CapFloorTermVolatilityStructure Class Reference

Cap/floor term-volatility structure. More...

#include <capfloortermvolatilitystructure.hpp>

Inheritance diagram for CapFloorTermVolatilityStructure:

Collaboration diagram for CapFloorTermVolatilityStructure:

Public Member Functions
Constructors
See the TermStructure documentation for issues regarding constructors.
	CapFloorTermVolatilityStructure (BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
	CapFloorTermVolatilityStructure (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
	initialize with a fixed reference date More...
	CapFloorTermVolatilityStructure (Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
	calculate the reference date based on the global evaluation date More...
	~CapFloorTermVolatilityStructure () override=default
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...
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...
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 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 ()=default
	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...

Volatility
Volatility	volatility (const Period &length, Rate strike, bool extrapolate=false) const
	returns the volatility for a given cap/floor length and strike rate More...
Volatility	volatility (const Date &end, Rate strike, bool extrapolate=false) const
Volatility	volatility (Time t, Rate strike, bool extrapolate=false) const
	returns the volatility for a given end time and strike rate More...
virtual Volatility	volatilityImpl (Time length, Rate strike) const =0
	implements the actual volatility calculation in derived classes More...

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

Cap/floor term-volatility structure.

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

Definition at line 36 of file capfloortermvolatilitystructure.hpp.

Constructor & Destructor Documentation

CapFloorTermVolatilityStructure() [1/3]

CapFloorTermVolatilityStructure	(	BusinessDayConvention	bdc,
		const DayCounter &	dc = DayCounter()
	)

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 capfloortermvolatilitystructure.cpp.

CapFloorTermVolatilityStructure() [2/3]

CapFloorTermVolatilityStructure	(	const Date &	referenceDate,
		const Calendar &	cal,
		BusinessDayConvention	bdc,
		const DayCounter &	dc = DayCounter()
	)

initialize with a fixed reference date

Definition at line 30 of file capfloortermvolatilitystructure.cpp.

CapFloorTermVolatilityStructure() [3/3]

CapFloorTermVolatilityStructure	(	Natural	settlementDays,
		const Calendar &	cal,
		BusinessDayConvention	bdc,
		const DayCounter &	dc = DayCounter()
	)

calculate the reference date based on the global evaluation date

Definition at line 37 of file capfloortermvolatilitystructure.cpp.

~CapFloorTermVolatilityStructure()

~CapFloorTermVolatilityStructure ( )

overridedefault

Member Function Documentation

volatility() [1/3]

Volatility volatility	(	const Period &	length,
		Rate	strike,
		bool	extrapolate = false
	)		const

returns the volatility for a given cap/floor length and strike rate

Definition at line 84 of file capfloortermvolatilitystructure.hpp.

Here is the call graph for this function:

Here is the caller graph for this function:

volatility() [2/3]

Volatility volatility	(	const Date &	end,
		Rate	strike,
		bool	extrapolate = false
	)		const

Definition at line 92 of file capfloortermvolatilitystructure.hpp.

Here is the call graph for this function:

volatility() [3/3]

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

returns the volatility for a given end time and strike rate

Definition at line 101 of file capfloortermvolatilitystructure.hpp.

Here is the call graph for this function:

volatilityImpl()

virtual Volatility volatilityImpl ( Time  length, Rate  strike  ) const

protectedpure virtual

implements the actual volatility calculation in derived classes

Implemented in CapFloorTermVolCurve, CapFloorTermVolSurface, and ConstantCapFloorTermVolatility.

Here is the caller graph for this function: