Constant caplet volatility, no time-strike dependence. More...
#include <constantoptionletvol.hpp>
Inheritance diagram for ConstantOptionletVolatility:
Collaboration diagram for ConstantOptionletVolatility:
Public Member Functions | |
| ConstantOptionletVolatility (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, Handle< Quote > volatility, const DayCounter &dc, VolatilityType type=ShiftedLognormal, Real displacement=0.0) | |
| floating reference date, floating market data More... | |
| ConstantOptionletVolatility (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, Handle< Quote > volatility, const DayCounter &dc, VolatilityType type=ShiftedLognormal, Real displacement=0.0) | |
| fixed reference date, floating market data More... | |
| ConstantOptionletVolatility (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, Volatility volatility, const DayCounter &dc, VolatilityType type=ShiftedLognormal, Real displacement=0.0) | |
| floating reference date, fixed market data More... | |
| ConstantOptionletVolatility (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, Volatility volatility, const DayCounter &dc, VolatilityType type=ShiftedLognormal, Real displacement=0.0) | |
| fixed reference date, fixed market data More... | |
TermStructure interface | |
| Date | maxDate () const override |
| the latest date for which the curve can return values More... | |
| Public Member Functions inherited from OptionletVolatilityStructure | |
| OptionletVolatilityStructure (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
| default constructor More... | |
| OptionletVolatilityStructure (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) | |
| initialize with a fixed reference date More... | |
| OptionletVolatilityStructure (Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) | |
| calculate the reference date based on the global evaluation date More... | |
| ~OptionletVolatilityStructure () override=default | |
| Volatility | volatility (const Period &optionTenor, Rate strike, bool extrapolate=false) const |
| returns the volatility for a given option tenor and strike rate More... | |
| Volatility | volatility (const Date &optionDate, Rate strike, bool extrapolate=false) const |
| returns the volatility for a given option date and strike rate More... | |
| Volatility | volatility (Time optionTime, Rate strike, bool extrapolate=false) const |
| returns the volatility for a given option time and strike rate More... | |
| Real | blackVariance (const Period &optionTenor, Rate strike, bool extrapolate=false) const |
| returns the Black variance for a given option tenor and strike rate More... | |
| Real | blackVariance (const Date &optionDate, Rate strike, bool extrapolate=false) const |
| returns the Black variance for a given option date and strike rate More... | |
| Real | blackVariance (Time optionTime, Rate strike, bool extrapolate=false) const |
| returns the Black variance for a given option time and strike rate More... | |
| ext::shared_ptr< SmileSection > | smileSection (const Period &optionTenor, bool extr=false) const |
| returns the smile for a given option tenor More... | |
| ext::shared_ptr< SmileSection > | smileSection (const Date &optionDate, bool extr=false) const |
| returns the smile for a given option date More... | |
| ext::shared_ptr< SmileSection > | smileSection (Time optionTime, bool extr=false) const |
| returns the smile for a given option time More... | |
| Public Member Functions inherited from VolatilityTermStructure | |
| 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 More... | |
| VolatilityTermStructure (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) | |
| calculate the reference date based on the global evaluation date More... | |
| virtual BusinessDayConvention | businessDayConvention () const |
| the business day convention used in tenor to date conversion More... | |
| Date | optionDateFromTenor (const Period &) const |
| period/date conversion More... | |
| 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 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... | |
VolatilityTermStructure interface | |
| Handle< Quote > | volatility_ |
| VolatilityType | type_ |
| Real | displacement_ |
| Real | minStrike () const override |
| the minimum strike for which the term structure can return vols More... | |
| Real | maxStrike () const override |
| the maximum strike for which the term structure can return vols More... | |
| VolatilityType | volatilityType () const override |
| Real | displacement () const override |
| ext::shared_ptr< SmileSection > | smileSectionImpl (const Date &d) const override |
| ext::shared_ptr< SmileSection > | smileSectionImpl (Time) const override |
| implements the actual smile calculation in derived classes More... | |
| Volatility | volatilityImpl (Time, Rate) const override |
| implements the actual volatility calculation in derived classes More... | |
Additional Inherited Members | |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
| Protected Member Functions inherited from OptionletVolatilityStructure | |
| virtual Volatility | volatilityImpl (const Date &optionDate, Rate strike) const |
| Protected Member Functions inherited from VolatilityTermStructure | |
| void | checkStrike (Rate strike, bool extrapolate) const |
| strike-range check More... | |
| 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
Constant caplet volatility, no time-strike dependence.
Definition at line 36 of file constantoptionletvol.hpp.
Constructor & Destructor Documentation
◆ ConstantOptionletVolatility() [1/4]
| ConstantOptionletVolatility | ( | Natural | settlementDays, |
| const Calendar & | cal, | ||
| BusinessDayConvention | bdc, | ||
| Handle< Quote > | volatility, | ||
| const DayCounter & | dc, | ||
| VolatilityType | type = ShiftedLognormal, |
||
| Real | displacement = 0.0 |
||
| ) |
floating reference date, floating market data
Definition at line 30 of file constantoptionletvol.cpp.
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◆ ConstantOptionletVolatility() [2/4]
| ConstantOptionletVolatility | ( | const Date & | referenceDate, |
| const Calendar & | cal, | ||
| BusinessDayConvention | bdc, | ||
| Handle< Quote > | volatility, | ||
| const DayCounter & | dc, | ||
| VolatilityType | type = ShiftedLognormal, |
||
| Real | displacement = 0.0 |
||
| ) |
fixed reference date, floating market data
Definition at line 43 of file constantoptionletvol.cpp.
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◆ ConstantOptionletVolatility() [3/4]
| ConstantOptionletVolatility | ( | Natural | settlementDays, |
| const Calendar & | cal, | ||
| BusinessDayConvention | bdc, | ||
| Volatility | volatility, | ||
| const DayCounter & | dc, | ||
| VolatilityType | type = ShiftedLognormal, |
||
| Real | displacement = 0.0 |
||
| ) |
floating reference date, fixed market data
Definition at line 56 of file constantoptionletvol.cpp.
◆ ConstantOptionletVolatility() [4/4]
| ConstantOptionletVolatility | ( | const Date & | referenceDate, |
| const Calendar & | cal, | ||
| BusinessDayConvention | bdc, | ||
| Volatility | volatility, | ||
| const DayCounter & | dc, | ||
| VolatilityType | type = ShiftedLognormal, |
||
| Real | displacement = 0.0 |
||
| ) |
fixed reference date, fixed market data
Definition at line 65 of file constantoptionletvol.cpp.
Member Function Documentation
◆ maxDate()
|
overridevirtual |
the latest date for which the curve can return values
Implements TermStructure.
Definition at line 93 of file constantoptionletvol.hpp.
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◆ minStrike()
|
overridevirtual |
the minimum strike for which the term structure can return vols
Implements VolatilityTermStructure.
Definition at line 97 of file constantoptionletvol.hpp.
◆ maxStrike()
|
overridevirtual |
the maximum strike for which the term structure can return vols
Implements VolatilityTermStructure.
Definition at line 101 of file constantoptionletvol.hpp.
◆ volatilityType()
|
overridevirtual |
Reimplemented from OptionletVolatilityStructure.
Definition at line 106 of file constantoptionletvol.hpp.
◆ displacement()
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overridevirtual |
Reimplemented from OptionletVolatilityStructure.
Definition at line 110 of file constantoptionletvol.hpp.
◆ smileSectionImpl() [1/2]
|
overrideprotectedvirtual |
Reimplemented from OptionletVolatilityStructure.
Definition at line 74 of file constantoptionletvol.cpp.
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◆ smileSectionImpl() [2/2]
|
overrideprotectedvirtual |
implements the actual smile calculation in derived classes
Implements OptionletVolatilityStructure.
Definition at line 81 of file constantoptionletvol.cpp.
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◆ volatilityImpl()
|
overrideprotectedvirtual |
implements the actual volatility calculation in derived classes
Implements OptionletVolatilityStructure.
Definition at line 87 of file constantoptionletvol.cpp.
Member Data Documentation
◆ volatility_
Definition at line 85 of file constantoptionletvol.hpp.
◆ type_
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private |
Definition at line 86 of file constantoptionletvol.hpp.
◆ displacement_
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private |
Definition at line 87 of file constantoptionletvol.hpp.