QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
Loading...
Searching...
No Matches
Public Member Functions | List of all members
SpreadedSwaptionVolatility Class Reference

#include <spreadedswaptionvol.hpp>

+ Inheritance diagram for SpreadedSwaptionVolatility:
+ Collaboration diagram for SpreadedSwaptionVolatility:

Public Member Functions

 SpreadedSwaptionVolatility (const Handle< SwaptionVolatilityStructure > &, Handle< Quote > spread)
 
TermStructure interface
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...
 
Time maxTime () const override
 the latest time for which the curve can return values More...
 
const DatereferenceDate () const override
 the date at which discount = 1.0 and/or variance = 0.0 More...
 
Calendar calendar () const override
 the calendar used for reference and/or option date calculation More...
 
Natural settlementDays () const override
 the settlementDays used for reference date calculation More...
 
VolatilityTermStructure interface
Rate minStrike () const override
 the minimum strike for which the term structure can return vols More...
 
Rate maxStrike () const override
 the maximum strike for which the term structure can return vols More...
 
- Public Member Functions inherited from SwaptionVolatilityStructure
 SwaptionVolatilityStructure (BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
 
 SwaptionVolatilityStructure (const Date &referenceDate, const Calendar &calendar, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
 initialize with a fixed reference date More...
 
 SwaptionVolatilityStructure (Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
 calculate the reference date based on the global evaluation date More...
 
 ~SwaptionVolatilityStructure () override=default
 
Volatility volatility (const Period &optionTenor, const Period &swapTenor, Rate strike, bool extrapolate=false) const
 returns the volatility for a given option tenor and swap tenor More...
 
Volatility volatility (const Date &optionDate, const Period &swapTenor, Rate strike, bool extrapolate=false) const
 returns the volatility for a given option date and swap tenor More...
 
Volatility volatility (Time optionTime, const Period &swapTenor, Rate strike, bool extrapolate=false) const
 returns the volatility for a given option time and swap tenor More...
 
Volatility volatility (const Period &optionTenor, Time swapLength, Rate strike, bool extrapolate=false) const
 returns the volatility for a given option tenor and swap length More...
 
Volatility volatility (const Date &optionDate, Time swapLength, Rate strike, bool extrapolate=false) const
 returns the volatility for a given option date and swap length More...
 
Volatility volatility (Time optionTime, Time swapLength, Rate strike, bool extrapolate=false) const
 returns the volatility for a given option time and swap length More...
 
Real blackVariance (const Period &optionTenor, const Period &swapTenor, Rate strike, bool extrapolate=false) const
 returns the Black variance for a given option tenor and swap tenor More...
 
Real blackVariance (const Date &optionDate, const Period &swapTenor, Rate strike, bool extrapolate=false) const
 returns the Black variance for a given option date and swap tenor More...
 
Real blackVariance (Time optionTime, const Period &swapTenor, Rate strike, bool extrapolate=false) const
 returns the Black variance for a given option time and swap tenor More...
 
Real blackVariance (const Period &optionTenor, Time swapLength, Rate strike, bool extrapolate=false) const
 returns the Black variance for a given option tenor and swap length More...
 
Real blackVariance (const Date &optionDate, Time swapLength, Rate strike, bool extrapolate=false) const
 returns the Black variance for a given option date and swap length More...
 
Real blackVariance (Time optionTime, Time swapLength, Rate strike, bool extrapolate=false) const
 returns the Black variance for a given option time and swap length More...
 
Real shift (const Period &optionTenor, const Period &swapTenor, bool extrapolate=false) const
 returns the shift for a given option tenor and swap tenor More...
 
Real shift (const Date &optionDate, const Period &swapTenor, bool extrapolate=false) const
 returns the shift for a given option date and swap tenor More...
 
Real shift (Time optionTime, const Period &swapTenor, bool extrapolate=false) const
 returns the shift for a given option time and swap tenor More...
 
Real shift (const Period &optionTenor, Time swapLength, bool extrapolate=false) const
 returns the shift for a given option tenor and swap length More...
 
Real shift (const Date &optionDate, Time swapLength, bool extrapolate=false) const
 returns the shift for a given option date and swap length More...
 
Real shift (Time optionTime, Time swapLength, bool extrapolate=false) const
 returns the shift for a given option time and swap length More...
 
ext::shared_ptr< SmileSectionsmileSection (const Period &optionTenor, const Period &swapTenor, bool extr=false) const
 returns the smile for a given option tenor and swap tenor More...
 
ext::shared_ptr< SmileSectionsmileSection (const Date &optionDate, const Period &swapTenor, bool extr=false) const
 returns the smile for a given option date and swap tenor More...
 
ext::shared_ptr< SmileSectionsmileSection (Time optionTime, const Period &swapTenor, bool extr=false) const
 returns the smile for a given option time and swap tenor More...
 
ext::shared_ptr< SmileSectionsmileSection (const Period &optionTenor, Time swapLength, bool extr=false) const
 returns the smile for a given option tenor and swap length More...
 
ext::shared_ptr< SmileSectionsmileSection (const Date &optionDate, Time swapLength, bool extr=false) const
 returns the smile for a given option date and swap length More...
 
ext::shared_ptr< SmileSectionsmileSection (Time optionTime, Time swapLength, bool extr=false) const
 returns the smile for a given option time and swap length More...
 
Time maxSwapLength () const
 the largest swapLength for which the term structure can return vols More...
 
Time swapLength (const Period &swapTenor) const
 implements the conversion between swap tenor and swap (time) length More...
 
Time swapLength (const Date &start, const Date &end) const
 implements the conversion between swap dates and swap (time) length 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...
 
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...
 

SwaptionVolatilityStructure interface

const Handle< SwaptionVolatilityStructurebaseVol_
 
const Handle< Quotespread_
 
const PeriodmaxSwapTenor () const override
 the largest length for which the term structure can return vols More...
 
VolatilityType volatilityType () const override
 volatility type More...
 
ext::shared_ptr< SmileSectionsmileSectionImpl (const Date &optionDate, const Period &swapTenor) const override
 
ext::shared_ptr< SmileSectionsmileSectionImpl (Time optionTime, Time swapLength) const override
 
Volatility volatilityImpl (const Date &optionDate, const Period &swapTenor, Rate strike) const override
 
Volatility volatilityImpl (Time optionTime, Time swapLength, Rate strike) const override
 
Real shiftImpl (Time optionTime, Time swapLength) const override
 

Additional Inherited Members

- Public Types inherited from Observer
typedef set_type::iterator iterator
 
- Protected Member Functions inherited from SwaptionVolatilityStructure
virtual Real shiftImpl (const Date &optionDate, const Period &swapTenor) const
 
void checkSwapTenor (const Period &swapTenor, bool extrapolate) const
 
void checkSwapTenor (Time swapLength, bool extrapolate) 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 35 of file spreadedswaptionvol.hpp.

Constructor & Destructor Documentation

◆ SpreadedSwaptionVolatility()

Definition at line 28 of file spreadedswaptionvol.cpp.

+ Here is the call graph for this function:

Member Function Documentation

◆ dayCounter()

DayCounter dayCounter ( ) const
overridevirtual

the day counter used for date/time conversion

Reimplemented from TermStructure.

Definition at line 77 of file spreadedswaptionvol.hpp.

◆ maxDate()

Date maxDate ( ) const
overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

Definition at line 81 of file spreadedswaptionvol.hpp.

◆ maxTime()

Time maxTime ( ) const
overridevirtual

the latest time for which the curve can return values

Reimplemented from TermStructure.

Definition at line 85 of file spreadedswaptionvol.hpp.

◆ referenceDate()

const Date & referenceDate ( ) const
overridevirtual

the date at which discount = 1.0 and/or variance = 0.0

Reimplemented from TermStructure.

Definition at line 89 of file spreadedswaptionvol.hpp.

◆ calendar()

Calendar calendar ( ) const
overridevirtual

the calendar used for reference and/or option date calculation

Reimplemented from TermStructure.

Definition at line 93 of file spreadedswaptionvol.hpp.

◆ settlementDays()

Natural settlementDays ( ) const
overridevirtual

the settlementDays used for reference date calculation

Reimplemented from TermStructure.

Definition at line 97 of file spreadedswaptionvol.hpp.

◆ minStrike()

Rate minStrike ( ) const
overridevirtual

the minimum strike for which the term structure can return vols

Implements VolatilityTermStructure.

Definition at line 101 of file spreadedswaptionvol.hpp.

◆ maxStrike()

Rate maxStrike ( ) const
overridevirtual

the maximum strike for which the term structure can return vols

Implements VolatilityTermStructure.

Definition at line 105 of file spreadedswaptionvol.hpp.

◆ maxSwapTenor()

const Period & maxSwapTenor ( ) const
overridevirtual

the largest length for which the term structure can return vols

Implements SwaptionVolatilityStructure.

Definition at line 109 of file spreadedswaptionvol.hpp.

◆ volatilityType()

VolatilityType volatilityType ( ) const
overridevirtual

volatility type

Reimplemented from SwaptionVolatilityStructure.

Definition at line 118 of file spreadedswaptionvol.hpp.

◆ smileSectionImpl() [1/2]

ext::shared_ptr< SmileSection > smileSectionImpl ( const Date optionDate,
const Period swapTenor 
) const
overrideprotectedvirtual

Reimplemented from SwaptionVolatilityStructure.

Definition at line 38 of file spreadedswaptionvol.cpp.

◆ smileSectionImpl() [2/2]

ext::shared_ptr< SmileSection > smileSectionImpl ( Time  optionTime,
Time  swapLength 
) const
overrideprotectedvirtual

Implements SwaptionVolatilityStructure.

Definition at line 47 of file spreadedswaptionvol.cpp.

+ Here is the call graph for this function:

◆ volatilityImpl() [1/2]

Volatility volatilityImpl ( const Date optionDate,
const Period swapTenor,
Rate  strike 
) const
overrideprotectedvirtual

Reimplemented from SwaptionVolatilityStructure.

Definition at line 55 of file spreadedswaptionvol.cpp.

◆ volatilityImpl() [2/2]

Volatility volatilityImpl ( Time  optionTime,
Time  swapLength,
Rate  strike 
) const
overrideprotectedvirtual

Implements SwaptionVolatilityStructure.

Definition at line 61 of file spreadedswaptionvol.cpp.

◆ shiftImpl()

Real shiftImpl ( Time  optionTime,
Time  swapLength 
) const
overrideprotectedvirtual

Reimplemented from SwaptionVolatilityStructure.

Definition at line 113 of file spreadedswaptionvol.hpp.

+ Here is the call graph for this function:

Member Data Documentation

◆ baseVol_

const Handle<SwaptionVolatilityStructure> baseVol_
private

Definition at line 73 of file spreadedswaptionvol.hpp.

◆ spread_

const Handle<Quote> spread_
private

Definition at line 74 of file spreadedswaptionvol.hpp.