SwaptionVolatilityStructure Class Reference

Swaption-volatility structure More...

#include <ql/termstructures/volatility/swaption/swaptionvolstructure.hpp>

Inheritance diagram for SwaptionVolatilityStructure:

Public Member Functions
Constructors
See the TermStructure documentation for issues regarding constructors.
	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, variance and smile
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
	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

Limits
virtual const Period &	maxSwapTenor () const =0
	the largest length for which the term structure can return vols
Time	maxSwapLength () const
	the largest swapLength for which the term structure can return vols
virtual VolatilityType	volatilityType () const
	volatility type
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
virtual ext::shared_ptr< SmileSection >	smileSectionImpl (const Date &optionDate, const Period &swapTenor) const
virtual ext::shared_ptr< SmileSection >	smileSectionImpl (Time optionTime, Time swapLength) const =0
virtual Volatility	volatilityImpl (const Date &optionDate, const Period &swapTenor, Rate strike) const
virtual Volatility	volatilityImpl (Time optionTime, Time swapLength, Rate strike) const =0
virtual Real	shiftImpl (const Date &optionDate, const Period &swapTenor) const
virtual Real	shiftImpl (Time optionTime, Time swapLength) const
void	checkSwapTenor (const Period &swapTenor, bool extrapolate) const
void	checkSwapTenor (Time swapLength, bool extrapolate) const

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

Swaption-volatility structure

This abstract class defines the interface of concrete swaption volatility structures which will be derived from this one.

Constructor & Destructor Documentation

SwaptionVolatilityStructure()

SwaptionVolatilityStructure	(	BusinessDayConvention	bdc,
		const DayCounter &	dc = DayCounter() )

Warning

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

Member Function Documentation

maxSwapTenor()

virtual const Period & maxSwapTenor ( ) const

pure virtual

the largest length for which the term structure can return vols

Implemented in ConstantSwaptionVolatility, SwaptionVolatilityCube, and SwaptionVolatilityMatrix.

volatilityType()

virtual VolatilityType volatilityType ( ) const

virtual

volatility type

Reimplemented in ConstantSwaptionVolatility, SwaptionVolatilityCube, and SwaptionVolatilityMatrix.