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Classes | Public Member Functions | Protected Attributes | List of all members
TenorOptionletVTS Class Reference

#include <ql/experimental/basismodels/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< SmileSectionsmileSectionImpl (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< SmileSectionsmileSection (const Period &optionTenor, bool extr=false) const
 returns the smile for a given option tenor More...
 
ext::shared_ptr< SmileSectionsmileSection (const Date &optionDate, bool extr=false) const
 returns the smile for a given option date More...
 
ext::shared_ptr< SmileSectionsmileSection (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 DatereferenceDate () 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 &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (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 &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (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< OptionletVolatilityStructurebaseVTS_
 
ext::shared_ptr< IborIndexbaseIndex_
 
ext::shared_ptr< IborIndextargIndex_
 
ext::shared_ptr< CorrelationStructurecorrelation_
 
- 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< SmileSectionsmileSectionImpl (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.

+ Here is the call graph for this function:

◆ 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.