InflationCurve | quantlib.js

Hierarchy

InflationTermStructure
- InflationCurve

Implements

Implemented by

Index

Properties

Optional _accuracy

_accuracy: Real

_baseRate

_baseRate: Rate

_calendar

_calendar: Calendar

_data

_data: Real[]

Optional _dates

_dates: Date[]

_dayCounter

_dayCounter: DayCounter

_extrapolate

_extrapolate: boolean

_frequency

_frequency: Frequency

_indexIsInterpolated

_indexIsInterpolated: boolean

Optional _instruments

_instruments: BootstrapHelper[]

_interpolation

_interpolation: Interpolation

_interpolator

_interpolator: Interpolator

_isDisposed

_isDisposed: boolean = false

_maxDate

_maxDate: Date

_moving

_moving: boolean

_nominalTermStructure

_nominalTermStructure: Handle<YieldTermStructure>

_observables

_observables: Set<Observable> = new Set()

_observationLag

_observationLag: Period

_observers

_observers: Set<Observer> = new Set()

_referenceDate

_referenceDate: Date

_seasonality

_seasonality: Seasonality

_settlementDays

_settlementDays: Natural

_times

_times: Time[]

Optional _traits

_traits: Traits

_updated

_updated: boolean

allowsExtrapolation

allowsExtrapolation: () => boolean

Type declaration

- (): boolean
- Returns boolean

deepUpdate

deepUpdate: () => void

Type declaration

- (): void
- Returns void

disableExtrapolation

disableExtrapolation: (b?: boolean) => void

Type declaration

- (b?: boolean): void
- Parameters
  - Optional b: boolean
  Returns void

dispose

dispose: () => void

Type declaration

- (): void
- Returns void

enableExtrapolation

enableExtrapolation: (b?: boolean) => void

Type declaration

- (b?: boolean): void
- Parameters
  - Optional b: boolean
  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

baseDate

baseDate(): Date

Overrides InflationTermStructure.baseDate
- Defined in ql/termstructures/curve.ts:152
Returns Date

baseRate

baseRate(): Rate

Inherited from InflationTermStructure.baseRate
- Defined in ql/termstructures/inflationtermstructure.ts:100
Returns Rate

calendar

calendar(): Calendar

Inherited from TermStructure.calendar
- Defined in ql/termstructure.ts:151
the calendar used for reference and/or option date calculation

Returns Calendar

checkRange1

checkRange1(d: Date, extrapolate: boolean): void

Inherited from InflationTermStructure.checkRange1

Overrides TermStructure.checkRange1
- Defined in ql/termstructures/inflationtermstructure.ts:159
Parameters
- d: Date
- extrapolate: boolean
Returns void

checkRange2

checkRange2(t: Time, extrapolate: boolean): void

Inherited from InflationTermStructure.checkRange2

Overrides TermStructure.checkRange2
- Defined in ql/termstructures/inflationtermstructure.ts:169
Parameters
- t: Time
- extrapolate: boolean
Returns void

Optional curveInit1

curveInit1(referenceDate: Date, calendar: Calendar, dayCounter: DayCounter, lag: Period, frequency: Frequency, indexIsInterpolated: boolean, yTS: Handle<YieldTermStructure>, dates: Date[], rates: Rate[]): InflationCurve

- Defined in ql/termstructures/curve.ts:117
Parameters
- referenceDate: Date
- calendar: Calendar
- dayCounter: DayCounter
- lag: Period
- frequency: Frequency
- indexIsInterpolated: boolean
- yTS: Handle<YieldTermStructure>
- dates: Date[]
- rates: Rate[]
Returns InflationCurve

Optional curveInit2

curveInit2(referenceDate: Date, calendar: Calendar, dayCounter: DayCounter, baseRate: Rate, lag: Period, frequency: Frequency, indexIsInterpolated: boolean, yTS: Handle<YieldTermStructure>): InflationCurve

- Defined in ql/termstructures/curve.ts:122
Parameters
- referenceDate: Date
- calendar: Calendar
- dayCounter: DayCounter
- baseRate: Rate
- lag: Period
- frequency: Frequency
- indexIsInterpolated: boolean
- yTS: Handle<YieldTermStructure>
Returns InflationCurve

Optional curveInit3

curveInit3(settlementDays: Natural, cal: Calendar, bdc: BusinessDayConvention, dc: DayCounter, lag: Period, frequency: Frequency, indexIsInterpolated: boolean, d: Date[], v: Volatility[], minStrike: Rate, maxStrike: Rate, i?: Interpolator): InflationCurve

- Defined in ql/termstructures/curve.ts:127
Parameters
- settlementDays: Natural
- cal: Calendar
- bdc: BusinessDayConvention
- dc: DayCounter
- lag: Period
- frequency: Frequency
- indexIsInterpolated: boolean
- d: Date[]
- v: Volatility[]
- minStrike: Rate
- maxStrike: Rate
- Optional i: Interpolator
Returns InflationCurve

Optional curveInit4

curveInit4(settlementDays: Natural, cal: Calendar, bdc: BusinessDayConvention, dc: DayCounter, lag: Period, frequency: Frequency, indexIsInterpolated: boolean, minStrike: Rate, maxStrike: Rate, baseYoYVolatility: Volatility, i?: Interpolator): InflationCurve

- Defined in ql/termstructures/curve.ts:132
Parameters
- settlementDays: Natural
- cal: Calendar
- bdc: BusinessDayConvention
- dc: DayCounter
- lag: Period
- frequency: Frequency
- indexIsInterpolated: boolean
- minStrike: Rate
- maxStrike: Rate
- baseYoYVolatility: Volatility
- Optional i: Interpolator
Returns InflationCurve

data

data(): Real[]

- Defined in ql/termstructures/curve.ts:145
Returns Real[]

dates

dates(): Date[]

- Defined in ql/termstructures/curve.ts:147
Returns Date[]

dayCounter

dayCounter(): DayCounter

Inherited from TermStructure.dayCounter
- Defined in ql/termstructure.ts:120
the day counter used for date/time conversion

Returns DayCounter

frequency

frequency(): Frequency

Inherited from InflationTermStructure.frequency
- Defined in ql/termstructures/inflationtermstructure.ts:92
Returns Frequency

hasSeasonality

hasSeasonality(): boolean

Inherited from InflationTermStructure.hasSeasonality
- Defined in ql/termstructures/inflationtermstructure.ts:146
Returns boolean

indexIsInterpolated

indexIsInterpolated(): boolean

Inherited from InflationTermStructure.indexIsInterpolated
- Defined in ql/termstructures/inflationtermstructure.ts:96
Returns boolean

itsInit1

itsInit1(baseRate: Rate, observationLag: Period, frequency: Frequency, indexIsInterpolated: boolean, yTS: Handle<YieldTermStructure>, dayCounter?: DayCounter, seasonality?: Seasonality): InflationTermStructure

Inherited from InflationTermStructure.itsInit1
- Defined in ql/termstructures/inflationtermstructure.ts:23
Parameters
- baseRate: Rate
- observationLag: Period
- frequency: Frequency
- indexIsInterpolated: boolean
- yTS: Handle<YieldTermStructure>
- Default value dayCounter: DayCounter = new DayCounter()
- Default value seasonality: Seasonality = null
Returns InflationTermStructure

itsInit2

itsInit2(referenceDate: Date, baseRate: Rate, observationLag: Period, frequency: Frequency, indexIsInterpolated: boolean, yTS: Handle<YieldTermStructure>, calendar?: Calendar, dayCounter?: DayCounter, seasonality?: Seasonality): InflationTermStructure

Inherited from InflationTermStructure.itsInit2
- Defined in ql/termstructures/inflationtermstructure.ts:42
Parameters
- referenceDate: Date
- baseRate: Rate
- observationLag: Period
- frequency: Frequency
- indexIsInterpolated: boolean
- yTS: Handle<YieldTermStructure>
- Default value calendar: Calendar = new Calendar()
- Default value dayCounter: DayCounter = new DayCounter()
- Default value seasonality: Seasonality = null
Returns InflationTermStructure

itsInit3

itsInit3(settlementDays: Natural, calendar: Calendar, baseRate: Rate, observationLag: Period, frequency: Frequency, indexIsInterpolated: boolean, yTS: Handle<YieldTermStructure>, dayCounter?: DayCounter, seasonality?: Seasonality): InflationTermStructure

Inherited from InflationTermStructure.itsInit3
- Defined in ql/termstructures/inflationtermstructure.ts:62
Parameters
- settlementDays: Natural
- calendar: Calendar
- baseRate: Rate
- observationLag: Period
- frequency: Frequency
- indexIsInterpolated: boolean
- yTS: Handle<YieldTermStructure>
- Default value dayCounter: DayCounter = new DayCounter()
- Default value seasonality: Seasonality = null
Returns InflationTermStructure

maxDate

maxDate(): Date

Overrides TermStructure.maxDate
- Defined in ql/termstructures/curve.ts:148
Returns Date

maxTime

maxTime(): Time

Inherited from TermStructure.maxTime
- Defined in ql/termstructure.ts:135
the latest time for which the curve can return values

Returns Time

nodes

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

- Defined in ql/termstructures/curve.ts:149
Returns Array<[Date, Real]>

nominalTermStructure

nominalTermStructure(): Handle<YieldTermStructure>

Inherited from InflationTermStructure.nominalTermStructure
- Defined in ql/termstructures/inflationtermstructure.ts:104
Returns Handle<YieldTermStructure>

observationLag

observationLag(): Period

Inherited from InflationTermStructure.observationLag
- Defined in ql/termstructures/inflationtermstructure.ts:88
Inflation interface

The TS observes with a lag that is usually different from the availability lag of the index. An inflation rate is given, by default, for the maturity requested assuming this lag.

Returns Period

referenceDate

referenceDate(): Date

Inherited from TermStructure.referenceDate
- Defined in ql/termstructure.ts:140
the date at which discount = 1.0 and/or variance = 0.0

Returns Date

seasonality

seasonality(): Seasonality

Inherited from InflationTermStructure.seasonality
- Defined in ql/termstructures/inflationtermstructure.ts:142
Returns Seasonality

setBaseRate

setBaseRate(r: Rate): void

Inherited from InflationTermStructure.setBaseRate
- Defined in ql/termstructures/inflationtermstructure.ts:155
Parameters
- r: Rate
Returns void

setSeasonality

setSeasonality(seasonality?: Seasonality): void

Inherited from InflationTermStructure.setSeasonality
- Defined in ql/termstructures/inflationtermstructure.ts:130
Functions to set and get seasonality.

Calling setSeasonality with no arguments means unsetting as the default is used to choose unsetting.

Parameters
- Default value seasonality: Seasonality = null
Returns void

settlementDays

settlementDays(): Natural

Inherited from TermStructure.settlementDays
- Defined in ql/termstructure.ts:156
the settlementDays used for reference date calculation

Returns Natural

timeFromReference

timeFromReference(d: Date): Time

Inherited from TermStructure.timeFromReference
- Defined in ql/termstructure.ts:125
date/time conversion

Parameters
- d: Date
Returns Time

times

times(): Time[]

- Defined in ql/termstructures/curve.ts:146
Returns Time[]

tsInit1

tsInit1(dc?: DayCounter): TermStructure

Inherited from TermStructure.tsInit1
- Defined in ql/termstructure.ts:79
Parameters
- Default value dc: DayCounter = new DayCounter()
Returns TermStructure

tsInit2

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

Inherited from TermStructure.tsInit2
- Defined in ql/termstructure.ts:91
Parameters
- referenceDate: Date
- Default value calendar: Calendar = new Calendar()
- Default value dc: DayCounter = new DayCounter()
Returns TermStructure

tsInit3

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

Inherited from TermStructure.tsInit3
- Defined in ql/termstructure.ts:107
Parameters
- settlementDays: Natural
- calendar: Calendar
- Default value dc: DayCounter = new DayCounter()
Returns TermStructure

update

update(): void

Inherited from TermStructure.update

Overrides ObserverObservableExtrapolator.update
- Defined in ql/termstructure.ts:163
Returns void

Optional yoyRateImpl

yoyRateImpl(t: Time): DiscountFactor

- Defined in ql/termstructures/curve.ts:162
Parameters
- t: Time
Returns DiscountFactor

Optional zeroRateImpl

zeroRateImpl(t: Time): DiscountFactor

- Defined in ql/termstructures/curve.ts:164
Parameters
- t: Time
Returns DiscountFactor

Hierarchy

Implements

Implemented by

Index

Properties

Methods

Properties

Optional _accuracy

_baseRate

_calendar

_data

Optional _dates

_dayCounter

_extrapolate

_frequency

_indexIsInterpolated

Optional _instruments

_interpolation

_interpolator

_isDisposed

_maxDate

_moving

_nominalTermStructure

_observables

_observationLag

_observers

_referenceDate

_seasonality

_settlementDays

_times

Optional _traits

_updated

allowsExtrapolation

Type declaration

Returns boolean

deepUpdate

Type declaration

Returns void

disableExtrapolation

Type declaration

Parameters

Optional b: boolean

Returns void

dispose

Type declaration

Returns void

enableExtrapolation

Type declaration

Parameters

Optional b: boolean

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