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Public Member Functions | List of all members
ConstantCapFloorTermVolatility Class Reference

Constant caplet volatility, no time-strike dependence. More...

#include <ql/termstructures/volatility/capfloor/constantcapfloortermvol.hpp>

+ Inheritance diagram for ConstantCapFloorTermVolatility:
+ Collaboration diagram for ConstantCapFloorTermVolatility:

Public Member Functions

 ConstantCapFloorTermVolatility (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, Handle< Quote > volatility, const DayCounter &dc)
 floating reference date, floating market data More...
 
 ConstantCapFloorTermVolatility (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, Handle< Quote > volatility, const DayCounter &dc)
 fixed reference date, floating market data More...
 
 ConstantCapFloorTermVolatility (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, Volatility volatility, const DayCounter &dc)
 floating reference date, fixed market data More...
 
 ConstantCapFloorTermVolatility (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, Volatility volatility, const DayCounter &dc)
 fixed reference date, fixed market data More...
 
TermStructure interface
Date maxDate () const override
 the latest date for which the curve can return values More...
 
- 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 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...
 

VolatilityTermStructure interface

Handle< Quotevolatility_
 
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...
 
Volatility volatilityImpl (Time, Rate) const override
 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 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 TermStructure
bool moving_ = false
 
bool updated_ = true
 
Calendar calendar_
 

Detailed Description

Constant caplet volatility, no time-strike dependence.

Definition at line 34 of file constantcapfloortermvol.hpp.

Constructor & Destructor Documentation

◆ ConstantCapFloorTermVolatility() [1/4]

ConstantCapFloorTermVolatility ( Natural  settlementDays,
const Calendar cal,
BusinessDayConvention  bdc,
Handle< Quote volatility,
const DayCounter dc 
)

floating reference date, floating market data

Definition at line 27 of file constantcapfloortermvol.cpp.

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◆ ConstantCapFloorTermVolatility() [2/4]

ConstantCapFloorTermVolatility ( const Date referenceDate,
const Calendar cal,
BusinessDayConvention  bdc,
Handle< Quote volatility,
const DayCounter dc 
)

fixed reference date, floating market data

Definition at line 37 of file constantcapfloortermvol.cpp.

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◆ ConstantCapFloorTermVolatility() [3/4]

ConstantCapFloorTermVolatility ( Natural  settlementDays,
const Calendar cal,
BusinessDayConvention  bdc,
Volatility  volatility,
const DayCounter dc 
)

floating reference date, fixed market data

Definition at line 47 of file constantcapfloortermvol.cpp.

◆ ConstantCapFloorTermVolatility() [4/4]

ConstantCapFloorTermVolatility ( const Date referenceDate,
const Calendar cal,
BusinessDayConvention  bdc,
Volatility  volatility,
const DayCounter dc 
)

fixed reference date, fixed market data

Definition at line 57 of file constantcapfloortermvol.cpp.

Member Function Documentation

◆ maxDate()

Date maxDate ( ) const
overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

Definition at line 79 of file constantcapfloortermvol.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 83 of file constantcapfloortermvol.hpp.

◆ maxStrike()

Real maxStrike ( ) const
overridevirtual

the maximum strike for which the term structure can return vols

Implements VolatilityTermStructure.

Definition at line 87 of file constantcapfloortermvol.hpp.

◆ volatilityImpl()

Volatility volatilityImpl ( Time  length,
Rate  strike 
) const
overrideprotectedvirtual

implements the actual volatility calculation in derived classes

Implements CapFloorTermVolatilityStructure.

Definition at line 66 of file constantcapfloortermvol.cpp.

Member Data Documentation

◆ volatility_

Handle<Quote> volatility_
private

Definition at line 73 of file constantcapfloortermvol.hpp.