CapFloorTermVolCurve Class Reference

Cap/floor at-the-money term-volatility vector. More...

#include <ql/termstructures/volatility/capfloor/capfloortermvolcurve.hpp>

Inheritance diagram for CapFloorTermVolCurve:

Collaboration diagram for CapFloorTermVolCurve:

Public Member Functions
	CapFloorTermVolCurve (Natural settlementDays, const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Handle< Quote > > &vols, const DayCounter &dc=Actual365Fixed())
	floating reference date, floating market data More...
	CapFloorTermVolCurve (const Date &settlementDate, const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Handle< Quote > > &vols, const DayCounter &dc=Actual365Fixed())
	fixed reference date, floating market data More...
	CapFloorTermVolCurve (const Date &settlementDate, const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Volatility > &vols, const DayCounter &dc=Actual365Fixed())
	fixed reference date, fixed market data More...
	CapFloorTermVolCurve (Natural settlementDays, const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Volatility > &vols, const DayCounter &dc=Actual365Fixed())
	floating reference date, fixed market data More...
	CapFloorTermVolCurve (CapFloorTermVolCurve &&)=delete
	CapFloorTermVolCurve (const CapFloorTermVolCurve &)=delete
CapFloorTermVolCurve &	operator= (CapFloorTermVolCurve &&)=delete
CapFloorTermVolCurve &	operator= (const CapFloorTermVolCurve &)=delete
	~CapFloorTermVolCurve () override=default
TermStructure interface
Date	maxDate () const override
	the latest date for which the curve can return values More...
VolatilityTermStructure interface
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...
LazyObject interface
void	update () override
void	performCalculations () const override
Public Member Functions inherited from LazyObject
	LazyObject ()
	~LazyObject () override=default
bool	isCalculated () const
void	forwardFirstNotificationOnly ()
void	alwaysForwardNotifications ()
void	recalculate ()
void	freeze ()
void	unfreeze ()
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 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 CapFloorTermVolatilityStructure
	CapFloorTermVolatilityStructure (BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
	CapFloorTermVolatilityStructure (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
	initialize with a fixed reference date More...
	CapFloorTermVolatilityStructure (Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
	calculate the reference date based on the global evaluation date More...
	~CapFloorTermVolatilityStructure () override=default
Volatility	volatility (const Period &length, Rate strike, bool extrapolate=false) const
	returns the volatility for a given cap/floor length and strike rate More...
Volatility	volatility (const Date &end, Rate strike, bool extrapolate=false) const
Volatility	volatility (Time t, Rate strike, bool extrapolate=false) const
	returns the volatility for a given end time and strike rate 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...
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 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...
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...

some inspectors
Size	nOptionTenors_
std::vector< Period >	optionTenors_
std::vector< Date >	optionDates_
std::vector< Time >	optionTimes_
Date	evaluationDate_
std::vector< Handle< Quote > >	volHandles_
std::vector< Volatility >	vols_
Interpolation	interpolation_
const std::vector< Period > &	optionTenors () const
const std::vector< Date > &	optionDates () const
const std::vector< Time > &	optionTimes () const
Volatility	volatilityImpl (Time length, Rate) const override
	implements the actual volatility calculation in derived classes More...
void	checkInputs () const
void	initializeOptionDatesAndTimes () const
void	registerWithMarketData ()
void	interpolate ()

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Member Functions inherited from LazyObject
virtual void	calculate () const
Protected Member Functions inherited from CapFloorTermVolatilityStructure
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 LazyObject
bool	calculated_ = false
bool	frozen_ = false
bool	alwaysForward_
Protected Attributes inherited from TermStructure
bool	moving_ = false
bool	updated_ = true
Calendar	calendar_

Detailed Description

Cap/floor at-the-money term-volatility vector.

This class provides the at-the-money volatility for a given cap/floor interpolating a volatility vector whose elements are the market volatilities of a set of caps/floors with given length.

Definition at line 44 of file capfloortermvolcurve.hpp.

Constructor & Destructor Documentation

CapFloorTermVolCurve() [1/6]

CapFloorTermVolCurve	(	Natural	settlementDays,
		const Calendar &	calendar,
		BusinessDayConvention	bdc,
		const std::vector< Period > &	optionTenors,
		const std::vector< Handle< Quote > > &	vols,
		const DayCounter &	dc = Actual365Fixed()
	)

floating reference date, floating market data

Definition at line 31 of file capfloortermvolcurve.cpp.

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CapFloorTermVolCurve() [2/6]

CapFloorTermVolCurve	(	const Date &	settlementDate,
		const Calendar &	calendar,
		BusinessDayConvention	bdc,
		const std::vector< Period > &	optionTenors,
		const std::vector< Handle< Quote > > &	vols,
		const DayCounter &	dc = Actual365Fixed()
	)

fixed reference date, floating market data

Definition at line 53 of file capfloortermvolcurve.cpp.

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CapFloorTermVolCurve() [3/6]

CapFloorTermVolCurve	(	const Date &	settlementDate,
		const Calendar &	calendar,
		BusinessDayConvention	bdc,
		const std::vector< Period > &	optionTenors,
		const std::vector< Volatility > &	vols,
		const DayCounter &	dc = Actual365Fixed()
	)

fixed reference date, fixed market data

Definition at line 75 of file capfloortermvolcurve.cpp.

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CapFloorTermVolCurve() [4/6]

CapFloorTermVolCurve	(	Natural	settlementDays,
		const Calendar &	calendar,
		BusinessDayConvention	bdc,
		const std::vector< Period > &	optionTenors,
		const std::vector< Volatility > &	vols,
		const DayCounter &	dc = Actual365Fixed()
	)

floating reference date, fixed market data

Definition at line 100 of file capfloortermvolcurve.cpp.

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CapFloorTermVolCurve() [5/6]

CapFloorTermVolCurve ( CapFloorTermVolCurve &&  )

delete

CapFloorTermVolCurve() [6/6]

CapFloorTermVolCurve ( const CapFloorTermVolCurve &  )

delete

~CapFloorTermVolCurve()

~CapFloorTermVolCurve ( )

overridedefault

Member Function Documentation

operator=() [1/2]

CapFloorTermVolCurve & operator= ( CapFloorTermVolCurve &&  )

delete

operator=() [2/2]

CapFloorTermVolCurve & operator= ( const CapFloorTermVolCurve &  )

delete

maxDate()

Date maxDate ( ) const

overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

Definition at line 128 of file capfloortermvolcurve.hpp.

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minStrike()

Real minStrike ( ) const

overridevirtual

the minimum strike for which the term structure can return vols

Implements VolatilityTermStructure.

Definition at line 133 of file capfloortermvolcurve.hpp.

maxStrike()

Real maxStrike ( ) const

overridevirtual

the maximum strike for which the term structure can return vols

Implements VolatilityTermStructure.

Definition at line 137 of file capfloortermvolcurve.hpp.

update()

void update ( )

overridevirtual

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Reimplemented from LazyObject.

Definition at line 156 of file capfloortermvolcurve.cpp.

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performCalculations()

void performCalculations ( ) const

overridevirtual

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.

Definition at line 178 of file capfloortermvolcurve.cpp.

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optionTenors()

const std::vector< Period > & optionTenors

(

)

const

Definition at line 149 of file capfloortermvolcurve.hpp.

optionDates()

const std::vector< Date > & optionDates

(

)

const

Definition at line 154 of file capfloortermvolcurve.hpp.

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optionTimes()

const std::vector< Time > & optionTimes

(

)

const

Definition at line 161 of file capfloortermvolcurve.hpp.

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volatilityImpl()

Volatility volatilityImpl ( Time  length, Rate  strike  ) const

overrideprotectedvirtual

implements the actual volatility calculation in derived classes

Implements CapFloorTermVolatilityStructure.

Definition at line 142 of file capfloortermvolcurve.hpp.

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checkInputs()

void checkInputs ( ) const

private

Definition at line 124 of file capfloortermvolcurve.cpp.

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initializeOptionDatesAndTimes()

void initializeOptionDatesAndTimes ( ) const

private

Definition at line 170 of file capfloortermvolcurve.cpp.

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registerWithMarketData()

void registerWithMarketData ( )

private

Definition at line 140 of file capfloortermvolcurve.cpp.

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interpolate()

void interpolate ( )

private

Definition at line 146 of file capfloortermvolcurve.cpp.

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Member Data Documentation

nOptionTenors_

Size nOptionTenors_

private

Definition at line 113 of file capfloortermvolcurve.hpp.

optionTenors_

std::vector<Period> optionTenors_

private

Definition at line 114 of file capfloortermvolcurve.hpp.

optionDates_

std::vector<Date> optionDates_

mutableprivate

Definition at line 115 of file capfloortermvolcurve.hpp.

optionTimes_

std::vector<Time> optionTimes_

mutableprivate

Definition at line 116 of file capfloortermvolcurve.hpp.

evaluationDate_

Date evaluationDate_

private

Definition at line 117 of file capfloortermvolcurve.hpp.

volHandles_

std::vector<Handle<Quote> > volHandles_

private

Definition at line 119 of file capfloortermvolcurve.hpp.

vols_

std::vector<Volatility> vols_

mutableprivate

Definition at line 120 of file capfloortermvolcurve.hpp.

interpolation_

Interpolation interpolation_

mutableprivate

Definition at line 123 of file capfloortermvolcurve.hpp.