Constant callable-bond volatility, no time-strike dependence. More...

#include <ql/experimental/callablebonds/callablebondconstantvol.hpp>

Inheritance diagram for CallableBondConstantVolatility:

Collaboration diagram for CallableBondConstantVolatility:

Public Member Functions
	CallableBondConstantVolatility (const Date &referenceDate, Volatility volatility, DayCounter dayCounter)

	CallableBondConstantVolatility (const Date &referenceDate, Handle< Quote > volatility, DayCounter dayCounter)

	CallableBondConstantVolatility (Natural settlementDays, const Calendar &, Volatility volatility, DayCounter dayCounter)

	CallableBondConstantVolatility (Natural settlementDays, const Calendar &, Handle< Quote > volatility, DayCounter dayCounter)

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

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

Public Member Functions inherited from CallableBondVolatilityStructure
	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	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

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...

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

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...

CallableBondConstantVolatility interface
Handle< Quote >	volatility_

DayCounter	dayCounter_

Period	maxBondTenor_

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

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

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...

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

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

Volatility	volatilityImpl (const Date &, const Period &, Rate) const override

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

Protected Member Functions inherited from CallableBondVolatilityStructure
void	checkRange (Time, Time, Rate strike, bool extrapolate) const

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

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_