Volatility term structure. More...
#include <voltermstructure.hpp>
Inheritance diagram for VolatilityTermStructure:
Collaboration diagram for VolatilityTermStructure:
Constructors | |
See the TermStructure documentation for issues regarding constructors. | |
| BusinessDayConvention | bdc_ |
| 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... | |
| void | checkStrike (Rate strike, bool extrapolate) const |
| strike-range check More... | |
Additional Inherited Members | |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
| 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 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
Volatility term structure.
This abstract class defines the interface of concrete volatility structures which will be derived from this one.
Definition at line 36 of file voltermstructure.hpp.
Constructor & Destructor Documentation
◆ VolatilityTermStructure() [1/3]
| VolatilityTermStructure | ( | BusinessDayConvention | bdc, |
| const DayCounter & | dc = DayCounter() |
||
| ) |
- 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 voltermstructure.cpp.
◆ VolatilityTermStructure() [2/3]
| VolatilityTermStructure | ( | const Date & | referenceDate, |
| const Calendar & | cal, | ||
| BusinessDayConvention | bdc, | ||
| const DayCounter & | dc = DayCounter() |
||
| ) |
initialize with a fixed reference date
Definition at line 28 of file voltermstructure.cpp.
◆ VolatilityTermStructure() [3/3]
| VolatilityTermStructure | ( | Natural | settlementDays, |
| const Calendar & | cal, | ||
| BusinessDayConvention | bdc, | ||
| const DayCounter & | dc = DayCounter() |
||
| ) |
calculate the reference date based on the global evaluation date
Definition at line 34 of file voltermstructure.cpp.
Member Function Documentation
◆ businessDayConvention()
|
virtual |
the business day convention used in tenor to date conversion
Reimplemented in SpreadedOptionletVolatility.
Definition at line 79 of file voltermstructure.hpp.
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◆ optionDateFromTenor()
period/date conversion
Definition at line 84 of file voltermstructure.hpp.
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◆ minStrike()
|
pure virtual |
the minimum strike for which the term structure can return vols
Implemented in TenorOptionletVTS, TenorSwaptionVTS, KInterpolatedYoYOptionletVolatilitySurface< Interpolator1D >, InterpolatedYoYOptionletVolatilityCurve< Interpolator1D >, InterpolatedYoYOptionletVolatilityCurve< Interpolator >, AbcdAtmVolCurve, ExtendedBlackVarianceCurve, ExtendedBlackVarianceSurface, SabrVolSurface, SABRVolTermStructure, CapFloorTermVolCurve, CapFloorTermVolSurface, ConstantCapFloorTermVolatility, AndreasenHugeLocalVolAdapter, AndreasenHugeVolatilityAdapter, BlackConstantVol, BlackVarianceCurve, BlackVarianceSurface, FixedLocalVolSurface, GridModelLocalVolSurface, HestonBlackVolSurface, ImpliedVolTermStructure, LocalConstantVol, LocalVolCurve, LocalVolSurface, ConstantCPIVolatility, ConstantYoYOptionletVolatility, CapletVarianceCurve, ConstantOptionletVolatility, SpreadedOptionletVolatility, StrippedOptionletAdapter, Gaussian1dSwaptionVolatility, SpreadedSwaptionVolatility, ConstantSwaptionVolatility, SwaptionVolatilityCube, SwaptionVolatilityMatrix, CPIVolatilitySurface, and YoYOptionletVolatilitySurface.
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◆ maxStrike()
|
pure virtual |
the maximum strike for which the term structure can return vols
Implemented in TenorOptionletVTS, TenorSwaptionVTS, KInterpolatedYoYOptionletVolatilitySurface< Interpolator1D >, InterpolatedYoYOptionletVolatilityCurve< Interpolator1D >, InterpolatedYoYOptionletVolatilityCurve< Interpolator >, AbcdAtmVolCurve, ExtendedBlackVarianceCurve, ExtendedBlackVarianceSurface, SabrVolSurface, SABRVolTermStructure, CapFloorTermVolCurve, CapFloorTermVolSurface, ConstantCapFloorTermVolatility, AndreasenHugeLocalVolAdapter, AndreasenHugeVolatilityAdapter, BlackConstantVol, BlackVarianceCurve, BlackVarianceSurface, FixedLocalVolSurface, GridModelLocalVolSurface, HestonBlackVolSurface, ImpliedVolTermStructure, LocalConstantVol, LocalVolCurve, LocalVolSurface, ConstantCPIVolatility, ConstantYoYOptionletVolatility, CapletVarianceCurve, ConstantOptionletVolatility, SpreadedOptionletVolatility, StrippedOptionletAdapter, Gaussian1dSwaptionVolatility, SpreadedSwaptionVolatility, ConstantSwaptionVolatility, SwaptionVolatilityCube, SwaptionVolatilityMatrix, CPIVolatilitySurface, and YoYOptionletVolatilitySurface.
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◆ checkStrike()
strike-range check
Definition at line 40 of file voltermstructure.cpp.
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Member Data Documentation
◆ bdc_
|
private |
Definition at line 73 of file voltermstructure.hpp.