boolean
- Returns boolean

calendar

calendar: () => Calendar

Type declaration

- (): Calendar
- Returns Calendar

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

dayCounter

dayCounter: () => DayCounter

Type declaration

- (): DayCounter
- Returns DayCounter

deepUpdate

deepUpdate: () => void

Type declaration

- (): void
- Returns void

disableExtrapolation

disableExtrapolation: (b: boolean) => void

Type declaration

- (b: boolean): void
- Parameters
  - b: boolean
  Returns void

discount1

discount1: (d: Date, extrapolate: boolean) => DiscountFactor

Type declaration

- (d: Date, extrapolate: boolean): DiscountFactor
- Parameters
  - d: Date
  - extrapolate: boolean
  Returns DiscountFactor

discount2

discount2: (t: Time, extrapolate: boolean) => DiscountFactor

Type declaration

- (t: Time, extrapolate: boolean): DiscountFactor
- Parameters
  - t: Time
  - extrapolate: boolean
  Returns DiscountFactor

dispose

dispose: () => void

Type declaration

- (): void
- Returns void

enableExtrapolation

enableExtrapolation: (b: boolean) => void

Type declaration

- (b: boolean): void
- Parameters
  - b: boolean
  Returns void

forwardRate1

forwardRate1: (d1: Date, d2: Date, resultDayCounter: DayCounter, comp: Compounding, freq: Frequency, extrapolate: boolean) => InterestRate

Type declaration

- (d1: Date, d2: Date, resultDayCounter: DayCounter, comp: Compounding, freq: Frequency, extrapolate: boolean): InterestRate
- Parameters
  - d1: Date
  - d2: Date
  - resultDayCounter: DayCounter
  - comp: Compounding
  - freq: Frequency
  - extrapolate: boolean
  Returns InterestRate

forwardRate2

forwardRate2: (d: Date, p: Period, resultDayCounter: DayCounter, comp: Compounding, freq: Frequency, extrapolate: boolean) => InterestRate

Type declaration

- (d: Date, p: Period, resultDayCounter: DayCounter, comp: Compounding, freq: Frequency, extrapolate: boolean): InterestRate
- Parameters
  - d: Date
  - p: Period
  - resultDayCounter: DayCounter
  - comp: Compounding
  - freq: Frequency
  - extrapolate: boolean
  Returns InterestRate

forwardRate3

forwardRate3: (t1: Time, t2: Time, comp: Compounding, freq: Frequency, extrapolate: boolean) => InterestRate

Type declaration

- (t1: Time, t2: Time, comp: Compounding, freq: Frequency, extrapolate: boolean): InterestRate
- Parameters
  - t1: Time
  - t2: Time
  - comp: Compounding
  - freq: Frequency
  - extrapolate: boolean
  Returns InterestRate

icInit1

icInit1: (times: Time[], data: Real[], i: Interpolator) => InterpolatedCurve

Type declaration

- (times: Time[], data: Real[], i: Interpolator): InterpolatedCurve
- Parameters
  - times: Time[]
  - data: Real[]
  - i: Interpolator
  Returns InterpolatedCurve

isDisposed

isDisposed: boolean

jumpDates

jumpDates: () => Date[]

Type declaration

- (): Date[]
- Returns Date[]

jumpTimes

jumpTimes: () => Time[]

Type declaration

- (): Time[]
- Returns Time[]

maxTime

maxTime: () => Time

Type declaration

- (): Time
- Returns Time

notifyObservers

notifyObservers: () => void

Type declaration

- (): void
- Returns void

referenceDate

referenceDate: () => Date

Type declaration

- (): Date
- Returns Date

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

setJumps

setJumps: () => void

Type declaration

- (): void
- Returns void

settlementDays

settlementDays: () => Natural

Type declaration

- (): Natural
- Returns Natural

setupInterpolation

setupInterpolation: () => void

Type declaration

- (): void
- Returns void

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

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

update

update: () => void

Type declaration

- (): void
- Returns void

ytsInit1

ytsInit1: (dc: DayCounter, jumps?: Array<Handle<Quote>>, jumpDates?: Date[]) => YieldTermStructure

Type declaration

- (dc: DayCounter, jumps?: Array<Handle<Quote>>, jumpDates?: Date[]): YieldTermStructure
- Parameters
  - dc: DayCounter
  - Optional jumps: Array<Handle<Quote>>
  - Optional jumpDates: Date[]
  Returns YieldTermStructure

ytsInit2

ytsInit2: (referenceDate: Date, calendar: Calendar, dc: DayCounter, jumps?: Array<Handle<Quote>>, jumpDates?: Date[]) => YieldTermStructure

Type declaration

- (referenceDate: Date, calendar: Calendar, dc: DayCounter, jumps?: Array<Handle<Quote>>, jumpDates?: Date[]): YieldTermStructure
- Parameters
  - referenceDate: Date
  - calendar: Calendar
  - dc: DayCounter
  - Optional jumps: Array<Handle<Quote>>
  - Optional jumpDates: Date[]
  Returns YieldTermStructure

ytsInit3

ytsInit3: (settlementDays: Natural, calendar: Calendar, dc: DayCounter, jumps?: Array<Handle<Quote>>, jumpDates?: Date[]) => YieldTermStructure

Type declaration

- (settlementDays: Natural, calendar: Calendar, dc: DayCounter, jumps?: Array<Handle<Quote>>, jumpDates?: Date[]): YieldTermStructure
- Parameters
  - settlementDays: Natural
  - calendar: Calendar
  - dc: DayCounter
  - Optional jumps: Array<Handle<Quote>>
  - Optional jumpDates: Date[]
  Returns YieldTermStructure

zeroRate1

zeroRate1: (d: Date, resultDayCounter: DayCounter, comp: Compounding, freq: Frequency, extrapolate: boolean) => InterestRate

Type declaration

- (d: Date, resultDayCounter: DayCounter, comp: Compounding, freq: Frequency, extrapolate: boolean): InterestRate
- Parameters
  - d: Date
  - resultDayCounter: DayCounter
  - comp: Compounding
  - freq: Frequency
  - extrapolate: boolean
  Returns InterestRate

zeroRate2

zeroRate2: (t: Time, comp: Compounding, freq: Frequency, extrapolate: boolean) => InterestRate

Type declaration

- (t: Time, comp: Compounding, freq: Frequency, extrapolate: boolean): InterestRate
- Parameters
  - t: Time
  - comp: Compounding
  - freq: Frequency
  - extrapolate: boolean
  Returns InterestRate

Methods

curveInit1

curveInit1(dates: Date[], dfs: DiscountFactor[], dayCounter: DayCounter, calendar?: Calendar, jumps?: Array<Handle<Quote>>, jumpDates?: Date[]): YieldCurve

Implementation of YieldCurve.curveInit1

Inherited from InterpolatedDiscountCurve.curveInit1
- Defined in ql/termstructures/yield/discountcurve.ts:29
Parameters
- dates: Date[]
- dfs: DiscountFactor[]
- dayCounter: DayCounter
- Default value calendar: Calendar = new Calendar()
- Default value jumps: Array<Handle<Quote>> = []
- Default value jumpDates: Date[] = []
Returns YieldCurve

curveInit2

curveInit2(dates: Date[], dfs: DiscountFactor[], dayCounter: DayCounter, calendar: Calendar): YieldCurve

Implementation of YieldCurve.curveInit2

Inherited from InterpolatedDiscountCurve.curveInit2
- Defined in ql/termstructures/yield/discountcurve.ts:41
Parameters
- dates: Date[]
- dfs: DiscountFactor[]
- dayCounter: DayCounter
- calendar: Calendar
Returns YieldCurve

curveInit3

curveInit3(dates: Date[], dfs: DiscountFactor[], dayCounter: DayCounter): YieldCurve

Implementation of YieldCurve.curveInit3

Inherited from InterpolatedDiscountCurve.curveInit3
- Defined in ql/termstructures/yield/discountcurve.ts:52
Parameters
- dates: Date[]
- dfs: DiscountFactor[]
- dayCounter: DayCounter
Returns YieldCurve

curveInit4

curveInit4(dayCounter: DayCounter, jumps?: Array<Handle<Quote>>, jumpDates?: Date[]): YieldCurve

Implementation of YieldCurve.curveInit4

Inherited from InterpolatedDiscountCurve.curveInit4
- Defined in ql/termstructures/yield/discountcurve.ts:62
Parameters
- dayCounter: DayCounter
- Default value jumps: Array<Handle<Quote>> = []
- Default value jumpDates: Date[] = []
Returns YieldCurve

curveInit5

curveInit5(referenceDate: Date, dayCounter: DayCounter, jumps?: Array<Handle<Quote>>, jumpDates?: Date[]): YieldCurve

Implementation of YieldCurve.curveInit5

Inherited from InterpolatedDiscountCurve.curveInit5
- Defined in ql/termstructures/yield/discountcurve.ts:72
Parameters
- referenceDate: Date
- dayCounter: DayCounter
- Default value jumps: Array<Handle<Quote>> = []
- Default value jumpDates: Date[] = []
Returns YieldCurve

curveInit6

curveInit6(settlementDays: Natural, calendar: Calendar, dayCounter: DayCounter, jumps?: Array<Handle<Quote>>, jumpDates?: Date[]): YieldCurve

Implementation of YieldCurve.curveInit6

Inherited from InterpolatedDiscountCurve.curveInit6
- Defined in ql/termstructures/yield/discountcurve.ts:82
Parameters
- settlementDays: Natural
- calendar: Calendar
- dayCounter: DayCounter
- Default value jumps: Array<Handle<Quote>> = []
- Default value jumpDates: Date[] = []
Returns YieldCurve

data

data(): Real[]

Implementation of YieldCurve.data

Inherited from InterpolatedDiscountCurve.data
- Defined in ql/termstructures/yield/discountcurve.ts:106
Returns Real[]

dates

dates(): Date[]

Implementation of YieldCurve.dates

Inherited from InterpolatedDiscountCurve.dates
- Defined in ql/termstructures/yield/discountcurve.ts:102
Returns Date[]

discountImpl

discountImpl(t: Time): DiscountFactor

Implementation of YieldCurve.discountImpl

Inherited from InterpolatedDiscountCurve.discountImpl

Overrides YieldTermStructureInterpolatedCurve.discountImpl
- Defined in ql/termstructures/yield/discountcurve.ts:122
Parameters
- t: Time
Returns DiscountFactor

discounts

discounts(): DiscountFactor[]

Inherited from InterpolatedDiscountCurve.discounts
- Defined in ql/termstructures/yield/discountcurve.ts:110
Returns DiscountFactor[]

maxDate

maxDate(): Date

Implementation of YieldCurve.maxDate

Inherited from InterpolatedDiscountCurve.maxDate

Overrides YieldTermStructureInterpolatedCurve.maxDate
- Defined in ql/termstructures/yield/discountcurve.ts:91
Returns Date

nodes

nodes(): Array<[Date, Real]>

Implementation of YieldCurve.nodes

Inherited from InterpolatedDiscountCurve.nodes
- Defined in ql/termstructures/yield/discountcurve.ts:114
Returns Array<[Date, Real]>

times

times(): Time[]

Implementation of YieldCurve.times

Inherited from InterpolatedDiscountCurve.times
- Defined in ql/termstructures/yield/discountcurve.ts:98
Returns Time[]

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Returns DiscountCurve

Properties

_calendar

_data

_dates

_dayCounter

_extrapolate

_interpolation

_interpolator

_isDisposed

_jumpDates

_jumpTimes

_jumps

_latestReference

_maxDate

_moving

_nJumps

_observables

_observers

_referenceDate

_settlementDays

_times

_updated

allowsExtrapolation

Type declaration

Returns boolean

calendar

Type declaration

Returns Calendar

checkRange1

Type declaration

Parameters

d: Date

extrapolate: boolean

Returns void

checkRange2

Type declaration

Parameters

t: Time

extrapolate: boolean

Returns void

dayCounter

Type declaration

Returns DayCounter

deepUpdate

Type declaration

Returns void

disableExtrapolation

Type declaration

Parameters

b: boolean

Returns void

discount1

Type declaration

Parameters

d: Date

extrapolate: boolean

Returns DiscountFactor

discount2

Type declaration

Parameters

t: Time

extrapolate: boolean

Returns DiscountFactor

dispose

Type declaration

Returns void

enableExtrapolation

Type declaration

Parameters

b: boolean

Returns void