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BlackVolTermStructure Class Referenceabstract

Black-volatility term structure. More...

#include <blackvoltermstructure.hpp>

+ Inheritance diagram for BlackVolTermStructure:
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Public Member Functions

Constructors

See the TermStructure documentation for issues regarding constructors.

 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
 
Black Volatility
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...
 
Visitability
virtual void accept (AcyclicVisitor &)
 
- 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 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...
 

Protected Member Functions

Calculations

These methods must be implemented in derived classes to perform the actual volatility calculations. When they are called, range check has already been performed; therefore, they must assume that extrapolation is required.

virtual Real blackVarianceImpl (Time t, Real strike) const =0
 Black variance calculation. More...
 
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...
 

Additional Inherited Members

- Public Types inherited from Observer
typedef set_type::iterator iterator
 
- Protected Attributes inherited from TermStructure
bool moving_ = false
 
bool updated_ = true
 
Calendar calendar_
 

Detailed Description

Black-volatility term structure.

This abstract class defines the interface of concrete Black-volatility term structures which will be derived from this one.

Volatilities are assumed to be expressed on an annual basis.

Definition at line 40 of file blackvoltermstructure.hpp.

Constructor & Destructor Documentation

◆ BlackVolTermStructure() [1/3]

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 24 of file blackvoltermstructure.cpp.

◆ BlackVolTermStructure() [2/3]

BlackVolTermStructure ( const Date referenceDate,
const Calendar cal = Calendar(),
BusinessDayConvention  bdc = Following,
const DayCounter dc = DayCounter() 
)

initialize with a fixed reference date

Definition at line 28 of file blackvoltermstructure.cpp.

◆ BlackVolTermStructure() [3/3]

BlackVolTermStructure ( 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 34 of file blackvoltermstructure.cpp.

◆ ~BlackVolTermStructure()

~BlackVolTermStructure ( )
overridedefault

Member Function Documentation

◆ blackVol() [1/2]

Volatility blackVol ( const Date maturity,
Real  strike,
bool  extrapolate = false 
) const

spot volatility

Definition at line 217 of file blackvoltermstructure.hpp.

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◆ blackVol() [2/2]

Volatility blackVol ( Time  maturity,
Real  strike,
bool  extrapolate = false 
) const

spot volatility

Definition at line 226 of file blackvoltermstructure.hpp.

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◆ blackVariance() [1/2]

Real blackVariance ( const Date maturity,
Real  strike,
bool  extrapolate = false 
) const

spot variance

Definition at line 234 of file blackvoltermstructure.hpp.

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◆ blackVariance() [2/2]

Real blackVariance ( Time  maturity,
Real  strike,
bool  extrapolate = false 
) const

spot variance

Definition at line 243 of file blackvoltermstructure.hpp.

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◆ blackForwardVol() [1/2]

Volatility blackForwardVol ( const Date date1,
const Date date2,
Real  strike,
bool  extrapolate = false 
) const

forward (at-the-money) volatility

Definition at line 40 of file blackvoltermstructure.cpp.

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◆ blackForwardVol() [2/2]

Volatility blackForwardVol ( Time  time1,
Time  time2,
Real  strike,
bool  extrapolate = false 
) const

forward (at-the-money) volatility

Definition at line 55 of file blackvoltermstructure.cpp.

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◆ blackForwardVariance() [1/2]

Real blackForwardVariance ( const Date date1,
const Date date2,
Real  strike,
bool  extrapolate = false 
) const

forward (at-the-money) variance

Definition at line 85 of file blackvoltermstructure.cpp.

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◆ blackForwardVariance() [2/2]

Real blackForwardVariance ( Time  time1,
Time  time2,
Real  strike,
bool  extrapolate = false 
) const

forward (at-the-money) variance

Definition at line 101 of file blackvoltermstructure.cpp.

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◆ accept()

void accept ( AcyclicVisitor v)
virtual

Reimplemented in ExtendedBlackVarianceCurve, ExtendedBlackVarianceSurface, BlackConstantVol, BlackVarianceCurve, BlackVarianceSurface, BlackVolatilityTermStructure, BlackVarianceTermStructure, and ImpliedVolTermStructure.

Definition at line 251 of file blackvoltermstructure.hpp.

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◆ blackVarianceImpl()

virtual Real blackVarianceImpl ( Time  t,
Real  strike 
) const
protectedpure virtual

◆ blackVolImpl()

virtual Volatility blackVolImpl ( Time  t,
Real  strike 
) const
protectedpure virtual

Black volatility calculation.

Implemented in SABRVolTermStructure, BlackVarianceTermStructure, HestonBlackVolSurface, and BlackConstantVol.

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