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Drift term structure

Drift term structure for modelling the common drift term: riskFreeRate - dividendYield - 0.5volvol

note This term structure will remain linked to the original structures, i.e., any changes in the latters will be reflected in this structure as well.

Hierarchy

Implements

Index

Constructors

constructor

Properties

Private _blackVolTS

_calendar

_calendar: Calendar

_dayCounter

_dayCounter: DayCounter

Private _dividendTS

_extrapolate

_extrapolate: boolean

_isDisposed

_isDisposed: boolean = false

_jumpDates

_jumpDates: Date[] = []

_jumpTimes

_jumpTimes: Time[] = []

_jumps

_jumps: Array<Handle<Quote>> = []

_latestReference

_latestReference: Date

_moving

_moving: boolean

_nJumps

_nJumps: Size = 0

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

_referenceDate

_referenceDate: Date

Private _riskFreeTS

_settlementDays

_settlementDays: Natural

Private _underlyingLevel

_underlyingLevel: Real

_updated

_updated: boolean

allowsExtrapolation

allowsExtrapolation: () => boolean

Type declaration

    • (): boolean
    • Returns boolean

deepUpdate

deepUpdate: () => void

Type declaration

    • (): void
    • Returns void

disableExtrapolation

disableExtrapolation: (b?: boolean) => void

Type declaration

    • (b?: boolean): void
    • Parameters

      • Optional b: boolean

      Returns void

dispose

dispose: () => void

Type declaration

    • (): void
    • Returns void

enableExtrapolation

enableExtrapolation: (b?: boolean) => void

Type declaration

    • (b?: boolean): void
    • Parameters

      • Optional b: boolean

      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

calendar

checkRange1

  • checkRange1(d: Date, extrapolate: boolean): void
  • date-range check

    Parameters

    • d: Date
    • extrapolate: boolean

    Returns void

checkRange2

  • checkRange2(t: Time, extrapolate: boolean): void
  • time-range check

    Parameters

    • t: Time
    • extrapolate: boolean

    Returns void

dayCounter

discount1

  • Discount factors

    These methods return the discount factor from a given date or time to the reference date. In the latter case, the time is calculated as a fraction of year from the reference date.

    Parameters

    • d: Date
    • Default value extrapolate: boolean = false

    Returns DiscountFactor

discount2

  • The same day-counting rule used by the term structure should be used for calculating the passed time t.

    Parameters

    • t: Time
    • Default value extrapolate: boolean = false

    Returns DiscountFactor

discountImpl

forwardRate1

forwardRate2

  • The resulting interest rate has the required day-counting rule. warning dates are not adjusted for holidays

    Parameters

    Returns InterestRate

forwardRate3

  • The resulting interest rate has the same day-counting rule used by the term structure. The same rule should be used for calculating the passed times t1 and t2.

    Parameters

    Returns InterestRate

jumpDates

  • jumpDates(): Date[]

jumpTimes

  • jumpTimes(): Time[]

maxDate

  • maxDate(): Date
  • Returns Date

maxTime

  • the latest time for which the curve can return values

    Returns Time

referenceDate

  • referenceDate(): Date

setJumps

  • setJumps(): void

settlementDays

timeFromReference

  • timeFromReference(d: Date): Time

tsInit1

tsInit2

tsInit3

update

  • update(): void

ytsInit1

ytsInit2

ytsInit3

zeroRate1

zeroRate2

  • The resulting interest rate has the same day-counting rule used by the term structure. The same rule should be used for calculating the passed time t.

    Parameters

    Returns InterestRate

zeroYieldImpl

zysInit1

zysInit2

zysInit3