Options
All
  • Public
  • Public/Protected
  • All
Menu

Flat interest-rate curve

Hierarchy

Implements

Index

Properties

_alwaysForward

_alwaysForward: boolean = false

_calculated

_calculated: boolean = false

_calendar

_calendar: Calendar

Private _compounding

_compounding: Compounding

_dayCounter

_dayCounter: DayCounter

_extrapolate

_extrapolate: boolean

Private _forward

_forward: Handle<Quote> = new Handle()

Private _frequency

_frequency: Frequency

_frozen

_frozen: boolean = false

_isDisposed

_isDisposed: boolean = false

_jumpDates

_jumpDates: Date[]

_jumpTimes

_jumpTimes: Time[]

_jumps

_jumps: Array<Handle<Quote>>

_latestReference

_latestReference: Date

_moving

_moving: boolean

_nJumps

_nJumps: Size

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Private _rate

_referenceDate

_referenceDate: Date

_settlementDays

_settlementDays: Natural

_updated

_updated: boolean

allowsExtrapolation

allowsExtrapolation: () => boolean

Type declaration

    • (): boolean
    • Returns boolean

alwaysForwardNotifications

alwaysForwardNotifications: () => void

Type declaration

    • (): void
    • Returns void

calculate

calculate: () => void

Type declaration

    • (): void
    • Returns void

calendar

calendar: () => Calendar

Type declaration

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

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

discount2

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

Type declaration

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

forwardRate2

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

Type declaration

forwardRate3

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

Type declaration

freeze

freeze: () => void

Type declaration

    • (): void
    • Returns void

isDisposed

isDisposed: boolean

jumpDates

jumpDates: () => Date[]

Type declaration

    • (): Date[]
    • Returns Date[]

jumpTimes

jumpTimes: () => Time[]

Type declaration

maxTime

maxTime: () => Time

Type declaration

notifyObservers

notifyObservers: () => void

Type declaration

    • (): void
    • Returns void

recalculate

recalculate: () => void

Type declaration

    • (): void
    • Returns void

referenceDate

referenceDate: () => Date

Type declaration

    • (): Date
    • Returns Date

registerObserver

registerObserver: (o: Observer) => void

Type declaration

registerWith

registerWith: (h: Observable) => void

Type declaration

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

setJumps

setJumps: () => void

Type declaration

    • (): void
    • Returns void

settlementDays

settlementDays: () => Natural

Type declaration

timeFromReference

timeFromReference: (date: Date) => Time

Type declaration

    • (date: Date): Time
    • Parameters

      • date: Date

      Returns Time

tsInit1

tsInit1: (dc: DayCounter) => TermStructure

Type declaration

tsInit2

tsInit2: (referenceDate: Date, calendar: Calendar, dc: DayCounter) => TermStructure

Type declaration

tsInit3

tsInit3: (settlementDays: Natural, calendar: Calendar, dc: DayCounter) => TermStructure

Type declaration

unfreeze

unfreeze: () => void

Type declaration

    • (): void
    • Returns void

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

unregisterWithAll

unregisterWithAll: () => void

Type declaration

    • (): void
    • Returns void

ytsInit1

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

Type declaration

ytsInit2

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

Type declaration

ytsInit3

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

Type declaration

zeroRate1

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

Type declaration

zeroRate2

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

Type declaration

Methods

compounding

  • Returns Compounding

compoundingFrequency

  • Returns Frequency

discountImpl

ffInit1

  • Parameters

    Returns FlatForward

ffInit2

  • Parameters

    • referenceDate: Date
    • forward: Rate
    • dayCounter: DayCounter
    • Default value compounding: Compounding = Compounding.Continuous
    • Default value frequency: Frequency = Frequency.Annual

    Returns FlatForward

ffInit3

ffInit4

maxDate

  • maxDate(): Date

performCalculations

  • performCalculations(): void

update

  • update(): void