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Implemented by

Index

Properties

Optional _accuracy

_accuracy: Real

_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

_jumpDates

_jumpDates: Date[] = []

_jumpTimes

_jumpTimes: Time[] = []

_jumps

_jumps: Array<Handle<Quote>> = []

_latestReference

_latestReference: Date

_maxDate

_maxDate: Date

_moving

_moving: boolean

_nJumps

_nJumps: Size = 0

_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

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

calendar

  • the calendar used for reference and/or option date calculation

    Returns Calendar

checkRange1

  • checkRange1(d: Date, extrapolate: boolean): void
  • date-range check

    Parameters

    • d: Date
    • extrapolate: boolean

    Returns void

checkRange2

  • checkRange2(t: Time, extrapolate: boolean): void
  • time-range check

    Parameters

    • t: Time
    • extrapolate: boolean

    Returns void

curveInit1

curveInit2

curveInit3

curveInit4

  • Parameters

    Returns YieldCurve

curveInit5

  • Parameters

    • referenceDate: Date
    • dayCounter: DayCounter
    • Optional jumps: Array<Handle<Quote>>
    • Optional jumpDates: Date[]

    Returns YieldCurve

curveInit6

data

  • Returns Real[]

dates

  • dates(): Date[]
  • Returns Date[]

dayCounter

discount1

  • Discount factors

    These methods return the discount factor from a given date or time to the reference date. In the latter case, the time is calculated as a fraction of year from the reference date.

    Parameters

    • d: Date
    • Default value extrapolate: boolean = false

    Returns DiscountFactor

discount2

  • The same day-counting rule used by the term structure should be used for calculating the passed time t.

    Parameters

    • t: Time
    • Default value extrapolate: boolean = false

    Returns DiscountFactor

discountImpl

forwardRate1

forwardRate2

  • The resulting interest rate has the required day-counting rule. warning dates are not adjusted for holidays

    Parameters

    Returns InterestRate

forwardRate3

  • The resulting interest rate has the same day-counting rule used by the term structure. The same rule should be used for calculating the passed times t1 and t2.

    Parameters

    Returns InterestRate

jumpDates

  • jumpDates(): Date[]

jumpTimes

  • jumpTimes(): Time[]

maxDate

  • maxDate(): Date

maxTime

  • the latest time for which the curve can return values

    Returns Time

nodes

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

referenceDate

  • referenceDate(): Date
  • the date at which discount = 1.0 and/or variance = 0.0

    Returns Date

setJumps

  • setJumps(): void

settlementDays

timeFromReference

  • timeFromReference(d: Date): Time

times

  • Returns Time[]

tsInit1

tsInit2

tsInit3

update

  • update(): void

ytsInit1

ytsInit2

ytsInit3

zeroRate1

zeroRate2

  • The resulting interest rate has the same day-counting rule used by the term structure. The same rule should be used for calculating the passed time t.

    Parameters

    Returns InterestRate

Optional zeroYieldImpl