#include <capletvariancecurve.hpp>

Inheritance diagram for CapletVarianceCurve:

Collaboration diagram for CapletVarianceCurve:

Public Member Functions
	CapletVarianceCurve (const Date &referenceDate, const std::vector< Date > &dates, const std::vector< Volatility > &capletVolCurve, const DayCounter &dayCounter, VolatilityType type=ShiftedLognormal, Real displacement=0.0)

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...

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

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...

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...

TermStructure interface
BlackVarianceCurve	blackCurve_

VolatilityType	type_

Real	displacement_

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...

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...

VolatilityType	volatilityType () const override

Real	displacement () const override

ext::shared_ptr< SmileSection >	smileSectionImpl (Time t) const override
	implements the actual smile calculation in derived classes More...

Volatility	volatilityImpl (Time t, Rate) 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 ext::shared_ptr< SmileSection >	smileSectionImpl (const Date &optionDate) const

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 34 of file capletvariancecurve.hpp.

Constructor & Destructor Documentation

◆ CapletVarianceCurve()

CapletVarianceCurve	(	const Date &	referenceDate,
		const std::vector< Date > &	dates,
		const std::vector< Volatility > &	capletVolCurve,
		const DayCounter &	dayCounter,
		VolatilityType	type = `ShiftedLognormal`,
		Real	displacement = `0.0`
	)