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

#include <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 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...

VolatilityTermStructure interface
Handle< Quote >	volatility_

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.

Here is the call graph for this function:

◆ 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.

Here is the call graph for this function:

◆ 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
	)