Optionlet (caplet/floorlet) volatility structure. More...

#include <optionletvolatilitystructure.hpp>

Inheritance diagram for OptionletVolatilityStructure:

Collaboration diagram for OptionletVolatilityStructure:

Public Member Functions
Constructors
See the TermStructure documentation for issues regarding constructors.
	OptionletVolatilityStructure (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
	default constructor More...

	OptionletVolatilityStructure (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
	initialize with a fixed reference date More...

	OptionletVolatilityStructure (Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
	calculate the reference date based on the global evaluation date More...

	~OptionletVolatilityStructure () 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 ()

	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 and Variance
Volatility	volatility (const Period &optionTenor, Rate strike, bool extrapolate=false) const
	returns the volatility for a given option tenor and strike rate More...

Volatility	volatility (const Date &optionDate, Rate strike, bool extrapolate=false) const
	returns the volatility for a given option date and strike rate More...

Volatility	volatility (Time optionTime, Rate strike, bool extrapolate=false) const
	returns the volatility for a given option time and strike rate More...

Real	blackVariance (const Period &optionTenor, Rate strike, bool extrapolate=false) const
	returns the Black variance for a given option tenor and strike rate More...

Real	blackVariance (const Date &optionDate, Rate strike, bool extrapolate=false) const
	returns the Black variance for a given option date and strike rate More...

Real	blackVariance (Time optionTime, Rate strike, bool extrapolate=false) const
	returns the Black variance for a given option time and strike rate More...

ext::shared_ptr< SmileSection >	smileSection (const Period &optionTenor, bool extr=false) const
	returns the smile for a given option tenor More...

ext::shared_ptr< SmileSection >	smileSection (const Date &optionDate, bool extr=false) const
	returns the smile for a given option date More...

ext::shared_ptr< SmileSection >	smileSection (Time optionTime, bool extr=false) const
	returns the smile for a given option time More...

virtual VolatilityType	volatilityType () const

virtual Real	displacement () const

virtual ext::shared_ptr< SmileSection >	smileSectionImpl (const Date &optionDate) const

virtual ext::shared_ptr< SmileSection >	smileSectionImpl (Time optionTime) const =0
	implements the actual smile calculation in derived classes More...

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

virtual Volatility	volatilityImpl (Time optionTime, 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_