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Public Member Functions | List of all members
CallableBondConstantVolatility Class Reference

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

#include <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< SmileSectionsmileSection (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< SmileSectionsmileSection (const Period &optionTenor, const Period &bondTenor) const
 
virtual std::pair< Time, TimeconvertDates (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 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...
 

CallableBondConstantVolatility interface

Handle< Quotevolatility_
 
DayCounter dayCounter_
 
Period maxBondTenor_
 
const PeriodmaxBondTenor () 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< SmileSectionsmileSectionImpl (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_
 

Detailed Description

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

Definition at line 35 of file callablebondconstantvol.hpp.

Constructor & Destructor Documentation

◆ CallableBondConstantVolatility() [1/4]

CallableBondConstantVolatility ( const Date referenceDate,
Volatility  volatility,
DayCounter  dayCounter 
)

Definition at line 27 of file callablebondconstantvol.cpp.

◆ CallableBondConstantVolatility() [2/4]

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

Definition at line 34 of file callablebondconstantvol.cpp.

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◆ CallableBondConstantVolatility() [3/4]

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

Definition at line 42 of file callablebondconstantvol.cpp.

◆ CallableBondConstantVolatility() [4/4]

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

Definition at line 50 of file callablebondconstantvol.cpp.

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Member Function Documentation

◆ dayCounter()

DayCounter dayCounter ( ) const
overridevirtual

the day counter used for date/time conversion

Reimplemented from TermStructure.

Definition at line 54 of file callablebondconstantvol.hpp.

◆ maxDate()

Date maxDate ( ) const
overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

Definition at line 55 of file callablebondconstantvol.hpp.

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◆ maxBondTenor()

const Period & maxBondTenor ( ) const
overridevirtual

the largest length for which the term structure can return vols

Implements CallableBondVolatilityStructure.

Definition at line 79 of file callablebondconstantvol.hpp.

◆ maxBondLength()

Time maxBondLength ( ) const
overridevirtual

the largest bondLength for which the term structure can return vols

Reimplemented from CallableBondVolatilityStructure.

Definition at line 83 of file callablebondconstantvol.hpp.

◆ minStrike()

Real minStrike ( ) const
overridevirtual

the minimum strike for which the term structure can return vols

Implements CallableBondVolatilityStructure.

Definition at line 87 of file callablebondconstantvol.hpp.

◆ maxStrike()

Real maxStrike ( ) const
overridevirtual

the maximum strike for which the term structure can return vols

Implements CallableBondVolatilityStructure.

Definition at line 91 of file callablebondconstantvol.hpp.

◆ volatilityImpl() [1/2]

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

implements the actual volatility calculation in derived classes

Implements CallableBondVolatilityStructure.

Definition at line 65 of file callablebondconstantvol.cpp.

◆ smileSectionImpl()

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

return smile section

Implements CallableBondVolatilityStructure.

Definition at line 72 of file callablebondconstantvol.cpp.

◆ volatilityImpl() [2/2]

Volatility volatilityImpl ( const Date ,
const Period ,
Rate   
) const
overrideprotectedvirtual

Reimplemented from CallableBondVolatilityStructure.

Definition at line 59 of file callablebondconstantvol.cpp.

Member Data Documentation

◆ volatility_

Handle<Quote> volatility_
private

Definition at line 71 of file callablebondconstantvol.hpp.

◆ dayCounter_

DayCounter dayCounter_
private

Definition at line 72 of file callablebondconstantvol.hpp.

◆ maxBondTenor_

Period maxBondTenor_
private

Definition at line 73 of file callablebondconstantvol.hpp.