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CapFloorTermVolatilityStructure Class Referenceabstract

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

#include <ql/termstructures/volatility/capfloor/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 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...
 

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]

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.

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◆ volatility() [2/3]

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

Definition at line 92 of file capfloortermvolatilitystructure.hpp.

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◆ 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.

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◆ 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.

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