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CallableBondVolatilityStructure Class Referenceabstract

Callable-bond volatility structure. More...

#include <callablebondvolstructure.hpp>

+ Inheritance diagram for CallableBondVolatilityStructure:
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Public Member Functions

Constructors

See the TermStructure documentation for issues regarding constructors.

 CallableBondVolatilityStructure (const DayCounter &dc=DayCounter(), BusinessDayConvention bdc=Following)
 default constructor More...
 
 CallableBondVolatilityStructure (const Date &referenceDate, const Calendar &calendar=Calendar(), const DayCounter &dc=DayCounter(), BusinessDayConvention bdc=Following)
 initialize with a fixed reference date More...
 
 CallableBondVolatilityStructure (Natural settlementDays, const Calendar &, const DayCounter &dc=DayCounter(), BusinessDayConvention bdc=Following)
 calculate the reference date based on the global evaluation date More...
 
 ~CallableBondVolatilityStructure () override=default
 
Volatility, variance and smile
Volatility volatility (Time optionTime, Time bondLength, Rate strike, bool extrapolate=false) const
 returns the volatility for a given option time and bondLength More...
 
Real blackVariance (Time optionTime, Time bondLength, Rate strike, bool extrapolate=false) const
 returns the Black variance for a given option time and bondLength More...
 
Volatility volatility (const Date &optionDate, const Period &bondTenor, Rate strike, bool extrapolate=false) const
 returns the volatility for a given option date and bond tenor More...
 
Real blackVariance (const Date &optionDate, const Period &bondTenor, Rate strike, bool extrapolate=false) const
 returns the Black variance for a given option date and bond tenor More...
 
virtual ext::shared_ptr< SmileSectionsmileSection (const Date &optionDate, const Period &bondTenor) const
 
Volatility volatility (const Period &optionTenor, const Period &bondTenor, Rate strike, bool extrapolate=false) const
 returns the volatility for a given option tenor and bond tenor More...
 
Real blackVariance (const Period &optionTenor, const Period &bondTenor, Rate strike, bool extrapolate=false) const
 returns the Black variance for a given option tenor and bond tenor More...
 
ext::shared_ptr< SmileSectionsmileSection (const Period &optionTenor, const Period &bondTenor) const
 
- 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...
 

Limits

BusinessDayConvention bdc_
 
virtual const PeriodmaxBondTenor () const =0
 the largest length for which the term structure can return vols More...
 
virtual Time maxBondLength () const
 the largest bondLength for which the term structure can return vols 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...
 
virtual std::pair< Time, TimeconvertDates (const Date &optionDate, const Period &bondTenor) const
 implements the conversion between dates and times More...
 
virtual BusinessDayConvention businessDayConvention () const
 the business day convention used for option date calculation More...
 
Date optionDateFromTenor (const Period &optionTenor) const
 implements the conversion between optionTenors and optionDates More...
 
virtual ext::shared_ptr< SmileSectionsmileSectionImpl (Time optionTime, Time bondLength) const =0
 return smile section More...
 
virtual Volatility volatilityImpl (Time optionTime, Time bondLength, Rate strike) const =0
 implements the actual volatility calculation in derived classes More...
 
virtual Volatility volatilityImpl (const Date &optionDate, const Period &bondTenor, Rate strike) const
 
void checkRange (Time, Time, Rate strike, bool extrapolate) const
 
void checkRange (const Date &optionDate, const Period &bondTenor, Rate strike, bool extrapolate) const
 

Additional Inherited Members

- Public Types inherited from Observer
typedef set_type::iterator iterator
 
- 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

Callable-bond volatility structure.

This class is purely abstract and defines the interface of concrete callable-bond volatility structures which will be derived from this one.

Definition at line 38 of file callablebondvolstructure.hpp.

Constructor & Destructor Documentation

◆ CallableBondVolatilityStructure() [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 25 of file callablebondvolstructure.cpp.

◆ CallableBondVolatilityStructure() [2/3]

CallableBondVolatilityStructure ( const Date referenceDate,
const Calendar calendar = Calendar(),
const DayCounter dc = DayCounter(),
BusinessDayConvention  bdc = Following 
)

initialize with a fixed reference date

Definition at line 30 of file callablebondvolstructure.cpp.

◆ CallableBondVolatilityStructure() [3/3]

CallableBondVolatilityStructure ( Natural  settlementDays,
const Calendar calendar,
const DayCounter dc = DayCounter(),
BusinessDayConvention  bdc = Following 
)

calculate the reference date based on the global evaluation date

Definition at line 37 of file callablebondvolstructure.cpp.

◆ ~CallableBondVolatilityStructure()

~CallableBondVolatilityStructure ( )
overridedefault

Member Function Documentation

◆ volatility() [1/3]

Volatility volatility ( Time  optionTime,
Time  bondLength,
Rate  strike,
bool  extrapolate = false 
) const

returns the volatility for a given option time and bondLength

Definition at line 167 of file callablebondvolstructure.hpp.

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◆ blackVariance() [1/3]

Real blackVariance ( Time  optionTime,
Time  bondLength,
Rate  strike,
bool  extrapolate = false 
) const

returns the Black variance for a given option time and bondLength

Definition at line 177 of file callablebondvolstructure.hpp.

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◆ volatility() [2/3]

Volatility volatility ( const Date optionDate,
const Period bondTenor,
Rate  strike,
bool  extrapolate = false 
) const

returns the volatility for a given option date and bond tenor

Definition at line 188 of file callablebondvolstructure.hpp.

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◆ blackVariance() [2/3]

Real blackVariance ( const Date optionDate,
const Period bondTenor,
Rate  strike,
bool  extrapolate = false 
) const

returns the Black variance for a given option date and bond tenor

Definition at line 197 of file callablebondvolstructure.hpp.

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◆ smileSection() [1/2]

virtual ext::shared_ptr< SmileSection > smileSection ( const Date optionDate,
const Period bondTenor 
) const
virtual

Definition at line 87 of file callablebondvolstructure.hpp.

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◆ volatility() [3/3]

Volatility volatility ( const Period optionTenor,
const Period bondTenor,
Rate  strike,
bool  extrapolate = false 
) const

returns the volatility for a given option tenor and bond tenor

Definition at line 208 of file callablebondvolstructure.hpp.

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◆ blackVariance() [3/3]

Real blackVariance ( const Period optionTenor,
const Period bondTenor,
Rate  strike,
bool  extrapolate = false 
) const

returns the Black variance for a given option tenor and bond tenor

Definition at line 217 of file callablebondvolstructure.hpp.

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◆ smileSection() [2/2]

ext::shared_ptr< SmileSection > smileSection ( const Period optionTenor,
const Period bondTenor 
) const

Definition at line 231 of file callablebondvolstructure.hpp.

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◆ maxBondTenor()

virtual const Period & maxBondTenor ( ) const
pure virtual

the largest length for which the term structure can return vols

Implemented in CallableBondConstantVolatility.

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◆ maxBondLength()

Time maxBondLength ( ) const
virtual

the largest bondLength for which the term structure can return vols

Reimplemented in CallableBondConstantVolatility.

Definition at line 44 of file callablebondvolstructure.cpp.

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◆ minStrike()

virtual Rate minStrike ( ) const
pure virtual

the minimum strike for which the term structure can return vols

Implemented in CallableBondConstantVolatility.

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◆ maxStrike()

virtual Rate maxStrike ( ) const
pure virtual

the maximum strike for which the term structure can return vols

Implemented in CallableBondConstantVolatility.

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◆ convertDates()

std::pair< Time, Time > convertDates ( const Date optionDate,
const Period bondTenor 
) const
virtual

implements the conversion between dates and times

Definition at line 49 of file callablebondvolstructure.cpp.

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◆ businessDayConvention()

BusinessDayConvention businessDayConvention ( ) const
virtual

the business day convention used for option date calculation

Definition at line 156 of file callablebondvolstructure.hpp.

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◆ optionDateFromTenor()

Date optionDateFromTenor ( const Period optionTenor) const

implements the conversion between optionTenors and optionDates

Definition at line 160 of file callablebondvolstructure.hpp.

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◆ smileSectionImpl()

virtual ext::shared_ptr< SmileSection > smileSectionImpl ( Time  optionTime,
Time  bondLength 
) const
protectedpure virtual

return smile section

Implemented in CallableBondConstantVolatility.

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◆ volatilityImpl() [1/2]

virtual Volatility volatilityImpl ( Time  optionTime,
Time  bondLength,
Rate  strike 
) const
protectedpure virtual

implements the actual volatility calculation in derived classes

Implemented in CallableBondConstantVolatility.

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◆ volatilityImpl() [2/2]

virtual Volatility volatilityImpl ( const Date optionDate,
const Period bondTenor,
Rate  strike 
) const
protectedvirtual

Reimplemented in CallableBondConstantVolatility.

Definition at line 138 of file callablebondvolstructure.hpp.

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◆ checkRange() [1/2]

void checkRange ( Time  optionTime,
Time  bondLength,
Rate  strike,
bool  extrapolate 
) const
protected

Definition at line 239 of file callablebondvolstructure.hpp.

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◆ checkRange() [2/2]

void checkRange ( const Date optionDate,
const Period bondTenor,
Rate  strike,
bool  extrapolate 
) const
protected

Definition at line 60 of file callablebondvolstructure.cpp.

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Member Data Documentation

◆ bdc_

BusinessDayConvention bdc_
private

Definition at line 149 of file callablebondvolstructure.hpp.