25#ifndef quantlib_caplet_variance_curve_hpp
26#define quantlib_caplet_variance_curve_hpp
37 const std::vector< Date > &dates,
38 const std::vector< Volatility > &capletVolCurve,
63 const Date &referenceDate,
const std::vector< Date > &dates,
64 const std::vector< Volatility > &capletVolCurve,
67 blackCurve_(referenceDate, dates, capletVolCurve, dayCounter, false),
68 type_(type), displacement_(displacement) {}
86 inline ext::shared_ptr<SmileSection>
90 return ext::make_shared<FlatSmileSection>(
t, atmVol,
dayCounter());
Black volatility curve modelled as variance curve.
Black volatility curve modelled as variance curve.
Real minStrike() const override
the minimum strike for which the term structure can return vols
DayCounter dayCounter() const override
the day counter used for date/time conversion
Date maxDate() const override
the latest date for which the curve can return values
Real maxStrike() const override
the maximum strike for which the term structure can return vols
Volatility blackVol(const Date &maturity, Real strike, bool extrapolate=false) const
spot volatility
CapletVarianceCurve(const Date &referenceDate, const std::vector< Date > &dates, const std::vector< Volatility > &capletVolCurve, const DayCounter &dayCounter, VolatilityType type=ShiftedLognormal, Real displacement=0.0)
Volatility volatilityImpl(Time t, Rate) const override
implements the actual volatility calculation in derived classes
Real minStrike() const override
the minimum strike for which the term structure can return vols
ext::shared_ptr< SmileSection > smileSectionImpl(Time t) const override
implements the actual smile calculation in derived classes
VolatilityType volatilityType() const override
DayCounter dayCounter() const override
the day counter used for date/time conversion
BlackVarianceCurve blackCurve_
Date maxDate() const override
the latest date for which the curve can return values
Real maxStrike() const override
the maximum strike for which the term structure can return vols
Real displacement() const override
Optionlet (caplet/floorlet) volatility structure.
virtual const Date & referenceDate() const
the date at which discount = 1.0 and/or variance = 0.0
Real Time
continuous quantity with 1-year units
Real Volatility
volatility
optionlet (caplet/floorlet) volatility structure
ext::shared_ptr< YieldTermStructure > r