QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Black-volatility term structure. More...
#include <blackvoltermstructure.hpp>
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 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... | |
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_ |
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.
BlackVolTermStructure | ( | BusinessDayConvention | bdc = Following , |
const DayCounter & | dc = DayCounter() |
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default constructor
Definition at line 24 of file blackvoltermstructure.cpp.
BlackVolTermStructure | ( | const Date & | referenceDate, |
const Calendar & | cal = Calendar() , |
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BusinessDayConvention | bdc = Following , |
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const DayCounter & | dc = DayCounter() |
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initialize with a fixed reference date
Definition at line 28 of file blackvoltermstructure.cpp.
BlackVolTermStructure | ( | Natural | settlementDays, |
const Calendar & | cal, | ||
BusinessDayConvention | bdc = Following , |
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const DayCounter & | dc = DayCounter() |
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calculate the reference date based on the global evaluation date
Definition at line 34 of file blackvoltermstructure.cpp.
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overridedefault |
Volatility blackVol | ( | const Date & | maturity, |
Real | strike, | ||
bool | extrapolate = false |
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) | const |
spot volatility
Definition at line 217 of file blackvoltermstructure.hpp.
Volatility blackVol | ( | Time | maturity, |
Real | strike, | ||
bool | extrapolate = false |
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) | const |
spot volatility
Definition at line 226 of file blackvoltermstructure.hpp.
spot variance
Definition at line 234 of file blackvoltermstructure.hpp.
spot variance
Definition at line 243 of file blackvoltermstructure.hpp.
Volatility blackForwardVol | ( | const Date & | date1, |
const Date & | date2, | ||
Real | strike, | ||
bool | extrapolate = false |
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) | const |
forward (at-the-money) volatility
Definition at line 40 of file blackvoltermstructure.cpp.
Volatility blackForwardVol | ( | Time | time1, |
Time | time2, | ||
Real | strike, | ||
bool | extrapolate = false |
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) | const |
forward (at-the-money) volatility
Definition at line 55 of file blackvoltermstructure.cpp.
Real blackForwardVariance | ( | const Date & | date1, |
const Date & | date2, | ||
Real | strike, | ||
bool | extrapolate = false |
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) | const |
forward (at-the-money) variance
Definition at line 85 of file blackvoltermstructure.cpp.
forward (at-the-money) variance
Definition at line 101 of file blackvoltermstructure.cpp.
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virtual |
Reimplemented in ExtendedBlackVarianceCurve, ExtendedBlackVarianceSurface, BlackConstantVol, BlackVarianceCurve, BlackVarianceSurface, BlackVolatilityTermStructure, BlackVarianceTermStructure, and ImpliedVolTermStructure.
Definition at line 251 of file blackvoltermstructure.hpp.
Black variance calculation.
Implemented in BlackVolatilityTermStructure, ExtendedBlackVarianceSurface, AndreasenHugeVolatilityAdapter, BlackVarianceSurface, HestonBlackVolSurface, ImpliedVolTermStructure, ExtendedBlackVarianceCurve, and BlackVarianceCurve.
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protectedpure virtual |
Black volatility calculation.
Implemented in SABRVolTermStructure, BlackVarianceTermStructure, HestonBlackVolSurface, and BlackConstantVol.