CallableBondConstantVolatility Class Reference

Constant callable-bond volatility, no time-strike dependence. More...

#include <ql/experimental/callablebonds/callablebondconstantvol.hpp>

Inheritance diagram for CallableBondConstantVolatility:

Public Member Functions
	CallableBondConstantVolatility (const Date &referenceDate, Volatility volatility, DayCounter dayCounter)
	CallableBondConstantVolatility (const Date &referenceDate, Handle< Quote > volatility, DayCounter dayCounter)
	CallableBondConstantVolatility (Natural settlementDays, const Calendar &, Volatility volatility, DayCounter dayCounter)
	CallableBondConstantVolatility (Natural settlementDays, const Calendar &, Handle< Quote > volatility, DayCounter dayCounter)
TermStructure interface
DayCounter	dayCounter () const override
	the day counter used for date/time conversion
Date	maxDate () const override
	the latest date for which the curve can return values
Public Member Functions inherited from CallableBondVolatilityStructure
	CallableBondVolatilityStructure (const DayCounter &dc=DayCounter(), BusinessDayConvention bdc=Following)
	default constructor
	CallableBondVolatilityStructure (const Date &referenceDate, const Calendar &calendar=Calendar(), const DayCounter &dc=DayCounter(), BusinessDayConvention bdc=Following)
	initialize with a fixed reference date
	CallableBondVolatilityStructure (Natural settlementDays, const Calendar &, const DayCounter &dc=DayCounter(), BusinessDayConvention bdc=Following)
	calculate the reference date based on the global evaluation date
Volatility	volatility (Time optionTime, Time bondLength, Rate strike, bool extrapolate=false) const
	returns the volatility for a given option time and bondLength
Real	blackVariance (Time optionTime, Time bondLength, Rate strike, bool extrapolate=false) const
	returns the Black variance for a given option time and bondLength
Volatility	volatility (const Date &optionDate, const Period &bondTenor, Rate strike, bool extrapolate=false) const
	returns the volatility for a given option date and bond tenor
Real	blackVariance (const Date &optionDate, const Period &bondTenor, Rate strike, bool extrapolate=false) const
	returns the Black variance for a given option date and bond tenor
virtual ext::shared_ptr< SmileSection >	smileSection (const Date &optionDate, const Period &bondTenor) const
Volatility	volatility (const Period &optionTenor, const Period &bondTenor, Rate strike, bool extrapolate=false) const
	returns the volatility for a given option tenor and bond tenor
Real	blackVariance (const Period &optionTenor, const Period &bondTenor, Rate strike, bool extrapolate=false) const
	returns the Black variance for a given option tenor and bond tenor
ext::shared_ptr< SmileSection >	smileSection (const Period &optionTenor, const Period &bondTenor) const
virtual std::pair< Time, Time >	convertDates (const Date &optionDate, const Period &bondTenor) const
	implements the conversion between dates and times
virtual BusinessDayConvention	businessDayConvention () const
	the business day convention used for option date calculation
Date	optionDateFromTenor (const Period &optionTenor) const
	implements the conversion between optionTenors and optionDates
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
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

CallableBondConstantVolatility interface
const Period &	maxBondTenor () const override
	the largest length for which the term structure can return vols
Time	maxBondLength () const override
	the largest bondLength for which the term structure can return vols
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
Volatility	volatilityImpl (Time, Time, Rate) const override
	implements the actual volatility calculation in derived classes
ext::shared_ptr< SmileSection >	smileSectionImpl (Time optionTime, Time bondLength) const override
	return smile section
Volatility	volatilityImpl (const Date &, const Period &, Rate) const override

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
void	checkRange (Time, Time, Rate strike, bool extrapolate) const
void	checkRange (const Date &optionDate, const Period &bondTenor, Rate strike, bool extrapolate) const
void	checkRange (const Date &d, bool extrapolate) const
	date-range check
void	checkRange (Time t, bool extrapolate) const
	time-range check
bool	moving_ = false
bool	updated_ = true
Calendar	calendar_

Detailed Description

Constant callable-bond volatility, no time-strike dependence.

Member Function Documentation

dayCounter()

DayCounter dayCounter ( ) const

overridevirtual

the day counter used for date/time conversion

Reimplemented from TermStructure.

maxDate()

Date maxDate ( ) const

overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

maxBondTenor()

const Period & maxBondTenor ( ) const

overridevirtual

the largest length for which the term structure can return vols

Implements CallableBondVolatilityStructure.

maxBondLength()

Time maxBondLength ( ) const

overridevirtual

the largest bondLength for which the term structure can return vols

Reimplemented from CallableBondVolatilityStructure.

minStrike()

Real minStrike ( ) const

overridevirtual

the minimum strike for which the term structure can return vols

Implements CallableBondVolatilityStructure.

maxStrike()

Real maxStrike ( ) const

overridevirtual

the maximum strike for which the term structure can return vols

Implements CallableBondVolatilityStructure.

volatilityImpl() [1/2]

Volatility volatilityImpl ( Time optionTime, Time bondLength, Rate strike ) const

overrideprotectedvirtual

implements the actual volatility calculation in derived classes

Implements CallableBondVolatilityStructure.

smileSectionImpl()

ext::shared_ptr< SmileSection > smileSectionImpl ( Time optionTime, Time bondLength ) const

overrideprotectedvirtual

return smile section

Implements CallableBondVolatilityStructure.

volatilityImpl() [2/2]

Volatility volatilityImpl ( const Date & , const Period & , Rate  ) const

overrideprotectedvirtual

Reimplemented from CallableBondVolatilityStructure.