FraRateHelper | quantlib.js

Rate helper for bootstrapping over FRA rates

Hierarchy

RelativeDateBootstrapHelper
- FraRateHelper

Implements

Index

Properties

Protected _earliestDate

_earliestDate: Date

Protected _evaluationDate

_evaluationDate: Date

Private _fixingDate

_fixingDate: Date

Private _iborIndex

_iborIndex: IborIndex

_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()

Private _periodToStart

_periodToStart: Period

Private _pillarChoice

_pillarChoice: Choice

Protected _pillarDate

_pillarDate: Date

Protected _quote

_quote: Handle<Quote>

Protected _termStructure

_termStructure: Curve

Private _termStructureHandle

_termStructureHandle: RelinkableHandle<YieldTermStructure> = new RelinkableHandle()

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

- (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

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

Methods

accept

accept(v: AcyclicVisitor): void

Overrides BootstrapHelper.accept
- Defined in ql/termstructures/yield/ratehelpers.ts:665
Parameters
- v: AcyclicVisitor
Returns void

bshInit1

bshInit1(quote: Handle<Quote>): BootstrapHelper

Inherited from BootstrapHelper.bshInit1
- Defined in ql/termstructures/bootstraphelper.ts:42
Parameters
- quote: Handle<Quote>
Returns BootstrapHelper

bshInit2

bshInit2(quote: Real): BootstrapHelper

Inherited from BootstrapHelper.bshInit2
- Defined in ql/termstructures/bootstraphelper.ts:50
Parameters
- quote: Real
Returns BootstrapHelper

deepUpdate

deepUpdate(): void

Inherited from ObserverObservable.deepUpdate
- Defined in mixins/ql/patterns/observerobservable.ts:23
Returns void

earliestDate

earliestDate(): Date

Inherited from BootstrapHelper.earliestDate
- Defined in ql/termstructures/bootstraphelper.ts:93
earliest relevant date

The earliest date at which data are needed by the helper in order to provide a quote.

Returns Date

frahInit1

frahInit1(rate: Handle<Quote>, monthsToStart: Natural, monthsToEnd: Natural, fixingDays: Natural, calendar: Calendar, convention: BusinessDayConvention, endOfMonth: boolean, dayCounter: DayCounter, pillarChoice?: Choice, customPillarDate?: Date): FraRateHelper

- Defined in ql/termstructures/yield/ratehelpers.ts:420
Parameters
- rate: Handle<Quote>
- monthsToStart: Natural
- monthsToEnd: Natural
- fixingDays: Natural
- calendar: Calendar
- convention: BusinessDayConvention
- endOfMonth: boolean
- dayCounter: DayCounter
- Default value pillarChoice: Choice = Pillar.Choice.LastRelevantDate
- Default value customPillarDate: Date = null
Returns FraRateHelper

frahInit2

frahInit2(rate: Rate, monthsToStart: Natural, monthsToEnd: Natural, fixingDays: Natural, calendar: Calendar, convention: BusinessDayConvention, endOfMonth: boolean, dayCounter: DayCounter, pillarChoice?: Choice, customPillarDate?: Date): FraRateHelper

- Defined in ql/termstructures/yield/ratehelpers.ts:448
Parameters
- rate: Rate
- monthsToStart: Natural
- monthsToEnd: Natural
- fixingDays: Natural
- calendar: Calendar
- convention: BusinessDayConvention
- endOfMonth: boolean
- dayCounter: DayCounter
- Default value pillarChoice: Choice = Pillar.Choice.LastRelevantDate
- Default value customPillarDate: Date = null
Returns FraRateHelper

frahInit3

frahInit3(rate: Handle<Quote>, monthsToStart: Natural, iborIndex: IborIndex, pillarChoice?: Choice, customPillarDate?: Date): FraRateHelper

- Defined in ql/termstructures/yield/ratehelpers.ts:476
Parameters
- rate: Handle<Quote>
- monthsToStart: Natural
- iborIndex: IborIndex
- Default value pillarChoice: Choice = Pillar.Choice.LastRelevantDate
- Default value customPillarDate: Date = null
Returns FraRateHelper

frahInit4

frahInit4(rate: Rate, monthsToStart: Natural, iborIndex: IborIndex, pillarChoice?: Choice, customPillarDate?: Date): FraRateHelper

- Defined in ql/termstructures/yield/ratehelpers.ts:496
Parameters
- rate: Rate
- monthsToStart: Natural
- iborIndex: IborIndex
- Default value pillarChoice: Choice = Pillar.Choice.LastRelevantDate
- Default value customPillarDate: Date = null
Returns FraRateHelper

frahInit5

frahInit5(rate: Handle<Quote>, periodToStart: Period, lengthInMonths: Natural, fixingDays: Natural, calendar: Calendar, convention: BusinessDayConvention, endOfMonth: boolean, dayCounter: DayCounter, pillarChoice?: Choice, customPillarDate?: Date): FraRateHelper

- Defined in ql/termstructures/yield/ratehelpers.ts:516
Parameters
- rate: Handle<Quote>
- periodToStart: Period
- lengthInMonths: Natural
- fixingDays: Natural
- calendar: Calendar
- convention: BusinessDayConvention
- endOfMonth: boolean
- dayCounter: DayCounter
- Default value pillarChoice: Choice = Pillar.Choice.LastRelevantDate
- Default value customPillarDate: Date = null
Returns FraRateHelper

frahInit6

frahInit6(rate: Rate, periodToStart: Period, lengthInMonths: Natural, fixingDays: Natural, calendar: Calendar, convention: BusinessDayConvention, endOfMonth: boolean, dayCounter: DayCounter, pillarChoice?: Choice, customPillarDate?: Date): FraRateHelper

- Defined in ql/termstructures/yield/ratehelpers.ts:539
Parameters
- rate: Rate
- periodToStart: Period
- lengthInMonths: Natural
- fixingDays: Natural
- calendar: Calendar
- convention: BusinessDayConvention
- endOfMonth: boolean
- dayCounter: DayCounter
- Default value pillarChoice: Choice = Pillar.Choice.LastRelevantDate
- Default value customPillarDate: Date = null
Returns FraRateHelper

frahInit7

frahInit7(rate: Handle<Quote>, periodToStart: Period, iborIndex: IborIndex, pillarChoice?: Choice, customPillarDate?: Date): FraRateHelper

- Defined in ql/termstructures/yield/ratehelpers.ts:562
Parameters
- rate: Handle<Quote>
- periodToStart: Period
- iborIndex: IborIndex
- Default value pillarChoice: Choice = Pillar.Choice.LastRelevantDate
- Default value customPillarDate: Date = null
Returns FraRateHelper

frahInit8

frahInit8(rate: Rate, periodToStart: Period, iborIndex: IborIndex, pillarChoice?: Choice, customPillarDate?: Date): FraRateHelper

- Defined in ql/termstructures/yield/ratehelpers.ts:580
Parameters
- rate: Rate
- periodToStart: Period
- iborIndex: IborIndex
- Default value pillarChoice: Choice = Pillar.Choice.LastRelevantDate
- Default value customPillarDate: Date = null
Returns FraRateHelper

impliedQuote

impliedQuote(): Real

Overrides BootstrapHelper.impliedQuote
- Defined in ql/termstructures/yield/ratehelpers.ts:597
Returns Real

Protected initializeDates

initializeDates(): void

Overrides RelativeDateBootstrapHelper.initializeDates
- Defined in ql/termstructures/yield/ratehelpers.ts:617
Returns void

latestDate

latestDate(): Date

Inherited from BootstrapHelper.latestDate
- Defined in ql/termstructures/bootstraphelper.ts:126
Returns Date

latestRelevantDate

latestRelevantDate(): Date

Inherited from BootstrapHelper.latestRelevantDate
- Defined in ql/termstructures/bootstraphelper.ts:112
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

Inherited from BootstrapHelper.maturityDate
- Defined in ql/termstructures/bootstraphelper.ts:98
instrument's maturity date

Returns Date

pillarDate

pillarDate(): Date

Inherited from BootstrapHelper.pillarDate
- Defined in ql/termstructures/bootstraphelper.ts:119
Returns Date

quote

quote(): Handle<Quote>

Inherited from BootstrapHelper.quote
- Defined in ql/termstructures/bootstraphelper.ts:56
Returns Handle<Quote>

quoteError

quoteError(): Real

Inherited from BootstrapHelper.quoteError
- Defined in ql/termstructures/bootstraphelper.ts:64
Returns Real

rdbshInit1

rdbshInit1(quote: Handle<Quote>): void

Inherited from RelativeDateBootstrapHelper.rdbshInit1
- Defined in ql/termstructures/bootstraphelper.ts:165
Parameters
- quote: Handle<Quote>
Returns void

rdbshInit2

rdbshInit2(quote: Real): void

Inherited from RelativeDateBootstrapHelper.rdbshInit2
- Defined in ql/termstructures/bootstraphelper.ts:172
Parameters
- quote: Real
Returns void

setTermStructure

setTermStructure(t: YieldCurve): void

Overrides BootstrapHelper.setTermStructure
- Defined in ql/termstructures/yield/ratehelpers.ts:606
Parameters
- t: YieldCurve
Returns void

update

update(): void

Inherited from RelativeDateBootstrapHelper.update

Overrides BootstrapHelper.update
- Defined in ql/termstructures/bootstraphelper.ts:178
Returns void

Hierarchy

Implements

Index

Properties

Methods

Properties

Protected _earliestDate

Protected _evaluationDate

Private _fixingDate

Private _iborIndex

_isDisposed

Protected _latestDate

Protected _latestRelevantDate

Protected _maturityDate

_observables

_observers

Private _periodToStart

Private _pillarChoice

Protected _pillarDate

Protected _quote

Protected _termStructure

Private _termStructureHandle

dispose

Type declaration

Returns void

isDisposed

notifyObservers

Type declaration

Returns void

registerObserver

Type declaration

Parameters

o: Observer

Returns void

registerWith

Type declaration

Parameters

h: Observable

Returns void

registerWithObservables

Type declaration

Parameters

o: Observer

Returns void

unregisterObserver

Type declaration

Parameters

o: Observer

Returns void

unregisterWith

Type declaration

Parameters

h: Observable

Returns Size

unregisterWithAll

Type declaration

Returns void

Methods

accept

Parameters

v: AcyclicVisitor

Returns void

bshInit1

Parameters

quote: Handle<Quote>

Returns BootstrapHelper

bshInit2

Parameters

quote: Real

Returns BootstrapHelper

deepUpdate

Returns void

earliestDate

Returns Date

frahInit1

Parameters

rate: Handle<Quote>

monthsToStart: Natural

monthsToEnd: Natural

fixingDays: Natural