Black-volatility term structure. More...
#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
Inheritance diagram for BlackVolatilityTermStructure:
Collaboration diagram for BlackVolatilityTermStructure:
Public Member Functions | |
Constructors | |
See the TermStructure documentation for issues regarding constructors. | |
| BlackVolatilityTermStructure (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
| default constructor More... | |
| BlackVolatilityTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
| initialize with a fixed reference date More... | |
| BlackVolatilityTermStructure (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
| calculate the reference date based on the global evaluation date More... | |
| Public Member Functions inherited from BlackVolTermStructure | |
| BlackVolTermStructure (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
| default constructor More... | |
| BlackVolTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
| initialize with a fixed reference date More... | |
| BlackVolTermStructure (Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
| calculate the reference date based on the global evaluation date More... | |
| ~BlackVolTermStructure () override=default | |
| Volatility | blackVol (const Date &maturity, Real strike, bool extrapolate=false) const |
| spot volatility More... | |
| Volatility | blackVol (Time maturity, Real strike, bool extrapolate=false) const |
| spot volatility More... | |
| Real | blackVariance (const Date &maturity, Real strike, bool extrapolate=false) const |
| spot variance More... | |
| Real | blackVariance (Time maturity, Real strike, bool extrapolate=false) const |
| spot variance More... | |
| Volatility | blackForwardVol (const Date &date1, const Date &date2, Real strike, bool extrapolate=false) const |
| forward (at-the-money) volatility More... | |
| Volatility | blackForwardVol (Time time1, Time time2, Real strike, bool extrapolate=false) const |
| forward (at-the-money) volatility More... | |
| Real | blackForwardVariance (const Date &date1, const Date &date2, Real strike, bool extrapolate=false) const |
| forward (at-the-money) variance More... | |
| Real | blackForwardVariance (Time time1, Time time2, Real strike, bool extrapolate=false) const |
| forward (at-the-money) variance 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... | |
Visitability | |
| void | accept (AcyclicVisitor &) override |
| Real | blackVarianceImpl (Time maturity, Real strike) const override |
Additional Inherited Members | |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
| Protected Member Functions inherited from BlackVolTermStructure | |
| virtual Volatility | blackVolImpl (Time t, Real strike) const =0 |
| Black volatility calculation. More... | |
| 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
Black-volatility term structure.
This abstract class acts as an adapter to BlackVolTermStructure allowing the programmer to implement only the blackVolImpl(Time, Real, bool) method in derived classes.
Volatility are assumed to be expressed on an annual basis.
Definition at line 132 of file blackvoltermstructure.hpp.
Constructor & Destructor Documentation
◆ BlackVolatilityTermStructure() [1/3]
| BlackVolatilityTermStructure | ( | BusinessDayConvention | bdc = Following, |
| const DayCounter & | dc = DayCounter() |
||
| ) |
default constructor
- Warning:
- term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
Definition at line 116 of file blackvoltermstructure.cpp.
◆ BlackVolatilityTermStructure() [2/3]
| BlackVolatilityTermStructure | ( | const Date & | referenceDate, |
| const Calendar & | cal = Calendar(), |
||
| BusinessDayConvention | bdc = Following, |
||
| const DayCounter & | dc = DayCounter() |
||
| ) |
initialize with a fixed reference date
Definition at line 121 of file blackvoltermstructure.cpp.
◆ BlackVolatilityTermStructure() [3/3]
| BlackVolatilityTermStructure | ( | Natural | settlementDays, |
| const Calendar & | cal, | ||
| BusinessDayConvention | bdc = Following, |
||
| const DayCounter & | dc = DayCounter() |
||
| ) |
calculate the reference date based on the global evaluation date
Definition at line 128 of file blackvoltermstructure.cpp.
Member Function Documentation
◆ accept()
|
overridevirtual |
Reimplemented from BlackVolTermStructure.
Definition at line 266 of file blackvoltermstructure.hpp.
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◆ blackVarianceImpl()
Returns the variance for the given strike and date calculating it from the volatility.
Implements BlackVolTermStructure.
Definition at line 260 of file blackvoltermstructure.hpp.
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