#include <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 Date &	referenceDate () 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< SmileSection >	smileSection (const Period &optionTenor, bool extr=false) const
	returns the smile for a given option tenor More...

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

ext::shared_ptr< SmileSection >	smileSection (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 &)

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...

OptionletVolatilityStructure interface
const Handle< OptionletVolatilityStructure >	baseVol_

const Handle< Quote >	spread_

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

ext::shared_ptr< SmileSection >	smileSectionImpl (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()

SpreadedOptionletVolatility	(	const Handle< OptionletVolatilityStructure > &	baseVol,
		Handle< Quote >	spread
	)

Definition at line 28 of file spreadedoptionletvol.cpp.

Here is the call graph for this function:

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.

Public Member Functions

OptionletVolatilityStructure interface

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ SpreadedOptionletVolatility()

Member Function Documentation

◆ businessDayConvention()

◆ minStrike()

◆ maxStrike()

◆ dayCounter()

◆ maxDate()

◆ maxTime()

◆ referenceDate()

◆ calendar()

◆ settlementDays()

◆ volatilityType()

◆ displacement()

◆ smileSectionImpl() [1/2]

◆ smileSectionImpl() [2/2]

◆ volatilityImpl()

Member Data Documentation

◆ baseVol_

◆ spread_