CallableBondVolatilityStructure Class Reference

Callable-bond volatility structure. More...

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

Inheritance diagram for CallableBondVolatilityStructure:

Public Member Functions
Constructors
See the TermStructure documentation for issues regarding constructors.
	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, variance and smile
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
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 Date	maxDate () const =0
	the latest date for which the curve can return values
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

Limits
virtual const Period &	maxBondTenor () const =0
	the largest length for which the term structure can return vols
virtual Time	maxBondLength () const
	the largest bondLength for which the term structure can return vols
virtual Rate	minStrike () const =0
	the minimum strike for which the term structure can return vols
virtual Rate	maxStrike () const =0
	the maximum strike for which the term structure can return vols
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
virtual ext::shared_ptr< SmileSection >	smileSectionImpl (Time optionTime, Time bondLength) const =0
	return smile section
virtual Volatility	volatilityImpl (Time optionTime, Time bondLength, Rate strike) const =0
	implements the actual volatility calculation in derived classes
virtual Volatility	volatilityImpl (const Date &optionDate, const Period &bondTenor, Rate strike) const
void	checkRange (Time, Time, Rate strike, bool extrapolate) const
void	checkRange (const Date &optionDate, const Period &bondTenor, Rate strike, bool extrapolate) const

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
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

Callable-bond volatility structure.

This class is purely abstract and defines the interface of concrete callable-bond volatility structures which will be derived from this one.

Constructor & Destructor Documentation

CallableBondVolatilityStructure()

CallableBondVolatilityStructure	(	const DayCounter &	dc = DayCounter(),
		BusinessDayConvention	bdc = Following )

default constructor

Warning

term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.

Member Function Documentation

maxBondTenor()

virtual const Period & maxBondTenor ( ) const

pure virtual

the largest length for which the term structure can return vols

Implemented in CallableBondConstantVolatility.

maxBondLength()

virtual Time maxBondLength ( ) const

virtual

the largest bondLength for which the term structure can return vols

Reimplemented in CallableBondConstantVolatility.

minStrike()

virtual Rate minStrike ( ) const

pure virtual

the minimum strike for which the term structure can return vols

Implemented in CallableBondConstantVolatility.

maxStrike()

virtual Rate maxStrike ( ) const

pure virtual

the maximum strike for which the term structure can return vols

Implemented in CallableBondConstantVolatility.

smileSectionImpl()

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

protectedpure virtual

return smile section

Implemented in CallableBondConstantVolatility.

volatilityImpl()

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

protectedpure virtual

implements the actual volatility calculation in derived classes

Implemented in CallableBondConstantVolatility.