ConstantSwaptionVolatility Class Reference
Constant swaption volatility, no time-strike dependence. More...
#include <ql/termstructures/volatility/swaption/swaptionconstantvol.hpp>
Inheritance diagram for ConstantSwaptionVolatility:
Public Member Functions | |
| ConstantSwaptionVolatility (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, Handle< Quote > volatility, const DayCounter &dc, VolatilityType type=ShiftedLognormal, Real shift=0.0) | |
| floating reference date, floating market data | |
| ConstantSwaptionVolatility (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, Handle< Quote > volatility, const DayCounter &dc, VolatilityType type=ShiftedLognormal, Real shift=0.0) | |
| fixed reference date, floating market data | |
| ConstantSwaptionVolatility (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, Volatility volatility, const DayCounter &dc, VolatilityType type=ShiftedLognormal, Real shift=0.0) | |
| floating reference date, fixed market data | |
| ConstantSwaptionVolatility (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, Volatility volatility, const DayCounter &dc, VolatilityType type=ShiftedLognormal, Real shift=0.0) | |
| fixed reference date, fixed market data | |
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 | |
| Public Member Functions inherited from SwaptionVolatilityStructure | |
| SwaptionVolatilityStructure (BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) | |
| SwaptionVolatilityStructure (const Date &referenceDate, const Calendar &calendar, BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) | |
| initialize with a fixed reference date | |
| SwaptionVolatilityStructure (Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) | |
| calculate the reference date based on the global evaluation date | |
| Volatility | volatility (const Period &optionTenor, const Period &swapTenor, Rate strike, bool extrapolate=false) const |
| returns the volatility for a given option tenor and swap tenor | |
| Volatility | volatility (const Date &optionDate, const Period &swapTenor, Rate strike, bool extrapolate=false) const |
| returns the volatility for a given option date and swap tenor | |
| Volatility | volatility (Time optionTime, const Period &swapTenor, Rate strike, bool extrapolate=false) const |
| returns the volatility for a given option time and swap tenor | |
| Volatility | volatility (const Period &optionTenor, Time swapLength, Rate strike, bool extrapolate=false) const |
| returns the volatility for a given option tenor and swap length | |
| Volatility | volatility (const Date &optionDate, Time swapLength, Rate strike, bool extrapolate=false) const |
| returns the volatility for a given option date and swap length | |
| Volatility | volatility (Time optionTime, Time swapLength, Rate strike, bool extrapolate=false) const |
| returns the volatility for a given option time and swap length | |
| Real | blackVariance (const Period &optionTenor, const Period &swapTenor, Rate strike, bool extrapolate=false) const |
| returns the Black variance for a given option tenor and swap tenor | |
| Real | blackVariance (const Date &optionDate, const Period &swapTenor, Rate strike, bool extrapolate=false) const |
| returns the Black variance for a given option date and swap tenor | |
| Real | blackVariance (Time optionTime, const Period &swapTenor, Rate strike, bool extrapolate=false) const |
| returns the Black variance for a given option time and swap tenor | |
| Real | blackVariance (const Period &optionTenor, Time swapLength, Rate strike, bool extrapolate=false) const |
| returns the Black variance for a given option tenor and swap length | |
| Real | blackVariance (const Date &optionDate, Time swapLength, Rate strike, bool extrapolate=false) const |
| returns the Black variance for a given option date and swap length | |
| Real | blackVariance (Time optionTime, Time swapLength, Rate strike, bool extrapolate=false) const |
| returns the Black variance for a given option time and swap length | |
| Real | shift (const Period &optionTenor, const Period &swapTenor, bool extrapolate=false) const |
| returns the shift for a given option tenor and swap tenor | |
| Real | shift (const Date &optionDate, const Period &swapTenor, bool extrapolate=false) const |
| returns the shift for a given option date and swap tenor | |
| Real | shift (Time optionTime, const Period &swapTenor, bool extrapolate=false) const |
| returns the shift for a given option time and swap tenor | |
| Real | shift (const Period &optionTenor, Time swapLength, bool extrapolate=false) const |
| returns the shift for a given option tenor and swap length | |
| Real | shift (const Date &optionDate, Time swapLength, bool extrapolate=false) const |
| returns the shift for a given option date and swap length | |
| Real | shift (Time optionTime, Time swapLength, bool extrapolate=false) const |
| returns the shift for a given option time and swap length | |
| ext::shared_ptr< SmileSection > | smileSection (const Period &optionTenor, const Period &swapTenor, bool extr=false) const |
| returns the smile for a given option tenor and swap tenor | |
| ext::shared_ptr< SmileSection > | smileSection (const Date &optionDate, const Period &swapTenor, bool extr=false) const |
| returns the smile for a given option date and swap tenor | |
| ext::shared_ptr< SmileSection > | smileSection (Time optionTime, const Period &swapTenor, bool extr=false) const |
| returns the smile for a given option time and swap tenor | |
| ext::shared_ptr< SmileSection > | smileSection (const Period &optionTenor, Time swapLength, bool extr=false) const |
| returns the smile for a given option tenor and swap length | |
| ext::shared_ptr< SmileSection > | smileSection (const Date &optionDate, Time swapLength, bool extr=false) const |
| returns the smile for a given option date and swap length | |
| ext::shared_ptr< SmileSection > | smileSection (Time optionTime, Time swapLength, bool extr=false) const |
| returns the smile for a given option time and swap length | |
| Time | maxSwapLength () const |
| the largest swapLength for which the term structure can return vols | |
| Time | swapLength (const Period &swapTenor) const |
| implements the conversion between swap tenor and swap (time) length | |
| Time | swapLength (const Date &start, const Date &end) const |
| implements the conversion between swap dates and swap (time) length | |
| 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 | |
SwaptionVolatilityStructure interface | |
| const Period & | maxSwapTenor () const override |
| the largest length for which the term structure can return vols | |
| VolatilityType | volatilityType () const override |
| volatility type | |
| ext::shared_ptr< SmileSection > | smileSectionImpl (const Date &, const Period &) const override |
| ext::shared_ptr< SmileSection > | smileSectionImpl (Time, Time) const override |
| Volatility | volatilityImpl (const Date &, const Period &, Rate) const override |
| Volatility | volatilityImpl (Time, Time, Rate) const override |
| Real | shiftImpl (Time optionTime, Time swapLength) const override |
Additional Inherited Members | |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
| virtual Real | shiftImpl (const Date &optionDate, const Period &swapTenor) const |
| void | checkSwapTenor (const Period &swapTenor, bool extrapolate) const |
| void | checkSwapTenor (Time swapLength, bool extrapolate) const |
| 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 | |
| bool | moving_ = false |
| bool | updated_ = true |
| Calendar | calendar_ |
Detailed Description
Constant swaption volatility, no time-strike dependence.
Member Function Documentation
◆ maxDate()
|
overridevirtual |
the latest date for which the curve can return values
Implements TermStructure.
◆ minStrike()
|
overridevirtual |
the minimum strike for which the term structure can return vols
Implements VolatilityTermStructure.
◆ maxStrike()
|
overridevirtual |
the maximum strike for which the term structure can return vols
Implements VolatilityTermStructure.
◆ maxSwapTenor()
|
overridevirtual |
the largest length for which the term structure can return vols
Implements SwaptionVolatilityStructure.
◆ volatilityType()
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overridevirtual |
volatility type
Reimplemented from SwaptionVolatilityStructure.
◆ smileSectionImpl() [1/2]
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overrideprotectedvirtual |
Reimplemented from SwaptionVolatilityStructure.
◆ smileSectionImpl() [2/2]
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overrideprotectedvirtual |
Implements SwaptionVolatilityStructure.
◆ volatilityImpl() [1/2]
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overrideprotectedvirtual |
Reimplemented from SwaptionVolatilityStructure.
◆ volatilityImpl() [2/2]
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overrideprotectedvirtual |
Implements SwaptionVolatilityStructure.
◆ shiftImpl()
Reimplemented from SwaptionVolatilityStructure.
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