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Class FuturesRateHelper

Rate helper for bootstrapping over IborIndex futures prices

Hierarchy

Implements

Index

Properties

Methods

Properties

Private _convAdj

_convAdj: Handle<Quote>

Protected _earliestDate

_earliestDate: Date

_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()

Protected _pillarDate

_pillarDate: Date

Protected _quote

_quote: Handle<Quote>

Protected _termStructure

_termStructure: Curve

Private _yearFraction

_yearFraction: Time

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

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

accept

bshInit1

bshInit2

convexityAdjustment

  • convexityAdjustment(): Real

  • Returns Real

deepUpdate

  • deepUpdate(): void

earliestDate

  • earliestDate(): Date

  • earliest relevant date

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

    Returns Date

frhInit1

frhInit2

frhInit3

  • Parameters

    • price: Handle<Quote>
    • iborStartDate: Date
    • iborEndDate: Date
    • dayCounter: DayCounter
    • Default value convexityAdjustment: Handle<Quote> = new Handle()
    • Default value type: Type = Futures.Type.IMM

    Returns FuturesRateHelper

frhInit4

  • Parameters

    • price: Real
    • iborStartDate: Date
    • iborEndDate: Date
    • dayCounter: DayCounter
    • Default value convexityAdjustment: Real = 0
    • Default value type: Type = Futures.Type.IMM

    Returns FuturesRateHelper

frhInit5

frhInit6

  • Parameters

    • price: Real
    • iborStartDate: Date
    • iborIndex: IborIndex
    • Default value convexityAdjustment: Real = 0
    • Default value type: Type = Futures.Type.IMM

    Returns FuturesRateHelper

impliedQuote

  • impliedQuote(): Real

latestDate

  • latestDate(): Date

latestRelevantDate

  • latestRelevantDate(): Date

  • 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

  • instrument's maturity date

    Returns Date

pillarDate

  • pillarDate(): Date

quote

quoteError

  • quoteError(): Real

setTermStructure

  • setTermStructure(t: any): void

  • sets the term structure to be used for pricing warning Being a pointer and not a shared_ptr, the term structure is not guaranteed to remain allocated for the whole life of the rate helper. It is responsibility of the programmer to ensure that the pointer remains valid. It is advised that this method is called only inside the term structure being bootstrapped, setting the pointer to this, i.e., the term structure itself.

    Parameters

    • t: any

    Returns void

update

  • update(): void