QuantLib: OptionletVolatilityStructure Class Reference

Optionlet (caplet/floorlet) volatility structure. More...

#include <ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp>

Inheritance diagram for OptionletVolatilityStructure:

Public Member Functions
Constructors
See the TermStructure documentation for issues regarding constructors.
	OptionletVolatilityStructure (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
	default constructor
	OptionletVolatilityStructure (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
	initialize with a fixed reference date
	OptionletVolatilityStructure (Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
	calculate the reference date based on the global evaluation date
	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
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
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

Volatility and Variance
Volatility	volatility (const Period &optionTenor, Rate strike, bool extrapolate=false) const
	returns the volatility for a given option tenor and strike rate
Volatility	volatility (const Date &optionDate, Rate strike, bool extrapolate=false) const
	returns the volatility for a given option date and strike rate
Volatility	volatility (Time optionTime, Rate strike, bool extrapolate=false) const
	returns the volatility for a given option time and strike rate
Real	blackVariance (const Period &optionTenor, Rate strike, bool extrapolate=false) const
	returns the Black variance for a given option tenor and strike rate
Real	blackVariance (const Date &optionDate, Rate strike, bool extrapolate=false) const
	returns the Black variance for a given option date and strike rate
Real	blackVariance (Time optionTime, Rate strike, bool extrapolate=false) const
	returns the Black variance for a given option time and strike rate
ext::shared_ptr< SmileSection >	smileSection (const Period &optionTenor, bool extr=false) const
	returns the smile for a given option tenor
ext::shared_ptr< SmileSection >	smileSection (const Date &optionDate, bool extr=false) const
	returns the smile for a given option date
ext::shared_ptr< SmileSection >	smileSection (Time optionTime, bool extr=false) const
	returns the smile for a given option time
virtual VolatilityType	volatilityType () const
virtual Real	displacement () const
virtual ext::shared_ptr< SmileSection >	smileSectionImpl (const Date &optionDate) const
virtual ext::shared_ptr< SmileSection >	smileSectionImpl (Time optionTime) const =0
	implements the actual smile calculation in derived classes
virtual Volatility	volatilityImpl (const Date &optionDate, Rate strike) const
virtual Volatility	volatilityImpl (Time optionTime, Rate strike) const =0
	implements the actual volatility calculation in derived classes

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

Optionlet (caplet/floorlet) volatility structure.

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

Constructor & Destructor Documentation

◆ OptionletVolatilityStructure()

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

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

◆ smileSectionImpl()

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

protectedpure virtual

implements the actual smile calculation in derived classes

Implemented in ConstantOptionletVolatility, and StrippedOptionletAdapter.

◆ volatilityImpl()

virtual Volatility volatilityImpl	(	Time	optionTime,
		Rate	strike ) const

protectedpure virtual

implements the actual volatility calculation in derived classes