AbcdAtmVolCurve Class Reference

Abcd-interpolated at-the-money (no-smile) volatility curve. More...

#include <ql/experimental/volatility/abcdatmvolcurve.hpp>

Inheritance diagram for AbcdAtmVolCurve:

Public Member Functions
	AbcdAtmVolCurve (Natural settlementDays, const Calendar &cal, const std::vector< Period > &optionTenors, const std::vector< Handle< Quote > > &volsHandles, std::vector< bool > inclusionInInterpolationFlag=std::vector< bool >(1, true), BusinessDayConvention bdc=Following, const DayCounter &dc=Actual365Fixed())
	floating reference date, floating market data
std::vector< Real >	k () const
	Returns k adjustment factors for option tenors used in interpolation.
Real	k (Time t) const
	Returns k adjustment factor at time t.
Real	a () const
Real	b () const
Real	c () const
Real	d () const
Real	rmsError () const
Real	maxError () const
EndCriteria::Type	endCriteria () const
TermStructure interface
Date	maxDate () const override
	the latest date for which the curve can return values
VolatilityTermStructure interface
Real	minStrike () const override
	the minimum strike for which the term structure can return vols
Real	maxStrike () const override
	the maximum strike for which the term structure can return vols
LazyObject interface
void	update () override
void	performCalculations () const override
some inspectors
const std::vector< Period > &	optionTenors () const
const std::vector< Period > &	optionTenorsInInterpolation () const
const std::vector< Date > &	optionDates () const
const std::vector< Time > &	optionTimes () const
Visitability
void	accept (AcyclicVisitor &) override
Public Member Functions inherited from BlackAtmVolCurve
	BlackAtmVolCurve (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
	default constructor
	BlackAtmVolCurve (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
	initialize with a fixed reference date
	BlackAtmVolCurve (Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
	calculate the reference date based on the global evaluation date
Volatility	atmVol (const Period &optionTenor, bool extrapolate=false) const
	spot at-the-money volatility
Volatility	atmVol (const Date &maturity, bool extrapolate=false) const
	spot at-the-money volatility
Volatility	atmVol (Time maturity, bool extrapolate=false) const
	spot at-the-money volatility
Real	atmVariance (const Period &optionTenor, bool extrapolate=false) const
	spot at-the-money variance
Real	atmVariance (const Date &maturity, bool extrapolate=false) const
	spot at-the-money variance
Real	atmVariance (Time maturity, bool extrapolate=false) const
	spot at-the-money variance
	VolatilityTermStructure (BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
	VolatilityTermStructure (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
	initialize with a fixed reference date
	VolatilityTermStructure (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
	calculate the reference date based on the global evaluation date
virtual BusinessDayConvention	businessDayConvention () const
	the business day convention used in tenor to date conversion
Date	optionDateFromTenor (const Period &) const
	period/date conversion
Public Member Functions inherited from TermStructure
	TermStructure (DayCounter dc=DayCounter())
	default constructor
	TermStructure (const Date &referenceDate, Calendar calendar=Calendar(), DayCounter dc=DayCounter())
	initialize with a fixed reference date
	TermStructure (Natural settlementDays, Calendar, DayCounter dc=DayCounter())
	calculate the reference date based on the global evaluation date
virtual DayCounter	dayCounter () const
	the day counter used for date/time conversion
Time	timeFromReference (const Date &date) const
	date/time conversion
virtual Time	maxTime () const
	the latest time for which the curve can return values
virtual const Date &	referenceDate () const
	the date at which discount = 1.0 and/or variance = 0.0
virtual Calendar	calendar () const
	the calendar used for reference and/or option date calculation
virtual Natural	settlementDays () const
	the settlementDays used for reference date calculation
void	update () override
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const Observer &)
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	deepUpdate ()
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()
Public Member Functions inherited from Extrapolator
void	enableExtrapolation (bool b=true)
	enable extrapolation in subsequent calls
void	disableExtrapolation (bool b=true)
	disable extrapolation in subsequent calls
bool	allowsExtrapolation () const
	tells whether extrapolation is enabled
Public Member Functions inherited from LazyObject
void	update () override
bool	isCalculated () const
void	forwardFirstNotificationOnly ()
void	alwaysForwardNotifications ()
void	recalculate ()
void	freeze ()
void	unfreeze ()

BlackAtmVolCurve interface
Real	atmVarianceImpl (Time t) const override
	spot at-the-money variance calculation (k adjusted)
Volatility	atmVolImpl (Time t) const override
	spot at-the-money volatility calculation (k adjusted)

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Member Functions inherited from BlackAtmVolCurve
void	checkStrike (Rate strike, bool extrapolate) const
	strike-range check
void	checkRange (const Date &d, bool extrapolate) const
	date-range check
void	checkRange (Time t, bool extrapolate) const
	time-range check
virtual void	calculate () const
bool	moving_ = false
bool	updated_ = true
Calendar	calendar_
bool	calculated_ = false
bool	frozen_ = false
bool	alwaysForward_

Detailed Description

Abcd-interpolated at-the-money (no-smile) volatility curve.

blah blah

Member Function Documentation

maxDate()

Date maxDate ( ) const

overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

minStrike()

Real minStrike ( ) const

overridevirtual

the minimum strike for which the term structure can return vols

Implements VolatilityTermStructure.

maxStrike()

Real maxStrike ( ) const

overridevirtual

the maximum strike for which the term structure can return vols

Implements VolatilityTermStructure.

update()

void update ( )

overridevirtual

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.

performCalculations()

void performCalculations ( ) const

overridevirtual

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.

accept()

void accept ( AcyclicVisitor & )

overridevirtual

Reimplemented from BlackAtmVolCurve.

atmVarianceImpl()

Real atmVarianceImpl ( Time t ) const

overrideprotectedvirtual

spot at-the-money variance calculation (k adjusted)

Implements BlackAtmVolCurve.

atmVolImpl()

Volatility atmVolImpl ( Time t ) const

overrideprotectedvirtual

spot at-the-money volatility calculation (k adjusted)

Implements BlackAtmVolCurve.