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Class SwapRateHelper

Rate helper for bootstrapping over swap rates

todo use input SwapIndex to create the swap

Hierarchy

Implements

Index

Properties

Methods

Properties

Protected _calendar

_calendar: Calendar

Protected _discountHandle

_discountHandle: Handle<YieldTermStructure>

Protected _discountRelinkableHandle

_discountRelinkableHandle: RelinkableHandle<YieldTermStructure> = new RelinkableHandle()

Protected _earliestDate

_earliestDate: Date

Protected _endOfMonth

_endOfMonth: boolean

Protected _evaluationDate

_evaluationDate: Date

Protected _fixedConvention

_fixedConvention: BusinessDayConvention

Protected _fixedDayCount

_fixedDayCount: DayCounter

Protected _fixedFrequency

_fixedFrequency: Frequency

Protected _fwdStart

_fwdStart: Period

Protected _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()

Protected _pillarChoice

_pillarChoice: Choice

Protected _pillarDate

_pillarDate: Date

Protected _quote

_quote: Handle<Quote>

Protected _settlementDays

_settlementDays: Natural

Protected _spread

_spread: Handle<Quote>

Protected _swap

_swap: VanillaSwap

Protected _tenor

_tenor: Period

Protected _termStructure

_termStructure: Curve

Protected _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

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

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

forwardStart

  • Returns Period

impliedQuote

  • impliedQuote(): Real

Protected initializeDates

  • initializeDates(): void

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

rdbshInit1

rdbshInit2

  • rdbshInit2(quote: Real): void

setTermStructure

spread

  • Returns Spread

srhInit1

  • Parameters

    • rate: Handle<Quote>
    • swapIndex: SwapIndex
    • Default value spread: Handle<Quote> = new Handle()
    • Default value fwdStart: Period = new Period()
    • Default value discountingCurve: Handle<YieldTermStructure> = new Handle()
    • Default value pillarChoice: Choice = Pillar.Choice.LastRelevantDate
    • Default value customPillarDate: Date = null
    • Default value endOfMonth: boolean = false

    Returns SwapRateHelper

srhInit2

srhInit3

  • Parameters

    • rate: Rate
    • swapIndex: SwapIndex
    • Default value spread: Handle<Quote> = new Handle()
    • Default value fwdStart: Period = null
    • Default value discountingCurve: Handle<YieldTermStructure> = new Handle()
    • Default value pillarChoice: Choice = Pillar.Choice.LastRelevantDate
    • Default value customPillarDate: Date = null
    • Default value endOfMonth: boolean = false

    Returns SwapRateHelper

srhInit4

swap

  • Returns VanillaSwap

update

  • update(): void