Swaption-volatility structure More...

#include <swaptionvolstructure.hpp>

Inheritance diagram for SwaptionVolatilityStructure:

Collaboration diagram for SwaptionVolatilityStructure:

Public Member Functions
Constructors
See the TermStructure documentation for issues regarding constructors.
	SwaptionVolatilityStructure (BusinessDayConvention bdc, const DayCounter &dc=DayCounter())

	SwaptionVolatilityStructure (const Date &referenceDate, const Calendar &calendar, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
	initialize with a fixed reference date More...

	SwaptionVolatilityStructure (Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
	calculate the reference date based on the global evaluation date More...

	~SwaptionVolatilityStructure () override=default

Volatility, variance and smile
Volatility	volatility (const Period &optionTenor, const Period &swapTenor, Rate strike, bool extrapolate=false) const
	returns the volatility for a given option tenor and swap tenor More...

Volatility	volatility (const Date &optionDate, const Period &swapTenor, Rate strike, bool extrapolate=false) const
	returns the volatility for a given option date and swap tenor More...

Volatility	volatility (Time optionTime, const Period &swapTenor, Rate strike, bool extrapolate=false) const
	returns the volatility for a given option time and swap tenor More...

Volatility	volatility (const Period &optionTenor, Time swapLength, Rate strike, bool extrapolate=false) const
	returns the volatility for a given option tenor and swap length More...

Volatility	volatility (const Date &optionDate, Time swapLength, Rate strike, bool extrapolate=false) const
	returns the volatility for a given option date and swap length More...

Volatility	volatility (Time optionTime, Time swapLength, Rate strike, bool extrapolate=false) const
	returns the volatility for a given option time and swap length More...

Real	blackVariance (const Period &optionTenor, const Period &swapTenor, Rate strike, bool extrapolate=false) const
	returns the Black variance for a given option tenor and swap tenor More...

Real	blackVariance (const Date &optionDate, const Period &swapTenor, Rate strike, bool extrapolate=false) const
	returns the Black variance for a given option date and swap tenor More...

Real	blackVariance (Time optionTime, const Period &swapTenor, Rate strike, bool extrapolate=false) const
	returns the Black variance for a given option time and swap tenor More...

Real	blackVariance (const Period &optionTenor, Time swapLength, Rate strike, bool extrapolate=false) const
	returns the Black variance for a given option tenor and swap length More...

Real	blackVariance (const Date &optionDate, Time swapLength, Rate strike, bool extrapolate=false) const
	returns the Black variance for a given option date and swap length More...

Real	blackVariance (Time optionTime, Time swapLength, Rate strike, bool extrapolate=false) const
	returns the Black variance for a given option time and swap length More...

Real	shift (const Period &optionTenor, const Period &swapTenor, bool extrapolate=false) const
	returns the shift for a given option tenor and swap tenor More...

Real	shift (const Date &optionDate, const Period &swapTenor, bool extrapolate=false) const
	returns the shift for a given option date and swap tenor More...

Real	shift (Time optionTime, const Period &swapTenor, bool extrapolate=false) const
	returns the shift for a given option time and swap tenor More...

Real	shift (const Period &optionTenor, Time swapLength, bool extrapolate=false) const
	returns the shift for a given option tenor and swap length More...

Real	shift (const Date &optionDate, Time swapLength, bool extrapolate=false) const
	returns the shift for a given option date and swap length More...

Real	shift (Time optionTime, Time swapLength, bool extrapolate=false) const
	returns the shift for a given option time and swap length More...

ext::shared_ptr< SmileSection >	smileSection (const Period &optionTenor, const Period &swapTenor, bool extr=false) const
	returns the smile for a given option tenor and swap tenor More...

ext::shared_ptr< SmileSection >	smileSection (const Date &optionDate, const Period &swapTenor, bool extr=false) const
	returns the smile for a given option date and swap tenor More...

ext::shared_ptr< SmileSection >	smileSection (Time optionTime, const Period &swapTenor, bool extr=false) const
	returns the smile for a given option time and swap tenor More...

ext::shared_ptr< SmileSection >	smileSection (const Period &optionTenor, Time swapLength, bool extr=false) const
	returns the smile for a given option tenor and swap length More...

ext::shared_ptr< SmileSection >	smileSection (const Date &optionDate, Time swapLength, bool extr=false) const
	returns the smile for a given option date and swap length More...

ext::shared_ptr< SmileSection >	smileSection (Time optionTime, Time swapLength, bool extr=false) const
	returns the smile for a given option time and swap length 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...

virtual Rate	minStrike () const =0
	the minimum strike for which the term structure can return vols More...

virtual Rate	maxStrike () const =0
	the maximum strike for which the term structure can return vols 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 Date	maxDate () const =0
	the latest date for which the curve can return values 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...

Limits
virtual const Period &	maxSwapTenor () const =0
	the largest length for which the term structure can return vols More...

Time	maxSwapLength () const
	the largest swapLength for which the term structure can return vols More...

virtual VolatilityType	volatilityType () const
	volatility type More...

Time	swapLength (const Period &swapTenor) const
	implements the conversion between swap tenor and swap (time) length More...

Time	swapLength (const Date &start, const Date &end) const
	implements the conversion between swap dates and swap (time) length More...

virtual ext::shared_ptr< SmileSection >	smileSectionImpl (const Date &optionDate, const Period &swapTenor) const

virtual ext::shared_ptr< SmileSection >	smileSectionImpl (Time optionTime, Time swapLength) const =0

virtual Volatility	volatilityImpl (const Date &optionDate, const Period &swapTenor, Rate strike) const

virtual Volatility	volatilityImpl (Time optionTime, Time swapLength, Rate strike) const =0

virtual Real	shiftImpl (const Date &optionDate, const Period &swapTenor) const

virtual Real	shiftImpl (Time optionTime, Time swapLength) const

void	checkSwapTenor (const Period &swapTenor, bool extrapolate) const

void	checkSwapTenor (Time swapLength, bool extrapolate) const

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

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

Swaption-volatility structure

This abstract class defines the interface of concrete swaption volatility structures which will be derived from this one.

Definition at line 41 of file swaptionvolstructure.hpp.

Constructor & Destructor Documentation

◆ SwaptionVolatilityStructure() [1/3]

SwaptionVolatilityStructure	(	BusinessDayConvention	bdc,
		const DayCounter &	dc = `DayCounter()`
	)

Warning:: term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.

Definition at line 27 of file swaptionvolstructure.cpp.

◆ SwaptionVolatilityStructure() [2/3]

SwaptionVolatilityStructure	(	const Date &	referenceDate,
		const Calendar &	calendar,
		BusinessDayConvention	bdc,
		const DayCounter &	dc = `DayCounter()`
	)

initialize with a fixed reference date

Definition at line 32 of file swaptionvolstructure.cpp.

◆ SwaptionVolatilityStructure() [3/3]

SwaptionVolatilityStructure	(	Natural	settlementDays,
		const Calendar &	calendar,
		BusinessDayConvention	bdc,
		const DayCounter &	dc = `DayCounter()`
	)

calculate the reference date based on the global evaluation date

Definition at line 39 of file swaptionvolstructure.cpp.

◆ ~SwaptionVolatilityStructure()

~SwaptionVolatilityStructure ( )

overridedefault

Member Function Documentation

◆ volatility() [1/6]

Volatility volatility	(	const Period &	optionTenor,
		const Period &	swapTenor,
		Rate	strike,
		bool	extrapolate = `false`
	)		const

returns the volatility for a given option tenor and swap tenor

Definition at line 225 of file swaptionvolstructure.hpp.

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◆ volatility() [2/6]

Volatility volatility	(	const Date &	optionDate,
		const Period &	swapTenor,
		Rate	strike,
		bool	extrapolate = `false`
	)		const

returns the volatility for a given option date and swap tenor

Definition at line 325 of file swaptionvolstructure.hpp.

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◆ volatility() [3/6]

Volatility volatility	(	Time	optionTime,
		const Period &	swapTenor,
		Rate	strike,
		bool	extrapolate = `false`
	)		const

returns the volatility for a given option time and swap tenor

Definition at line 348 of file swaptionvolstructure.hpp.

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◆ volatility() [4/6]

Volatility volatility	(	const Period &	optionTenor,
		Time	swapLength,
		Rate	strike,
		bool	extrapolate = `false`
	)		const

returns the volatility for a given option tenor and swap length

Definition at line 234 of file swaptionvolstructure.hpp.

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◆ volatility() [5/6]

Volatility volatility	(	const Date &	optionDate,
		Time	swapLength,
		Rate	strike,
		bool	extrapolate = `false`
	)		const

returns the volatility for a given option date and swap length

Definition at line 336 of file swaptionvolstructure.hpp.

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◆ volatility() [6/6]

Volatility volatility	(	Time	optionTime,
		Time	swapLength,
		Rate	strike,
		bool	extrapolate = `false`
	)		const

returns the volatility for a given option time and swap length

Definition at line 360 of file swaptionvolstructure.hpp.

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◆ blackVariance() [1/6]

Real blackVariance	(	const Period &	optionTenor,
		const Period &	swapTenor,
		Rate	strike,
		bool	extrapolate = `false`
	)		const

returns the Black variance for a given option tenor and swap tenor

Definition at line 243 of file swaptionvolstructure.hpp.

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◆ blackVariance() [2/6]

Real blackVariance	(	const Date &	optionDate,
		const Period &	swapTenor,
		Rate	strike,
		bool	extrapolate = `false`
	)		const

returns the Black variance for a given option date and swap tenor

Definition at line 286 of file swaptionvolstructure.hpp.

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◆ blackVariance() [3/6]

Real blackVariance	(	Time	optionTime,
		const Period &	swapTenor,
		Rate	strike,
		bool	extrapolate = `false`
	)		const

returns the Black variance for a given option time and swap tenor

Definition at line 296 of file swaptionvolstructure.hpp.

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◆ blackVariance() [4/6]

Real blackVariance	(	const Period &	optionTenor,
		Time	swapLength,
		Rate	strike,
		bool	extrapolate = `false`
	)		const

returns the Black variance for a given option tenor and swap length

Definition at line 252 of file swaptionvolstructure.hpp.

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◆ blackVariance() [5/6]

Real blackVariance	(	const Date &	optionDate,
		Time	swapLength,
		Rate	strike,
		bool	extrapolate = `false`
	)		const

returns the Black variance for a given option date and swap length

Definition at line 305 of file swaptionvolstructure.hpp.

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◆ blackVariance() [6/6]

Real blackVariance	(	Time	optionTime,
		Time	swapLength,
		Rate	strike,
		bool	extrapolate = `false`
	)		const

returns the Black variance for a given option time and swap length

Definition at line 315 of file swaptionvolstructure.hpp.

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◆ shift() [1/6]

Real shift	(	const Period &	optionTenor,
		const Period &	swapTenor,
		bool	extrapolate = `false`
	)		const

returns the shift for a given option tenor and swap tenor

Definition at line 261 of file swaptionvolstructure.hpp.

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◆ shift() [2/6]

Real shift	(	const Date &	optionDate,
		const Period &	swapTenor,
		bool	extrapolate = `false`
	)		const

returns the shift for a given option date and swap tenor

Definition at line 371 of file swaptionvolstructure.hpp.

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◆ shift() [3/6]

Real shift	(	Time	optionTime,
		const Period &	swapTenor,
		bool	extrapolate = `false`
	)		const

returns the shift for a given option time and swap tenor

Definition at line 390 of file swaptionvolstructure.hpp.

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◆ shift() [4/6]

Real shift	(	const Period &	optionTenor,
		Time	swapLength,
		bool	extrapolate = `false`
	)		const

returns the shift for a given option tenor and swap length

Definition at line 269 of file swaptionvolstructure.hpp.

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◆ shift() [5/6]

Real shift	(	const Date &	optionDate,
		Time	swapLength,
		bool	extrapolate = `false`
	)		const

returns the shift for a given option date and swap length

Definition at line 380 of file swaptionvolstructure.hpp.

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◆ shift() [6/6]

Real shift	(	Time	optionTime,
		Time	swapLength,
		bool	extrapolate = `false`
	)		const

returns the shift for a given option time and swap length

Definition at line 400 of file swaptionvolstructure.hpp.

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◆ smileSection() [1/6]

ext::shared_ptr< SmileSection > smileSection	(	const Period &	optionTenor,
		const Period &	swapTenor,
		bool	extr = `false`
	)		const

returns the smile for a given option tenor and swap tenor

Definition at line 277 of file swaptionvolstructure.hpp.

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◆ smileSection() [2/6]

ext::shared_ptr< SmileSection > smileSection	(	const Date &	optionDate,
		const Period &	swapTenor,
		bool	extr = `false`
	)		const

returns the smile for a given option date and swap tenor

Definition at line 409 of file swaptionvolstructure.hpp.

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◆ smileSection() [3/6]

ext::shared_ptr< SmileSection > smileSection	(	Time	optionTime,
		const Period &	swapTenor,
		bool	extr = `false`
	)		const

returns the smile for a given option time and swap tenor

Definition at line 418 of file swaptionvolstructure.hpp.

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◆ smileSection() [4/6]

ext::shared_ptr< SmileSection > smileSection	(	const Period &	optionTenor,
		Time	swapLength,
		bool	extr = `false`
	)		const

returns the smile for a given option tenor and swap length

Definition at line 427 of file swaptionvolstructure.hpp.

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◆ smileSection() [5/6]

ext::shared_ptr< SmileSection > smileSection	(	const Date &	optionDate,
		Time	swapLength,
		bool	extr = `false`
	)		const

returns the smile for a given option date and swap length

Definition at line 437 of file swaptionvolstructure.hpp.

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◆ smileSection() [6/6]

ext::shared_ptr< SmileSection > smileSection	(	Time	optionTime,
		Time	swapLength,
		bool	extr = `false`
	)		const

returns the smile for a given option time and swap length

Definition at line 446 of file swaptionvolstructure.hpp.

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◆ maxSwapTenor()

virtual const Period & maxSwapTenor ( ) const

pure virtual

the largest length for which the term structure can return vols

Implemented in TenorSwaptionVTS, Gaussian1dSwaptionVolatility, SpreadedSwaptionVolatility, ConstantSwaptionVolatility, SwaptionVolatilityCube, and SwaptionVolatilityMatrix.

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◆ maxSwapLength()

Time maxSwapLength ( ) const

the largest swapLength for which the term structure can return vols

Definition at line 485 of file swaptionvolstructure.hpp.

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◆ volatilityType()

virtual VolatilityType volatilityType ( ) const

virtual

volatility type

Reimplemented in TenorSwaptionVTS, SpreadedSwaptionVolatility, ConstantSwaptionVolatility, SwaptionVolatilityCube, and SwaptionVolatilityMatrix.

Definition at line 189 of file swaptionvolstructure.hpp.

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◆ swapLength() [1/2]

Time swapLength ( const Period & swapTenor ) const

implements the conversion between swap tenor and swap (time) length

Definition at line 47 of file swaptionvolstructure.cpp.

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◆ swapLength() [2/2]

Time swapLength	(	const Date &	start,
		const Date &	end
	)		const

implements the conversion between swap dates and swap (time) length

Definition at line 60 of file swaptionvolstructure.cpp.

◆ smileSectionImpl() [1/2]

ext::shared_ptr< SmileSection > smileSectionImpl	(	const Date &	optionDate,
		const Period &	swapTenor
	)		const

protectedvirtual

Reimplemented in Gaussian1dSwaptionVolatility, ConstantSwaptionVolatility, InterpolatedSwaptionVolatilityCube, and SpreadedSwaptionVolatility.

Definition at line 457 of file swaptionvolstructure.hpp.

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◆ smileSectionImpl() [2/2]

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

protectedpure virtual

Implemented in TenorSwaptionVTS, InterpolatedSwaptionVolatilityCube, XabrSwaptionVolatilityCube< Model >, SpreadedSwaptionVolatility, Gaussian1dSwaptionVolatility, ConstantSwaptionVolatility, and SwaptionVolatilityMatrix.

◆ volatilityImpl() [1/2]

Volatility volatilityImpl	(	const Date &	optionDate,
		const Period &	swapTenor,
		Rate	strike
	)		const

protectedvirtual

Reimplemented in Gaussian1dSwaptionVolatility, ConstantSwaptionVolatility, SpreadedSwaptionVolatility, and SwaptionVolatilityCube.

Definition at line 464 of file swaptionvolstructure.hpp.

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◆ volatilityImpl() [2/2]

virtual Volatility volatilityImpl	(	Time	optionTime,
		Time	swapLength,
		Rate	strike
	)		const

protectedpure virtual

Implemented in TenorSwaptionVTS, SpreadedSwaptionVolatility, SwaptionVolatilityCube, SwaptionVolatilityMatrix, Gaussian1dSwaptionVolatility, and ConstantSwaptionVolatility.

◆ shiftImpl() [1/2]

Real shiftImpl	(	const Date &	optionDate,
		const Period &	swapTenor
	)		const

protectedvirtual

Definition at line 473 of file swaptionvolstructure.hpp.

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◆ shiftImpl() [2/2]

Real shiftImpl	(	Time	optionTime,
		Time	swapLength
	)		const

protectedvirtual

Reimplemented in SpreadedSwaptionVolatility, ConstantSwaptionVolatility, SwaptionVolatilityCube, and SwaptionVolatilityMatrix.

Definition at line 478 of file swaptionvolstructure.hpp.

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◆ checkSwapTenor() [1/2]

void checkSwapTenor	(	const Period &	swapTenor,
		bool	extrapolate
	)		const

protected

Definition at line 70 of file swaptionvolstructure.cpp.

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◆ checkSwapTenor() [2/2]

void checkSwapTenor	(	Time	swapLength,
		bool	extrapolate
	)		const

protected

Definition at line 80 of file swaptionvolstructure.cpp.

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Public Member Functions

Limits

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ SwaptionVolatilityStructure() [1/3]

◆ SwaptionVolatilityStructure() [2/3]

◆ SwaptionVolatilityStructure() [3/3]

◆ ~SwaptionVolatilityStructure()

Member Function Documentation

◆ volatility() [1/6]

◆ volatility() [2/6]

◆ volatility() [3/6]

◆ volatility() [4/6]

◆ volatility() [5/6]

◆ volatility() [6/6]

◆ blackVariance() [1/6]

◆ blackVariance() [2/6]

◆ blackVariance() [3/6]

◆ blackVariance() [4/6]

◆ blackVariance() [5/6]

◆ blackVariance() [6/6]

◆ shift() [1/6]

◆ shift() [2/6]

◆ shift() [3/6]

◆ shift() [4/6]

◆ shift() [5/6]

◆ shift() [6/6]

◆ smileSection() [1/6]

◆ smileSection() [2/6]

◆ smileSection() [3/6]

◆ smileSection() [4/6]

◆ smileSection() [5/6]

◆ smileSection() [6/6]

◆ maxSwapTenor()

◆ maxSwapLength()

◆ volatilityType()

◆ swapLength() [1/2]

◆ swapLength() [2/2]

◆ smileSectionImpl() [1/2]

◆ smileSectionImpl() [2/2]

◆ volatilityImpl() [1/2]

◆ volatilityImpl() [2/2]

◆ shiftImpl() [1/2]

◆ shiftImpl() [2/2]

◆ checkSwapTenor() [1/2]

◆ checkSwapTenor() [2/2]