QuantLib: VolatilityTermStructure Class Reference

#include <ql/termstructures/voltermstructure.hpp>

Inheritance diagram for VolatilityTermStructure:

Constructors
See the TermStructure documentation for issues regarding constructors.
	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
void	checkStrike (Rate strike, bool extrapolate) const
	strike-range check

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

Volatility term structure.

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

Constructor & Destructor Documentation

◆ VolatilityTermStructure()

VolatilityTermStructure	(	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

◆ minStrike()

virtual Rate minStrike ( ) const

pure virtual

◆ maxStrike()

virtual Rate maxStrike ( ) const