QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Constant swaption volatility, no time-strike dependence. More...
#include <swaptionconstantvol.hpp>
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< SmileSection > | smileSection (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< SmileSection > | smileSection (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< SmileSection > | smileSection (Time optionTime, const Period &swapTenor, bool extr=false) const |
returns the smile for a given option time and swap tenor More... | |
ext::shared_ptr< SmileSection > | smileSection (const Period &optionTenor, Time swapLength, bool extr=false) const |
returns the smile for a given option tenor and swap length More... | |
ext::shared_ptr< SmileSection > | smileSection (const Date &optionDate, Time swapLength, bool extr=false) const |
returns the smile for a given option date and swap length More... | |
ext::shared_ptr< SmileSection > | smileSection (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 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... | |
SwaptionVolatilityStructure interface | |
Handle< Quote > | volatility_ |
Period | maxSwapTenor_ |
VolatilityType | volatilityType_ |
Real | shift_ |
const Period & | maxSwapTenor () const override |
the largest length for which the term structure can return vols More... | |
VolatilityType | volatilityType () const override |
volatility type More... | |
ext::shared_ptr< SmileSection > | smileSectionImpl (const Date &, const Period &) const override |
ext::shared_ptr< SmileSection > | smileSectionImpl (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_ |
Constant swaption volatility, no time-strike dependence.
Definition at line 37 of file swaptionconstantvol.hpp.
ConstantSwaptionVolatility | ( | Natural | settlementDays, |
const Calendar & | cal, | ||
BusinessDayConvention | bdc, | ||
Handle< Quote > | volatility, | ||
const DayCounter & | dc, | ||
VolatilityType | type = ShiftedLognormal , |
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Real | shift = 0.0 |
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) |
floating reference date, floating market data
Definition at line 30 of file swaptionconstantvol.cpp.
ConstantSwaptionVolatility | ( | const Date & | referenceDate, |
const Calendar & | cal, | ||
BusinessDayConvention | bdc, | ||
Handle< Quote > | volatility, | ||
const DayCounter & | dc, | ||
VolatilityType | type = ShiftedLognormal , |
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Real | shift = 0.0 |
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) |
fixed reference date, floating market data
Definition at line 43 of file swaptionconstantvol.cpp.
ConstantSwaptionVolatility | ( | Natural | settlementDays, |
const Calendar & | cal, | ||
BusinessDayConvention | bdc, | ||
Volatility | volatility, | ||
const DayCounter & | dc, | ||
VolatilityType | type = ShiftedLognormal , |
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Real | shift = 0.0 |
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) |
floating reference date, fixed market data
Definition at line 56 of file swaptionconstantvol.cpp.
ConstantSwaptionVolatility | ( | const Date & | referenceDate, |
const Calendar & | cal, | ||
BusinessDayConvention | bdc, | ||
Volatility | volatility, | ||
const DayCounter & | dc, | ||
VolatilityType | type = ShiftedLognormal , |
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Real | shift = 0.0 |
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) |
fixed reference date, fixed market data
Definition at line 69 of file swaptionconstantvol.cpp.
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the latest date for which the curve can return values
Implements TermStructure.
Definition at line 104 of file swaptionconstantvol.hpp.
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overridevirtual |
the minimum strike for which the term structure can return vols
Implements VolatilityTermStructure.
Definition at line 108 of file swaptionconstantvol.hpp.
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overridevirtual |
the maximum strike for which the term structure can return vols
Implements VolatilityTermStructure.
Definition at line 112 of file swaptionconstantvol.hpp.
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overridevirtual |
the largest length for which the term structure can return vols
Implements SwaptionVolatilityStructure.
Definition at line 116 of file swaptionconstantvol.hpp.
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overridevirtual |
volatility type
Reimplemented from SwaptionVolatilityStructure.
Definition at line 120 of file swaptionconstantvol.hpp.
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overrideprotectedvirtual |
Reimplemented from SwaptionVolatilityStructure.
Definition at line 82 of file swaptionconstantvol.cpp.
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overrideprotectedvirtual |
Implements SwaptionVolatilityStructure.
Definition at line 91 of file swaptionconstantvol.cpp.
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overrideprotectedvirtual |
Reimplemented from SwaptionVolatilityStructure.
Definition at line 99 of file swaptionconstantvol.cpp.
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overrideprotectedvirtual |
Implements SwaptionVolatilityStructure.
Definition at line 105 of file swaptionconstantvol.cpp.
Reimplemented from SwaptionVolatilityStructure.
Definition at line 124 of file swaptionconstantvol.hpp.
Definition at line 95 of file swaptionconstantvol.hpp.
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private |
Definition at line 96 of file swaptionconstantvol.hpp.
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private |
Definition at line 97 of file swaptionconstantvol.hpp.
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private |
Definition at line 98 of file swaptionconstantvol.hpp.