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SwaptionVolatilityStructure Class Referenceabstract

Swaption-volatility structure More...

#include <ql/termstructures/volatility/swaption/swaptionvolstructure.hpp>

+ Inheritance diagram for SwaptionVolatilityStructure:
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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< SmileSectionsmileSection (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< SmileSectionsmileSection (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< SmileSectionsmileSection (Time optionTime, const Period &swapTenor, bool extr=false) const
 returns the smile for a given option time and swap tenor More...
 
ext::shared_ptr< SmileSectionsmileSection (const Period &optionTenor, Time swapLength, bool extr=false) const
 returns the smile for a given option tenor and swap length More...
 
ext::shared_ptr< SmileSectionsmileSection (const Date &optionDate, Time swapLength, bool extr=false) const
 returns the smile for a given option date and swap length More...
 
ext::shared_ptr< SmileSectionsmileSection (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 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 deepUpdate ()
 
- Public Member Functions inherited from Observable
 Observable ()
 
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
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 PeriodmaxSwapTenor () 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< SmileSectionsmileSectionImpl (const Date &optionDate, const Period &swapTenor) const
 
virtual ext::shared_ptr< SmileSectionsmileSectionImpl (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 boost::unordered_set< ext::shared_ptr< Observable > > set_type
 
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]

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

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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 SwaptionVolatilityMatrix, SwaptionVolatilityCube, ConstantSwaptionVolatility, SpreadedSwaptionVolatility, and TenorSwaptionVTS.

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 SwaptionVolCube2, SpreadedSwaptionVolatility, ConstantSwaptionVolatility, and Gaussian1dSwaptionVolatility.

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

◆ volatilityImpl() [1/2]

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

Reimplemented in SwaptionVolatilityCube, SpreadedSwaptionVolatility, ConstantSwaptionVolatility, and Gaussian1dSwaptionVolatility.

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

◆ 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 SwaptionVolatilityMatrix, SwaptionVolatilityCube, ConstantSwaptionVolatility, and SpreadedSwaptionVolatility.

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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