PiecewiseYieldCurve | quantlib.js

Piecewise yield term structure

This term structure is bootstrapped on a number of interest rate instruments which are passed as a vector of handles to RateHelper instances. Their maturities mark the boundaries of the interpolated segments.

Each segment is determined sequentially starting from the earliest period to the latest and is chosen so that the instrument whose maturity marks the end of such segment is correctly repriced on the curve.

warning The bootstrapping algorithm will raise an exception if any two instruments have the same maturity date.

test

the correctness of the returned values is tested by checking them against the original inputs.
the observability of the term structure is tested.

Hierarchy

YieldTermStructureInterpolatedCurveLazyObject
- PiecewiseYieldCurve

Implements

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new PiecewiseYieldCurve(traits: Traits, interpolator: Interpolator, bootstrap?: IterativeBootstrap | LocalBootstrap): PiecewiseYieldCurve

- Defined in ql/termstructures/yield/piecewiseyieldcurve.ts:41
Parameters
- traits: Traits
- interpolator: Interpolator
- Default value bootstrap: IterativeBootstrap | LocalBootstrap = new IterativeBootstrap(traits, interpolator)
Returns PiecewiseYieldCurve

Properties

_accuracy

_accuracy: Real

_alwaysForward

_alwaysForward: boolean = false

_base_curve

_base_curve: YieldCurve

_bootstrap

_bootstrap: IterativeBootstrap | LocalBootstrap

_calculated

_calculated: boolean = false

_calendar

_calendar: Calendar

_data

_data: Real[]

_dayCounter

_dayCounter: DayCounter

_extrapolate

_extrapolate: boolean = false

_frozen

_frozen: boolean = false

_instruments

_instruments: BootstrapHelper[]

_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[]

_traits

_traits: Traits

_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

- (): 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

curveInit1

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

Type declaration

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

curveInit2

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

Type declaration

- (dates: Date[], dfs: DiscountFactor[], dayCounter: DayCounter, calendar: Calendar): YieldCurve
- Parameters
  - dates: Date[]
  - dfs: DiscountFactor[]
  - dayCounter: DayCounter
  - calendar: Calendar
  Returns YieldCurve

curveInit3

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

Type declaration

- (dates: Date[], dfs: DiscountFactor[], dayCounter: DayCounter): YieldCurve
- Parameters
  - dates: Date[]
  - dfs: DiscountFactor[]
  - dayCounter: DayCounter
  Returns YieldCurve

curveInit4

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

Type declaration

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

curveInit5

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

Type declaration

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

curveInit6

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

Type declaration

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

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
  - Optional extrapolate: boolean
  Returns DiscountFactor

discount2

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

Type declaration

- (t: Time, extrapolate?: boolean): DiscountFactor
- Parameters
  - t: Time
  - Optional 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
  - Optional freq: Frequency
  - Optional 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
  - Optional freq: Frequency
  - Optional 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
  - Optional freq: Frequency
  - Optional extrapolate: boolean
  Returns InterestRate

freeze

freeze: () => void

Type declaration

- (): void
- Returns void

icInit1

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

Type declaration

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

recalculate

recalculate: () => 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

unfreeze

unfreeze: () => void

Type declaration

- (): void
- 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

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
  - Optional freq: Frequency
  - Optional 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
  - Optional freq: Frequency
  - Optional extrapolate: boolean
  Returns InterestRate

Methods

data

data(): Real[]

Implementation of YieldCurve.data

Overrides YieldTermStructureInterpolatedCurveLazyObject.data
- Defined in ql/termstructures/yield/piecewiseyieldcurve.ts:143
Returns Real[]

dates

dates(): Date[]

Implementation of YieldCurve.dates

Overrides YieldTermStructureInterpolatedCurveLazyObject.dates
- Defined in ql/termstructures/yield/piecewiseyieldcurve.ts:138
Returns Date[]

discountImpl

discountImpl(t: Time): DiscountFactor

Implementation of YieldCurve.discountImpl

Overrides YieldTermStructureInterpolatedCurveLazyObject.discountImpl
- Defined in ql/termstructures/yield/piecewiseyieldcurve.ts:170
Parameters
- t: Time
Returns DiscountFactor

maxDate

maxDate(): Date

Implementation of YieldCurve.maxDate

Overrides YieldTermStructureInterpolatedCurveLazyObject.maxDate
- Defined in ql/termstructures/yield/piecewiseyieldcurve.ts:128
Returns Date

nodes

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

Implementation of YieldCurve.nodes

Overrides YieldTermStructureInterpolatedCurveLazyObject.nodes
- Defined in ql/termstructures/yield/piecewiseyieldcurve.ts:148
Returns Array<[Date, Real]>

performCalculations

performCalculations(): void

Overrides YieldTermStructureInterpolatedCurveLazyObject.performCalculations
- Defined in ql/termstructures/yield/piecewiseyieldcurve.ts:165
Returns void

pwycInit1

pwycInit1(referenceDate: Date, instruments: BootstrapHelper[], dayCounter: DayCounter, jumps?: Array<Handle<Quote>>, jumpDates?: Date[], accuracy?: Real): PiecewiseYieldCurve

- Defined in ql/termstructures/yield/piecewiseyieldcurve.ts:54
Parameters
- referenceDate: Date
- instruments: BootstrapHelper[]
- dayCounter: DayCounter
- Default value jumps: Array<Handle<Quote>> = []
- Default value jumpDates: Date[] = []
- Default value accuracy: Real = 1e-12
Returns PiecewiseYieldCurve

pwycInit2

pwycInit2(referenceDate: Date, instruments: BootstrapHelper[], dayCounter: DayCounter, accuracy?: Real): PiecewiseYieldCurve

- Defined in ql/termstructures/yield/piecewiseyieldcurve.ts:67
Parameters
- referenceDate: Date
- instruments: BootstrapHelper[]
- dayCounter: DayCounter
- Default value accuracy: Real = 1e-12
Returns PiecewiseYieldCurve

pwycInit3

pwycInit3(referenceDate: Date, instruments: BootstrapHelper[], dayCounter: DayCounter): PiecewiseYieldCurve

- Defined in ql/termstructures/yield/piecewiseyieldcurve.ts:78
Parameters
- referenceDate: Date
- instruments: BootstrapHelper[]
- dayCounter: DayCounter
Returns PiecewiseYieldCurve

pwycInit4

pwycInit4(settlementDays: Natural, calendar: Calendar, instruments: BootstrapHelper[], dayCounter: DayCounter, jumps?: Array<Handle<Quote>>, jumpDates?: Date[], accuracy?: Real): PiecewiseYieldCurve

- Defined in ql/termstructures/yield/piecewiseyieldcurve.ts:89
Parameters
- settlementDays: Natural
- calendar: Calendar
- instruments: BootstrapHelper[]
- dayCounter: DayCounter
- Default value jumps: Array<Handle<Quote>> = []
- Default value jumpDates: Date[] = []
- Default value accuracy: Real = 1e-12
Returns PiecewiseYieldCurve

pwycInit5

pwycInit5(settlementDays: Natural, calendar: Calendar, instruments: BootstrapHelper[], dayCounter: DayCounter, accuracy?: Real): PiecewiseYieldCurve

- Defined in ql/termstructures/yield/piecewiseyieldcurve.ts:103
Parameters
- settlementDays: Natural
- calendar: Calendar
- instruments: BootstrapHelper[]
- dayCounter: DayCounter
- Default value accuracy: Real = 1e-12
Returns PiecewiseYieldCurve

pwycInit6

pwycInit6(settlementDays: Natural, calendar: Calendar, instruments: BootstrapHelper[], dayCounter: DayCounter): PiecewiseYieldCurve

- Defined in ql/termstructures/yield/piecewiseyieldcurve.ts:116
Parameters
- settlementDays: Natural
- calendar: Calendar
- instruments: BootstrapHelper[]
- dayCounter: DayCounter
Returns PiecewiseYieldCurve

times

times(): Time[]

Implementation of YieldCurve.times

Overrides YieldTermStructureInterpolatedCurveLazyObject.times
- Defined in ql/termstructures/yield/piecewiseyieldcurve.ts:133
Returns Time[]

update

update(): void

Implementation of YieldCurve.update

Overrides YieldTermStructureInterpolatedCurveLazyObject.update
- Defined in ql/termstructures/yield/piecewiseyieldcurve.ts:153
Returns void

zeroYieldImpl

zeroYieldImpl(t: Time): Rate

Implementation of YieldCurve.zeroYieldImpl
- Defined in ql/termstructures/yield/piecewiseyieldcurve.ts:175
Parameters
- t: Time
Returns Rate

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Parameters

traits: Traits

interpolator: Interpolator

Default value bootstrap: IterativeBootstrap | LocalBootstrap = new IterativeBootstrap(traits, interpolator)

Returns PiecewiseYieldCurve

Properties

_accuracy

_alwaysForward

_base_curve

_bootstrap

_calculated

_calendar

_data

_dayCounter

_extrapolate

_frozen

_instruments

_interpolation

_interpolator

_isDisposed

_jumpDates

_jumpTimes

_jumps

_latestReference

_maxDate

_moving

_nJumps

_observables

_observers

_referenceDate

_settlementDays

_times

_traits

_updated

allowsExtrapolation

Type declaration

Returns boolean

alwaysForwardNotifications

Type declaration

Returns void

calculate

Type declaration

Returns void

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

curveInit1

Type declaration

Parameters

dates: Date[]

dfs: DiscountFactor[]

dayCounter: DayCounter

Optional calendar: Calendar

Optional jumps: Array<Handle<Quote>>

Optional jumpDates: Date[]

Returns YieldCurve

curveInit2

Type declaration

Parameters

dates: Date[]