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fully annotated source code - version 1.34
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InterestRateVolSurface Class Reference

Interest rate volatility (smile) surface. More...

#include <interestratevolsurface.hpp>

+ Inheritance diagram for InterestRateVolSurface:
+ Collaboration diagram for InterestRateVolSurface:

Public Member Functions

Constructors

See the TermStructure documentation for issues regarding constructors.

 InterestRateVolSurface (ext::shared_ptr< InterestRateIndex >, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
 
 InterestRateVolSurface (ext::shared_ptr< InterestRateIndex >, const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
 initialize with a fixed reference date More...
 
 InterestRateVolSurface (ext::shared_ptr< InterestRateIndex >, Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
 calculate the reference date based on the global evaluation date More...
 
VolatilityTermStructure interface
Date optionDateFromTenor (const Period &) const
 period/date conversion More...
 
const ext::shared_ptr< InterestRateIndex > & index () const
 
- Public Member Functions inherited from BlackVolSurface
 BlackVolSurface (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
 default constructor More...
 
 BlackVolSurface (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
 initialize with a fixed reference date More...
 
 BlackVolSurface (Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
 calculate the reference date based on the global evaluation date More...
 
ext::shared_ptr< SmileSectionsmileSection (const Period &, bool extrapolate) const
 returns the smile for a given option tenor More...
 
ext::shared_ptr< SmileSectionsmileSection (const Date &, bool extrapolate) const
 returns the smile for a given option date More...
 
ext::shared_ptr< SmileSectionsmileSection (Time, bool extrapolate) const
 returns the smile for a given option time More...
 
- Public Member Functions inherited from BlackAtmVolCurve
 BlackAtmVolCurve (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
 default constructor More...
 
 BlackAtmVolCurve (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
 initialize with a fixed reference date More...
 
 BlackAtmVolCurve (Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
 calculate the reference date based on the global evaluation date More...
 
 ~BlackAtmVolCurve () override=default
 
Volatility atmVol (const Period &optionTenor, bool extrapolate=false) const
 spot at-the-money volatility More...
 
Volatility atmVol (const Date &maturity, bool extrapolate=false) const
 spot at-the-money volatility More...
 
Volatility atmVol (Time maturity, bool extrapolate=false) const
 spot at-the-money volatility More...
 
Real atmVariance (const Period &optionTenor, bool extrapolate=false) const
 spot at-the-money variance More...
 
Real atmVariance (const Date &maturity, bool extrapolate=false) const
 spot at-the-money variance More...
 
Real atmVariance (Time maturity, bool extrapolate=false) const
 spot at-the-money variance 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...
 
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...
 

Visitability

ext::shared_ptr< InterestRateIndexindex_
 
void accept (AcyclicVisitor &) override
 

Additional Inherited Members

- Public Types inherited from Observer
typedef set_type::iterator iterator
 
- Protected Member Functions inherited from BlackVolSurface
Real atmVarianceImpl (Time t) const override
 spot at-the-money variance calculation More...
 
Volatility atmVolImpl (Time t) const override
 spot at-the-money volatility calculation More...
 
virtual ext::shared_ptr< SmileSectionsmileSectionImpl (Time) const =0
 
Calculations

These methods must be implemented in derived classes to perform the actual volatility calculations. When they are called, range check has already been performed; therefore, they must assume that extrapolation is required.

- 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

Interest rate volatility (smile) surface.

This abstract class defines the interface of concrete Interest rate volatility (smile) surfaces which will be derived from this one.

Volatilities are assumed to be expressed on an annual basis.

Definition at line 39 of file interestratevolsurface.hpp.

Constructor & Destructor Documentation

◆ InterestRateVolSurface() [1/3]

InterestRateVolSurface ( ext::shared_ptr< InterestRateIndex index,
BusinessDayConvention  bdc = Following,
const DayCounter dc = DayCounter() 
)
explicit
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 interestratevolsurface.cpp.

◆ InterestRateVolSurface() [2/3]

InterestRateVolSurface ( ext::shared_ptr< InterestRateIndex index,
const Date referenceDate,
const Calendar cal = Calendar(),
BusinessDayConvention  bdc = Following,
const DayCounter dc = DayCounter() 
)

initialize with a fixed reference date

Definition at line 30 of file interestratevolsurface.cpp.

◆ InterestRateVolSurface() [3/3]

InterestRateVolSurface ( ext::shared_ptr< InterestRateIndex index,
Natural  settlementDays,
const Calendar cal,
BusinessDayConvention  bdc = Following,
const DayCounter dc = DayCounter() 
)

calculate the reference date based on the global evaluation date

Definition at line 37 of file interestratevolsurface.cpp.

Member Function Documentation

◆ optionDateFromTenor()

Date optionDateFromTenor ( const Period p) const

period/date conversion

Definition at line 44 of file interestratevolsurface.cpp.

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◆ index()

const ext::shared_ptr< InterestRateIndex > & index ( ) const

Definition at line 84 of file interestratevolsurface.hpp.

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◆ accept()

void accept ( AcyclicVisitor v)
overridevirtual

Reimplemented from BlackVolSurface.

Reimplemented in SabrVolSurface.

Definition at line 53 of file interestratevolsurface.cpp.

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Member Data Documentation

◆ index_

ext::shared_ptr<InterestRateIndex> index_
protected

Definition at line 77 of file interestratevolsurface.hpp.