Cap/floor smile volatility surface. More...

#include <capfloortermvolsurface.hpp>

Inheritance diagram for CapFloorTermVolSurface:

Collaboration diagram for CapFloorTermVolSurface:

Public Member Functions
	CapFloorTermVolSurface (Natural settlementDays, const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Rate > &strikes, const std::vector< std::vector< Handle< Quote > > > &, const DayCounter &dc=Actual365Fixed())
	floating reference date, floating market data More...

	CapFloorTermVolSurface (const Date &settlementDate, const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Rate > &strikes, const std::vector< std::vector< Handle< Quote > > > &, const DayCounter &dc=Actual365Fixed())
	fixed reference date, floating market data More...

	CapFloorTermVolSurface (const Date &settlementDate, const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Rate > &strikes, const Matrix &volatilities, const DayCounter &dc=Actual365Fixed())
	fixed reference date, fixed market data More...

	CapFloorTermVolSurface (Natural settlementDays, const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Rate > &strikes, const Matrix &volatilities, const DayCounter &dc=Actual365Fixed())
	floating 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...

LazyObject interface
void	update () override

void	performCalculations () const override

Public Member Functions inherited from LazyObject
	LazyObject ()

	~LazyObject () override=default

bool	isCalculated () const

void	forwardFirstNotificationOnly ()

void	alwaysForwardNotifications ()

void	recalculate ()

void	freeze ()

void	unfreeze ()

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 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 CapFloorTermVolatilityStructure
	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

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...

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...

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...

some inspectors
Size	nOptionTenors_

std::vector< Period >	optionTenors_

std::vector< Date >	optionDates_

std::vector< Time >	optionTimes_

Date	evaluationDate_

Size	nStrikes_

std::vector< Rate >	strikes_

std::vector< std::vector< Handle< Quote > > >	volHandles_

Matrix	vols_

Interpolation2D	interpolation_

const std::vector< Period > &	optionTenors () const

const std::vector< Date > &	optionDates () const

const std::vector< Time > &	optionTimes () const

const std::vector< Rate > &	strikes () const

Volatility	volatilityImpl (Time t, Rate strike) const override
	implements the actual volatility calculation in derived classes More...

void	checkInputs () const

void	initializeOptionDatesAndTimes () const

void	registerWithMarketData ()

void	interpolate ()

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

Protected Member Functions inherited from LazyObject
virtual void	calculate () const

Protected Member Functions inherited from CapFloorTermVolatilityStructure
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 LazyObject
bool	calculated_ = false

bool	frozen_ = false

bool	alwaysForward_

Protected Attributes inherited from TermStructure
bool	moving_ = false

bool	updated_ = true

Calendar	calendar_

Detailed Description

Cap/floor smile volatility surface.

This class provides the volatility for a given cap/floor interpolating a volatility surface whose elements are the market term volatilities of a set of caps/floors with given length and given strike.

Definition at line 42 of file capfloortermvolsurface.hpp.

Constructor & Destructor Documentation

◆ CapFloorTermVolSurface() [1/4]

CapFloorTermVolSurface	(	Natural	settlementDays,
		const Calendar &	calendar,
		BusinessDayConvention	bdc,
		const std::vector< Period > &	optionTenors,
		const std::vector< Rate > &	strikes,
		const std::vector< std::vector< Handle< Quote > > > &	vols,
		const DayCounter &	dc = `Actual365Fixed()`
	)

floating reference date, floating market data

Definition at line 29 of file capfloortermvolsurface.cpp.

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◆ CapFloorTermVolSurface() [2/4]

CapFloorTermVolSurface	(	const Date &	settlementDate,
		const Calendar &	calendar,
		BusinessDayConvention	bdc,
		const std::vector< Period > &	optionTenors,
		const std::vector< Rate > &	strikes,
		const std::vector< std::vector< Handle< Quote > > > &	vols,
		const DayCounter &	dc = `Actual365Fixed()`
	)

fixed reference date, floating market data

Definition at line 61 of file capfloortermvolsurface.cpp.

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◆ CapFloorTermVolSurface() [3/4]

CapFloorTermVolSurface	(	const Date &	settlementDate,
		const Calendar &	calendar,
		BusinessDayConvention	bdc,
		const std::vector< Period > &	optionTenors,
		const std::vector< Rate > &	strikes,
		const Matrix &	volatilities,
		const DayCounter &	dc = `Actual365Fixed()`
	)

fixed reference date, fixed market data

Definition at line 93 of file capfloortermvolsurface.cpp.

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◆ CapFloorTermVolSurface() [4/4]

CapFloorTermVolSurface	(	Natural	settlementDays,
		const Calendar &	calendar,
		BusinessDayConvention	bdc,
		const std::vector< Period > &	optionTenors,
		const std::vector< Rate > &	strikes,
		const Matrix &	volatilities,
		const DayCounter &	dc = `Actual365Fixed()`
	)

floating reference date, fixed market data

Definition at line 124 of file capfloortermvolsurface.cpp.

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Member Function Documentation

◆ maxDate()

Date maxDate ( ) const

overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

Definition at line 125 of file capfloortermvolsurface.hpp.

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◆ minStrike()

Real minStrike ( ) const

overridevirtual

the minimum strike for which the term structure can return vols

Implements VolatilityTermStructure.

Definition at line 130 of file capfloortermvolsurface.hpp.

◆ maxStrike()

Real maxStrike ( ) const

overridevirtual

the maximum strike for which the term structure can return vols

Implements VolatilityTermStructure.

Definition at line 134 of file capfloortermvolsurface.hpp.

◆ update()

void update ( )

overridevirtual

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Reimplemented from LazyObject.

Definition at line 195 of file capfloortermvolsurface.cpp.

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