#include <ql/experimental/basismodels/tenorswaptionvts.hpp>

Inheritance diagram for TenorSwaptionVTS:

Collaboration diagram for TenorSwaptionVTS:

Classes
class	TenorSwaptionSmileSection

Public Member Functions
	TenorSwaptionVTS (const Handle< SwaptionVolatilityStructure > &baseVTS, Handle< YieldTermStructure > discountCurve, ext::shared_ptr< IborIndex > baseIndex, ext::shared_ptr< IborIndex > targIndex, const Period &baseFixedFreq, const Period &targFixedFreq, DayCounter baseFixedDC, DayCounter targFixedDC)

Date	maxDate () const override
	the latest date for which the curve can return values More...

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...

const Period &	maxSwapTenor () const override
	the largest length for which the term structure can return vols More...

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

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

VolatilityType	volatilityType () const override
	volatility type 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...

Protected Attributes
Handle< SwaptionVolatilityStructure >	baseVTS_

Handle< YieldTermStructure >	discountCurve_

ext::shared_ptr< IborIndex >	baseIndex_

ext::shared_ptr< IborIndex >	targIndex_

Period	baseFixedFreq_

Period	targFixedFreq_

DayCounter	baseFixedDC_

DayCounter	targFixedDC_

Protected Attributes inherited from TermStructure
bool	moving_ = false

bool	updated_ = true

Calendar	calendar_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Protected Member Functions inherited from SwaptionVolatilityStructure
virtual ext::shared_ptr< SmileSection >	smileSectionImpl (const Date &optionDate, const Period &swapTenor) const

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

virtual Real	shiftImpl (const Date &optionDate, const Period &swapTenor) const

virtual Real	shiftImpl (Time optionTime, Time swapLength) 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...

Detailed Description

Definition at line 37 of file tenorswaptionvts.hpp.

Constructor & Destructor Documentation

◆ TenorSwaptionVTS()

TenorSwaptionVTS	(	const Handle< SwaptionVolatilityStructure > &	baseVTS,
		Handle< YieldTermStructure >	discountCurve,
		ext::shared_ptr< IborIndex >	baseIndex,
		ext::shared_ptr< IborIndex >	targIndex,
		const Period &	baseFixedFreq,
		const Period &	targFixedFreq,
		DayCounter	baseFixedDC,
		DayCounter	targFixedDC
	)

Definition at line 78 of file tenorswaptionvts.hpp.

Member Function Documentation

◆ maxDate()

Date maxDate ( ) const

overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

Definition at line 98 of file tenorswaptionvts.hpp.

◆ minStrike()

Rate minStrike ( ) const

overridevirtual

the minimum strike for which the term structure can return vols

Implements VolatilityTermStructure.

Definition at line 103 of file tenorswaptionvts.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 tenorswaptionvts.hpp.

◆ maxSwapTenor()

const Period & maxSwapTenor ( ) const

overridevirtual

the largest length for which the term structure can return vols

Implements SwaptionVolatilityStructure.

Definition at line 111 of file tenorswaptionvts.hpp.

◆ smileSectionImpl()

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

overridevirtual

Implements SwaptionVolatilityStructure.

Definition at line 113 of file tenorswaptionvts.hpp.

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◆ volatilityImpl()

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

overridevirtual

Implements SwaptionVolatilityStructure.

Definition at line 119 of file tenorswaptionvts.hpp.

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◆ volatilityType()

VolatilityType volatilityType ( ) const

overridevirtual

volatility type

Reimplemented from SwaptionVolatilityStructure.

Definition at line 124 of file tenorswaptionvts.hpp.

Member Data Documentation

◆ baseVTS_

Handle<SwaptionVolatilityStructure> baseVTS_

protected

Definition at line 66 of file tenorswaptionvts.hpp.

◆ discountCurve_

Handle<YieldTermStructure> discountCurve_

protected

Definition at line 67 of file tenorswaptionvts.hpp.

◆ baseIndex_

ext::shared_ptr<IborIndex> baseIndex_

protected

Definition at line 69 of file tenorswaptionvts.hpp.

◆ targIndex_

ext::shared_ptr<IborIndex> targIndex_

protected

Definition at line 70 of file tenorswaptionvts.hpp.

◆ baseFixedFreq_

Period baseFixedFreq_

protected

Definition at line 71 of file tenorswaptionvts.hpp.

◆ targFixedFreq_

Period targFixedFreq_

protected

Definition at line 72 of file tenorswaptionvts.hpp.

◆ baseFixedDC_

DayCounter baseFixedDC_

protected

Definition at line 73 of file tenorswaptionvts.hpp.

◆ targFixedDC_

DayCounter targFixedDC_

protected

Definition at line 74 of file tenorswaptionvts.hpp.

Classes

Public Member Functions

Protected Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ TenorSwaptionVTS()

Member Function Documentation

◆ maxDate()

◆ minStrike()

◆ maxStrike()

◆ maxSwapTenor()

◆ smileSectionImpl()

◆ volatilityImpl()

◆ volatilityType()

Member Data Documentation

◆ baseVTS_

◆ discountCurve_

◆ baseIndex_

◆ targIndex_

◆ baseFixedFreq_

◆ targFixedFreq_

◆ baseFixedDC_

◆ targFixedDC_