QuantLib: CallableBondVolatilityStructure Class Reference

Callable-bond volatility structure. More...

#include <callablebondvolstructure.hpp>

Inheritance diagram for CallableBondVolatilityStructure:

Collaboration 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 More...

	CallableBondVolatilityStructure (const Date &referenceDate, const Calendar &calendar=Calendar(), const DayCounter &dc=DayCounter(), BusinessDayConvention bdc=Following)
	initialize with a fixed reference date More...

	CallableBondVolatilityStructure (Natural settlementDays, const Calendar &, const DayCounter &dc=DayCounter(), BusinessDayConvention bdc=Following)
	calculate the reference date based on the global evaluation date More...

	~CallableBondVolatilityStructure () override=default

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 More...

Real	blackVariance (Time optionTime, Time bondLength, Rate strike, bool extrapolate=false) const
	returns the Black variance for a given option time and bondLength More...

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 More...

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 More...

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 More...

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 More...

ext::shared_ptr< SmileSection >	smileSection (const Period &optionTenor, const Period &bondTenor) const

Public Member Functions inherited from TermStructure
	TermStructure (DayCounter dc=DayCounter())
	default constructor More...

	TermStructure (const Date &referenceDate, Calendar calendar=Calendar(), DayCounter dc=DayCounter())
	initialize with a fixed reference date More...

	TermStructure (Natural settlementDays, Calendar, DayCounter dc=DayCounter())
	calculate the reference date based on the global evaluation date More...

	~TermStructure () override=default

virtual DayCounter	dayCounter () const
	the day counter used for date/time conversion More...

Time	timeFromReference (const Date &date) const
	date/time conversion More...

virtual Date	maxDate () const =0
	the latest date for which the curve can return values More...

virtual Time	maxTime () const
	the latest time for which the curve can return values More...

virtual const Date &	referenceDate () const
	the date at which discount = 1.0 and/or variance = 0.0 More...

virtual Calendar	calendar () const
	the calendar used for reference and/or option date calculation More...

virtual Natural	settlementDays () const
	the settlementDays used for reference date calculation More...

void	update () override

Public Member Functions inherited from Observer
	Observer ()=default

	Observer (const Observer &)

Observer &	operator= (const Observer &)

virtual	~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	update ()=0

virtual void	deepUpdate ()

Public Member Functions inherited from Observable
	Observable ()=default

	Observable (const Observable &)

Observable &	operator= (const Observable &)

	Observable (Observable &&)=delete

Observable &	operator= (Observable &&)=delete

virtual	~Observable ()=default

void	notifyObservers ()

Public Member Functions inherited from Extrapolator
	Extrapolator ()=default

virtual	~Extrapolator ()=default

void	enableExtrapolation (bool b=true)
	enable extrapolation in subsequent calls More...

void	disableExtrapolation (bool b=true)
	disable extrapolation in subsequent calls More...

bool	allowsExtrapolation () const
	tells whether extrapolation is enabled More...

Limits
BusinessDayConvention	bdc_

virtual const Period &	maxBondTenor () const =0
	the largest length for which the term structure can return vols More...

virtual Time	maxBondLength () const
	the largest bondLength for which the term structure can return vols More...

virtual Rate	minStrike () const =0
	the minimum strike for which the term structure can return vols More...

virtual Rate	maxStrike () const =0
	the maximum strike for which the term structure can return vols More...

virtual std::pair< Time, Time >	convertDates (const Date &optionDate, const Period &bondTenor) const
	implements the conversion between dates and times More...

virtual BusinessDayConvention	businessDayConvention () const
	the business day convention used for option date calculation More...

Date	optionDateFromTenor (const Period &optionTenor) const
	implements the conversion between optionTenors and optionDates More...

virtual ext::shared_ptr< SmileSection >	smileSectionImpl (Time optionTime, Time bondLength) const =0
	return smile section More...

virtual Volatility	volatilityImpl (Time optionTime, Time bondLength, Rate strike) const =0
	implements the actual volatility calculation in derived classes More...

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

Protected Member Functions inherited from TermStructure
void	checkRange (const Date &d, bool extrapolate) const
	date-range check More...

void	checkRange (Time t, bool extrapolate) const
	time-range check More...

Protected Attributes inherited from TermStructure
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.

Definition at line 38 of file callablebondvolstructure.hpp.

Constructor & Destructor Documentation

◆ CallableBondVolatilityStructure() [1/3]

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.

Definition at line 25 of file callablebondvolstructure.cpp.

◆ CallableBondVolatilityStructure() [2/3]

CallableBondVolatilityStructure	(	const Date &	referenceDate,
		const Calendar &	calendar = `Calendar()`,
		const DayCounter &	dc = `DayCounter()`,
		BusinessDayConvention	bdc = `Following`
	)

initialize with a fixed reference date

Definition at line 30 of file callablebondvolstructure.cpp.

◆ CallableBondVolatilityStructure() [3/3]

CallableBondVolatilityStructure	(	Natural	settlementDays,
		const Calendar &	calendar,
		const DayCounter &	dc = `DayCounter()`,
		BusinessDayConvention	bdc = `Following`
	)

calculate the reference date based on the global evaluation date

Definition at line 37 of file callablebondvolstructure.cpp.

◆ ~CallableBondVolatilityStructure()

~CallableBondVolatilityStructure ( )

overridedefault

Member Function Documentation

◆ volatility() [1/3]

Volatility volatility	(	Time	optionTime,
		Time	bondLength,
		Rate	strike,
		bool	extrapolate = `false`
	)		const

returns the volatility for a given option time and bondLength

Definition at line 167 of file callablebondvolstructure.hpp.

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◆ blackVariance() [1/3]

Real blackVariance	(	Time	optionTime,
		Time	bondLength,
		Rate	strike,
		bool	extrapolate = `false`
	)		const

returns the Black variance for a given option time and bondLength

Definition at line 177 of file callablebondvolstructure.hpp.

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◆ volatility() [2/3]

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

Definition at line 188 of file callablebondvolstructure.hpp.

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◆ blackVariance() [2/3]

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

Definition at line 197 of file callablebondvolstructure.hpp.

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◆ smileSection() [1/2]

virtual ext::shared_ptr< SmileSection > smileSection	(	const Date &	optionDate,
		const Period &	bondTenor
	)		const

virtual

Definition at line 87 of file callablebondvolstructure.hpp.

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◆ volatility() [3/3]

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

Definition at line 208 of file callablebondvolstructure.hpp.

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◆ blackVariance() [3/3]

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

Definition at line 217 of file callablebondvolstructure.hpp.

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◆ smileSection() [2/2]

ext::shared_ptr< SmileSection > smileSection	(	const Period &	optionTenor,
		const Period &	bondTenor
	)		const

Definition at line 231 of file callablebondvolstructure.hpp.

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◆ maxBondTenor()

virtual const Period & maxBondTenor ( ) const

pure virtual

the largest length for which the term structure can return vols

Implemented in CallableBondConstantVolatility.

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◆ maxBondLength()

Time maxBondLength ( ) const

virtual

the largest bondLength for which the term structure can return vols

Reimplemented in CallableBondConstantVolatility.

Definition at line 44 of file callablebondvolstructure.cpp.

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◆ minStrike()

virtual Rate minStrike ( ) const

pure virtual

the minimum strike for which the term structure can return vols

Implemented in CallableBondConstantVolatility.

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◆ maxStrike()

virtual Rate maxStrike ( ) const

pure virtual

the maximum strike for which the term structure can return vols

Implemented in CallableBondConstantVolatility.

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◆ convertDates()

std::pair< Time, Time > convertDates	(	const Date &	optionDate,
		const Period &	bondTenor
	)		const

virtual

implements the conversion between dates and times

Definition at line 49 of file callablebondvolstructure.cpp.

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◆ businessDayConvention()

BusinessDayConvention businessDayConvention ( ) const

virtual

the business day convention used for option date calculation

Definition at line 156 of file callablebondvolstructure.hpp.

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◆ optionDateFromTenor()

Date optionDateFromTenor ( const Period & optionTenor ) const

implements the conversion between optionTenors and optionDates

Definition at line 160 of file callablebondvolstructure.hpp.

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◆ smileSectionImpl()

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

protectedpure virtual

return smile section

Implemented in CallableBondConstantVolatility.

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◆ volatilityImpl() [1/2]

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

protectedpure virtual

implements the actual volatility calculation in derived classes

Implemented in CallableBondConstantVolatility.

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◆ volatilityImpl() [2/2]

virtual Volatility volatilityImpl	(	const Date &	optionDate,
		const Period &	bondTenor,
		Rate	strike
	)		const

protectedvirtual

Reimplemented in CallableBondConstantVolatility.

Definition at line 138 of file callablebondvolstructure.hpp.

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◆ checkRange() [1/2]

void checkRange	(	Time	optionTime,
		Time	bondLength,
		Rate	strike,
		bool	extrapolate
	)		const

protected

Definition at line 239 of file callablebondvolstructure.hpp.

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◆ checkRange() [2/2]

void checkRange	(	const Date &	optionDate,
		const Period &	bondTenor,
		Rate	strike,
		bool	extrapolate
	)		const

protected

Definition at line 60 of file callablebondvolstructure.cpp.

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Member Data Documentation

◆ bdc_

BusinessDayConvention bdc_

private

Definition at line 149 of file callablebondvolstructure.hpp.

Public Member Functions

Limits

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ CallableBondVolatilityStructure() [1/3]

◆ CallableBondVolatilityStructure() [2/3]

◆ CallableBondVolatilityStructure() [3/3]

◆ ~CallableBondVolatilityStructure()

Member Function Documentation

◆ volatility() [1/3]

◆ blackVariance() [1/3]

◆ volatility() [2/3]

◆ blackVariance() [2/3]

◆ smileSection() [1/2]

◆ volatility() [3/3]

◆ blackVariance() [3/3]

◆ smileSection() [2/2]

◆ maxBondTenor()

◆ maxBondLength()

◆ minStrike()

◆ maxStrike()

◆ convertDates()

◆ businessDayConvention()

◆ optionDateFromTenor()

◆ smileSectionImpl()

◆ volatilityImpl() [1/2]

◆ volatilityImpl() [2/2]

◆ checkRange() [1/2]

◆ checkRange() [2/2]

Member Data Documentation

◆ bdc_