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Public Member Functions | List of all members
SpreadedOptionletVolatility Class Reference

#include <ql/termstructures/volatility/optionlet/spreadedoptionletvol.hpp>

+ Inheritance diagram for SpreadedOptionletVolatility:
+ Collaboration diagram for SpreadedOptionletVolatility:

Public Member Functions

 SpreadedOptionletVolatility (const Handle< OptionletVolatilityStructure > &, Handle< Quote > spread)
 
VolatilityTermStructure interface
BusinessDayConvention businessDayConvention () const override
 the business day convention used in tenor to date conversion More...
 
Rate minStrike () const override
 the minimum strike for which the term structure can return vols More...
 
Rate maxStrike () const override
 the maximum strike for which the term structure can return vols More...
 
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...
 
Time maxTime () const override
 the latest time for which the curve can return values More...
 
const DatereferenceDate () const override
 the date at which discount = 1.0 and/or variance = 0.0 More...
 
Calendar calendar () const override
 the calendar used for reference and/or option date calculation More...
 
Natural settlementDays () const override
 the settlementDays used for reference date calculation More...
 
VolatilityType volatilityType () const override
 
Real displacement () const override
 
- Public Member Functions inherited from OptionletVolatilityStructure
 OptionletVolatilityStructure (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
 default constructor More...
 
 OptionletVolatilityStructure (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
 initialize with a fixed reference date More...
 
 OptionletVolatilityStructure (Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
 calculate the reference date based on the global evaluation date More...
 
 ~OptionletVolatilityStructure () override=default
 
Volatility volatility (const Period &optionTenor, Rate strike, bool extrapolate=false) const
 returns the volatility for a given option tenor and strike rate More...
 
Volatility volatility (const Date &optionDate, Rate strike, bool extrapolate=false) const
 returns the volatility for a given option date and strike rate More...
 
Volatility volatility (Time optionTime, Rate strike, bool extrapolate=false) const
 returns the volatility for a given option time and strike rate More...
 
Real blackVariance (const Period &optionTenor, Rate strike, bool extrapolate=false) const
 returns the Black variance for a given option tenor and strike rate More...
 
Real blackVariance (const Date &optionDate, Rate strike, bool extrapolate=false) const
 returns the Black variance for a given option date and strike rate More...
 
Real blackVariance (Time optionTime, Rate strike, bool extrapolate=false) const
 returns the Black variance for a given option time and strike rate More...
 
ext::shared_ptr< SmileSectionsmileSection (const Period &optionTenor, bool extr=false) const
 returns the smile for a given option tenor More...
 
ext::shared_ptr< SmileSectionsmileSection (const Date &optionDate, bool extr=false) const
 returns the smile for a given option date More...
 
ext::shared_ptr< SmileSectionsmileSection (Time optionTime, bool extr=false) const
 returns the smile for a given option time 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...
 
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
 
Time timeFromReference (const Date &date) const
 date/time conversion 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...
 

OptionletVolatilityStructure interface

const Handle< OptionletVolatilityStructurebaseVol_
 
const Handle< Quotespread_
 
ext::shared_ptr< SmileSectionsmileSectionImpl (const Date &d) const override
 
ext::shared_ptr< SmileSectionsmileSectionImpl (Time optionT) const override
 implements the actual smile calculation in derived classes More...
 
Volatility volatilityImpl (Time optionTime, Rate strike) const override
 implements the actual volatility calculation in derived classes More...
 

Additional Inherited Members

- Public Types inherited from Observer
typedef set_type::iterator iterator
 
- Protected Member Functions inherited from OptionletVolatilityStructure
virtual Volatility volatilityImpl (const Date &optionDate, Rate strike) const
 
- 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

Definition at line 37 of file spreadedoptionletvol.hpp.

Constructor & Destructor Documentation

◆ SpreadedOptionletVolatility()

Definition at line 28 of file spreadedoptionletvol.cpp.

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Member Function Documentation

◆ businessDayConvention()

BusinessDayConvention businessDayConvention ( ) const
overridevirtual

the business day convention used in tenor to date conversion

Reimplemented from VolatilityTermStructure.

Definition at line 98 of file spreadedoptionletvol.hpp.

◆ minStrike()

Rate minStrike ( ) const
overridevirtual

the minimum strike for which the term structure can return vols

Implements VolatilityTermStructure.

Definition at line 102 of file spreadedoptionletvol.hpp.

◆ maxStrike()

Rate maxStrike ( ) const
overridevirtual

the maximum strike for which the term structure can return vols

Implements VolatilityTermStructure.

Definition at line 106 of file spreadedoptionletvol.hpp.

◆ dayCounter()

DayCounter dayCounter ( ) const
overridevirtual

the day counter used for date/time conversion

Reimplemented from TermStructure.

Definition at line 73 of file spreadedoptionletvol.hpp.

◆ maxDate()

Date maxDate ( ) const
overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

Definition at line 77 of file spreadedoptionletvol.hpp.

◆ maxTime()

Time maxTime ( ) const
overridevirtual

the latest time for which the curve can return values

Reimplemented from TermStructure.

Definition at line 81 of file spreadedoptionletvol.hpp.

◆ referenceDate()

const Date & referenceDate ( ) const
overridevirtual

the date at which discount = 1.0 and/or variance = 0.0

Reimplemented from TermStructure.

Definition at line 85 of file spreadedoptionletvol.hpp.

◆ calendar()

Calendar calendar ( ) const
overridevirtual

the calendar used for reference and/or option date calculation

Reimplemented from TermStructure.

Definition at line 89 of file spreadedoptionletvol.hpp.

◆ settlementDays()

Natural settlementDays ( ) const
overridevirtual

the settlementDays used for reference date calculation

Reimplemented from TermStructure.

Definition at line 93 of file spreadedoptionletvol.hpp.

◆ volatilityType()

VolatilityType volatilityType ( ) const
overridevirtual

Reimplemented from OptionletVolatilityStructure.

Definition at line 111 of file spreadedoptionletvol.hpp.

◆ displacement()

Real displacement ( ) const
overridevirtual

Reimplemented from OptionletVolatilityStructure.

Definition at line 115 of file spreadedoptionletvol.hpp.

◆ smileSectionImpl() [1/2]

ext::shared_ptr< SmileSection > smileSectionImpl ( const Date d) const
overrideprotectedvirtual

Reimplemented from OptionletVolatilityStructure.

Definition at line 37 of file spreadedoptionletvol.cpp.

◆ smileSectionImpl() [2/2]

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

implements the actual smile calculation in derived classes

Implements OptionletVolatilityStructure.

Definition at line 45 of file spreadedoptionletvol.cpp.

◆ volatilityImpl()

Volatility volatilityImpl ( Time  optionTime,
Rate  strike 
) const
overrideprotectedvirtual

implements the actual volatility calculation in derived classes

Implements OptionletVolatilityStructure.

Definition at line 52 of file spreadedoptionletvol.cpp.

Member Data Documentation

◆ baseVol_

const Handle<OptionletVolatilityStructure> baseVol_
private

Definition at line 69 of file spreadedoptionletvol.hpp.

◆ spread_

const Handle<Quote> spread_
private

Definition at line 70 of file spreadedoptionletvol.hpp.