#include <tenoroptionletvts.hpp>

Inheritance diagram for TenorOptionletVTS:

Collaboration diagram for TenorOptionletVTS:

Classes
class	CorrelationStructure

class	TenorOptionletSmileSection

class	TwoParameterCorrelation

Public Member Functions
	TenorOptionletVTS (const Handle< OptionletVolatilityStructure > &baseVTS, ext::shared_ptr< IborIndex > baseIndex, ext::shared_ptr< IborIndex > targIndex, ext::shared_ptr< CorrelationStructure > correlation)

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

ext::shared_ptr< SmileSection >	smileSectionImpl (Time optionTime) const override
	implements the actual smile calculation in derived classes More...

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

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

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

VolatilityType	volatilityType () const override

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...

virtual Real	displacement () const

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 ()

	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...

Protected Attributes
Handle< OptionletVolatilityStructure >	baseVTS_

ext::shared_ptr< IborIndex >	baseIndex_

ext::shared_ptr< IborIndex >	targIndex_

ext::shared_ptr< CorrelationStructure >	correlation_

Protected Attributes inherited from TermStructure
bool	moving_ = false

bool	updated_ = true

Calendar	calendar_

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

Protected Member Functions inherited from OptionletVolatilityStructure
virtual ext::shared_ptr< SmileSection >	smileSectionImpl (const Date &optionDate) const

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...

Detailed Description

Definition at line 37 of file tenoroptionletvts.hpp.

Constructor & Destructor Documentation

◆ TenorOptionletVTS()

TenorOptionletVTS	(	const Handle< OptionletVolatilityStructure > &	baseVTS,
		ext::shared_ptr< IborIndex >	baseIndex,
		ext::shared_ptr< IborIndex >	targIndex,
		ext::shared_ptr< CorrelationStructure >	correlation
	)

Definition at line 36 of file tenoroptionletvts.cpp.

Member Function Documentation

◆ maxDate()

Date maxDate ( ) const

overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

Definition at line 110 of file tenoroptionletvts.hpp.

◆ smileSectionImpl()

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

overridevirtual

implements the actual smile calculation in derived classes

Implements OptionletVolatilityStructure.

Definition at line 115 of file tenoroptionletvts.hpp.

◆ volatilityImpl()

Volatility volatilityImpl	(	Time	optionTime,
		Rate	strike
	)		const

overridevirtual

implements the actual volatility calculation in derived classes

Implements OptionletVolatilityStructure.

Definition at line 119 of file tenoroptionletvts.hpp.

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◆ minStrike()

Rate minStrike ( ) const

overridevirtual

the minimum strike for which the term structure can return vols

Implements VolatilityTermStructure.

Definition at line 125 of file tenoroptionletvts.hpp.

◆ maxStrike()

Rate maxStrike ( ) const

overridevirtual

the maximum strike for which the term structure can return vols

Implements VolatilityTermStructure.

Definition at line 127 of file tenoroptionletvts.hpp.

◆ volatilityType()

VolatilityType volatilityType ( ) const

overridevirtual

Reimplemented from OptionletVolatilityStructure.

Definition at line 130 of file tenoroptionletvts.hpp.

Member Data Documentation

◆ baseVTS_

Handle<OptionletVolatilityStructure> baseVTS_

protected

Definition at line 68 of file tenoroptionletvts.hpp.

◆ baseIndex_

ext::shared_ptr<IborIndex> baseIndex_

protected

Definition at line 69 of file tenoroptionletvts.hpp.

◆ targIndex_

ext::shared_ptr<IborIndex> targIndex_

protected

Definition at line 70 of file tenoroptionletvts.hpp.

◆ correlation_

ext::shared_ptr<CorrelationStructure> correlation_

protected

Definition at line 71 of file tenoroptionletvts.hpp.

Classes

Public Member Functions

Protected Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ TenorOptionletVTS()

Member Function Documentation

◆ maxDate()

◆ smileSectionImpl()

◆ volatilityImpl()

◆ minStrike()

◆ maxStrike()

◆ volatilityType()

Member Data Documentation

◆ baseVTS_

◆ baseIndex_

◆ targIndex_

◆ correlation_