VolatilityCurve | quantlib.js

Hierarchy

VolatilityTermStructure
- VolatilityCurve

Implements

Implemented by

InterpolatedYoYOptionletVolatilityCurve

Index

Properties

Optional _accuracy

_accuracy: Real

_bdc

_bdc: BusinessDayConvention

_calendar

_calendar: Calendar

_data

_data: Real[]

Optional _dates

_dates: Date[]

_dayCounter

_dayCounter: DayCounter

_extrapolate

_extrapolate: boolean

Optional _instruments

_instruments: BootstrapHelper[]

_interpolation

_interpolation: Interpolation

_interpolator

_interpolator: Interpolator

_isDisposed

_isDisposed: boolean = false

_maxDate

_maxDate: Date

_moving

_moving: boolean

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

_referenceDate

_referenceDate: Date

_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

- Defined in ql/termstructures/curve.ts:194
Returns Date

businessDayConvention

businessDayConvention(): BusinessDayConvention

Inherited from VolatilityTermStructure.businessDayConvention
- Defined in ql/termstructures/voltermstructure.ts:46
Returns BusinessDayConvention

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 TermStructure.checkRange1
- Defined in ql/termstructure.ts:188
date-range check

Parameters
- d: Date
- extrapolate: boolean
Returns void

checkRange2

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

Inherited from TermStructure.checkRange2
- Defined in ql/termstructure.ts:199
time-range check

Parameters
- t: Time
- extrapolate: boolean
Returns void

checkStrike

checkStrike(k: Rate, extrapolate: boolean): void

Inherited from VolatilityTermStructure.checkStrike
- Defined in ql/termstructures/voltermstructure.ts:64
Parameters
- k: Rate
- extrapolate: boolean
Returns void

Optional curveInit1

curveInit1(settlementDays: Natural, cal: Calendar, bdc: BusinessDayConvention, dc: DayCounter, lag: Period, frequency: Frequency, indexIsInterpolated: boolean, d: Date[], v: Volatility[], minStrike: Rate, maxStrike: Rate, i?: Interpolator): VolatilityCurve

- Defined in ql/termstructures/curve.ts:168
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 VolatilityCurve

Optional curveInit2

curveInit2(settlementDays: Natural, cal: Calendar, bdc: BusinessDayConvention, dc: DayCounter, lag: Period, frequency: Frequency, indexIsInterpolated: boolean, minStrike: Rate, maxStrike: Rate, baseYoYVolatility: Volatility, i?: Interpolator): VolatilityCurve

- Defined in ql/termstructures/curve.ts:173
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 VolatilityCurve

data

data(): Real[]

- Defined in ql/termstructures/curve.ts:187
Returns Real[]

dates

dates(): Date[]

- Defined in ql/termstructures/curve.ts:189
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

maxDate

maxDate(): Date

Overrides TermStructure.maxDate
- Defined in ql/termstructures/curve.ts:190
Returns Date

maxStrike

maxStrike(): Rate

Inherited from VolatilityTermStructure.maxStrike
- Defined in ql/termstructures/voltermstructure.ts:60
Returns Rate

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

minStrike

minStrike(): Rate

Inherited from VolatilityTermStructure.minStrike
- Defined in ql/termstructures/voltermstructure.ts:56
Returns Rate

nodes

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

- Defined in ql/termstructures/curve.ts:191
Returns Array<[Date, Real]>

optionDateFromTenor

optionDateFromTenor(p: Period): Date

Inherited from VolatilityTermStructure.optionDateFromTenor
- Defined in ql/termstructures/voltermstructure.ts:50
Parameters
- p: Period
Returns Date

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

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:188
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 volatilityImpl

volatilityImpl(t: Time, r: Rate): DiscountFactor

- Defined in ql/termstructures/curve.ts:203
Parameters
- t: Time
- r: Rate
Returns DiscountFactor

vtsInit1

vtsInit1(bdc: BusinessDayConvention, dc?: DayCounter): VolatilityTermStructure

Inherited from VolatilityTermStructure.vtsInit1
- Defined in ql/termstructures/voltermstructure.ts:21
Parameters
- bdc: BusinessDayConvention
- Default value dc: DayCounter = new DayCounter()
Returns VolatilityTermStructure

vtsInit2

vtsInit2(referenceDate: Date, cal: Calendar, bdc: BusinessDayConvention, dc?: DayCounter): VolatilityTermStructure

Inherited from VolatilityTermStructure.vtsInit2
- Defined in ql/termstructures/voltermstructure.ts:29
Parameters
- referenceDate: Date
- cal: Calendar
- bdc: BusinessDayConvention
- Default value dc: DayCounter = new DayCounter()
Returns VolatilityTermStructure

vtsInit3

vtsInit3(settlementDays: Natural, cal: Calendar, bdc: BusinessDayConvention, dc?: DayCounter): VolatilityTermStructure

Inherited from VolatilityTermStructure.vtsInit3
- Defined in ql/termstructures/voltermstructure.ts:38
Parameters
- settlementDays: Natural
- cal: Calendar
- bdc: BusinessDayConvention
- Default value dc: DayCounter = new DayCounter()
Returns VolatilityTermStructure

Hierarchy

Implements

Implemented by

Index

Properties

Methods

Properties

Optional _accuracy

_bdc

_calendar

_data

Optional _dates

_dayCounter

_extrapolate

Optional _instruments

_interpolation

_interpolator

_isDisposed

_maxDate

_moving

_observables

_observers

_referenceDate

_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

unregisterWithAll

Type declaration

Returns void

Methods

baseDate