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Public Member Functions | List of all members
ConstantSwaptionVolatility Class Reference

Constant swaption volatility, no time-strike dependence. More...

#include <swaptionconstantvol.hpp>

+ Inheritance diagram for ConstantSwaptionVolatility:
+ Collaboration diagram for ConstantSwaptionVolatility:

Public Member Functions

 ConstantSwaptionVolatility (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, Handle< Quote > volatility, const DayCounter &dc, VolatilityType type=ShiftedLognormal, Real shift=0.0)
 floating reference date, floating market data More...
 
 ConstantSwaptionVolatility (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, Handle< Quote > volatility, const DayCounter &dc, VolatilityType type=ShiftedLognormal, Real shift=0.0)
 fixed reference date, floating market data More...
 
 ConstantSwaptionVolatility (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, Volatility volatility, const DayCounter &dc, VolatilityType type=ShiftedLognormal, Real shift=0.0)
 floating reference date, fixed market data More...
 
 ConstantSwaptionVolatility (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, Volatility volatility, const DayCounter &dc, VolatilityType type=ShiftedLognormal, Real shift=0.0)
 fixed reference date, fixed market data More...
 
TermStructure interface
Date maxDate () const override
 the latest date for which the curve can return values More...
 
VolatilityTermStructure interface
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...
 
- 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
 
virtual DayCounter dayCounter () const
 the day counter used for date/time conversion More...
 
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 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...
 

SwaptionVolatilityStructure interface

Handle< Quotevolatility_
 
Period maxSwapTenor_
 
VolatilityType volatilityType_
 
Real shift_
 
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 &, const Period &) const override
 
ext::shared_ptr< SmileSectionsmileSectionImpl (Time, Time) const override
 
Volatility volatilityImpl (const Date &, const Period &, Rate) const override
 
Volatility volatilityImpl (Time, Time, Rate) 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

Constant swaption volatility, no time-strike dependence.

Definition at line 37 of file swaptionconstantvol.hpp.

Constructor & Destructor Documentation

◆ ConstantSwaptionVolatility() [1/4]

ConstantSwaptionVolatility ( Natural  settlementDays,
const Calendar cal,
BusinessDayConvention  bdc,
Handle< Quote volatility,
const DayCounter dc,
VolatilityType  type = ShiftedLognormal,
Real  shift = 0.0 
)

floating reference date, floating market data

Definition at line 30 of file swaptionconstantvol.cpp.

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◆ ConstantSwaptionVolatility() [2/4]

ConstantSwaptionVolatility ( const Date referenceDate,
const Calendar cal,
BusinessDayConvention  bdc,
Handle< Quote volatility,
const DayCounter dc,
VolatilityType  type = ShiftedLognormal,
Real  shift = 0.0 
)

fixed reference date, floating market data

Definition at line 43 of file swaptionconstantvol.cpp.

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◆ ConstantSwaptionVolatility() [3/4]

ConstantSwaptionVolatility ( Natural  settlementDays,
const Calendar cal,
BusinessDayConvention  bdc,
Volatility  volatility,
const DayCounter dc,
VolatilityType  type = ShiftedLognormal,
Real  shift = 0.0 
)

floating reference date, fixed market data

Definition at line 56 of file swaptionconstantvol.cpp.

◆ ConstantSwaptionVolatility() [4/4]

ConstantSwaptionVolatility ( const Date referenceDate,
const Calendar cal,
BusinessDayConvention  bdc,
Volatility  volatility,
const DayCounter dc,
VolatilityType  type = ShiftedLognormal,
Real  shift = 0.0 
)

fixed reference date, fixed market data

Definition at line 69 of file swaptionconstantvol.cpp.

Member Function Documentation

◆ maxDate()

Date maxDate ( ) const
overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

Definition at line 104 of file swaptionconstantvol.hpp.

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◆ minStrike()

Real minStrike ( ) const
overridevirtual

the minimum strike for which the term structure can return vols

Implements VolatilityTermStructure.

Definition at line 108 of file swaptionconstantvol.hpp.

◆ maxStrike()

Real maxStrike ( ) const
overridevirtual

the maximum strike for which the term structure can return vols

Implements VolatilityTermStructure.

Definition at line 112 of file swaptionconstantvol.hpp.

◆ maxSwapTenor()

const Period & maxSwapTenor ( ) const
overridevirtual

the largest length for which the term structure can return vols

Implements SwaptionVolatilityStructure.

Definition at line 116 of file swaptionconstantvol.hpp.

◆ volatilityType()

VolatilityType volatilityType ( ) const
overridevirtual

volatility type

Reimplemented from SwaptionVolatilityStructure.

Definition at line 120 of file swaptionconstantvol.hpp.

◆ smileSectionImpl() [1/2]

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

Reimplemented from SwaptionVolatilityStructure.

Definition at line 82 of file swaptionconstantvol.cpp.

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◆ smileSectionImpl() [2/2]

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

Implements SwaptionVolatilityStructure.

Definition at line 91 of file swaptionconstantvol.cpp.

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◆ volatilityImpl() [1/2]

Volatility volatilityImpl ( const Date ,
const Period ,
Rate   
) const
overrideprotectedvirtual

Reimplemented from SwaptionVolatilityStructure.

Definition at line 99 of file swaptionconstantvol.cpp.

◆ volatilityImpl() [2/2]

Volatility volatilityImpl ( Time  ,
Time  ,
Rate   
) const
overrideprotectedvirtual

Implements SwaptionVolatilityStructure.

Definition at line 105 of file swaptionconstantvol.cpp.

◆ shiftImpl()

Real shiftImpl ( Time  optionTime,
Time  swapLength 
) const
overrideprotectedvirtual

Reimplemented from SwaptionVolatilityStructure.

Definition at line 124 of file swaptionconstantvol.hpp.

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Member Data Documentation

◆ volatility_

Handle<Quote> volatility_
private

Definition at line 95 of file swaptionconstantvol.hpp.

◆ maxSwapTenor_

Period maxSwapTenor_
private

Definition at line 96 of file swaptionconstantvol.hpp.

◆ volatilityType_

VolatilityType volatilityType_
private

Definition at line 97 of file swaptionconstantvol.hpp.

◆ shift_

Real shift_
private

Definition at line 98 of file swaptionconstantvol.hpp.