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Public Member Functions | List of all members
BlackConstantVol Class Reference

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

#include <blackconstantvol.hpp>

+ Inheritance diagram for BlackConstantVol:
+ Collaboration diagram for BlackConstantVol:

Public Member Functions

 BlackConstantVol (const Date &referenceDate, const Calendar &, Volatility volatility, const DayCounter &dayCounter)
 
 BlackConstantVol (const Date &referenceDate, const Calendar &, Handle< Quote > volatility, const DayCounter &dayCounter)
 
 BlackConstantVol (Natural settlementDays, const Calendar &, Volatility volatility, const DayCounter &dayCounter)
 
 BlackConstantVol (Natural settlementDays, const Calendar &, Handle< Quote > volatility, const DayCounter &dayCounter)
 
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...
 
- Public Member Functions inherited from BlackVolatilityTermStructure
 BlackVolatilityTermStructure (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
 default constructor More...
 
 BlackVolatilityTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
 initialize with a fixed reference date More...
 
 BlackVolatilityTermStructure (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
 calculate the reference date based on the global evaluation date More...
 
void accept (AcyclicVisitor &) override
 
- Public Member Functions inherited from BlackVolTermStructure
 BlackVolTermStructure (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
 default constructor More...
 
 BlackVolTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
 initialize with a fixed reference date More...
 
 BlackVolTermStructure (Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
 calculate the reference date based on the global evaluation date More...
 
 ~BlackVolTermStructure () override=default
 
Volatility blackVol (const Date &maturity, Real strike, bool extrapolate=false) const
 spot volatility More...
 
Volatility blackVol (Time maturity, Real strike, bool extrapolate=false) const
 spot volatility More...
 
Real blackVariance (const Date &maturity, Real strike, bool extrapolate=false) const
 spot variance More...
 
Real blackVariance (Time maturity, Real strike, bool extrapolate=false) const
 spot variance More...
 
Volatility blackForwardVol (const Date &date1, const Date &date2, Real strike, bool extrapolate=false) const
 forward (at-the-money) volatility More...
 
Volatility blackForwardVol (Time time1, Time time2, Real strike, bool extrapolate=false) const
 forward (at-the-money) volatility More...
 
Real blackForwardVariance (const Date &date1, const Date &date2, Real strike, bool extrapolate=false) const
 forward (at-the-money) variance More...
 
Real blackForwardVariance (Time time1, Time time2, Real strike, bool extrapolate=false) const
 forward (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...
 
- 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...
 

Visitability

Handle< Quotevolatility_
 
void accept (AcyclicVisitor &) override
 
Volatility blackVolImpl (Time t, Real) const override
 Black volatility calculation. More...
 

Additional Inherited Members

- Public Types inherited from Observer
typedef set_type::iterator iterator
 
- Protected Member Functions inherited from BlackVolatilityTermStructure
Real blackVarianceImpl (Time maturity, Real strike) const override
 
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

Constant Black volatility, no time-strike dependence.

This class implements the BlackVolatilityTermStructure interface for a constant Black volatility (no time/strike dependence).

Definition at line 40 of file blackconstantvol.hpp.

Constructor & Destructor Documentation

◆ BlackConstantVol() [1/4]

BlackConstantVol ( const Date referenceDate,
const Calendar cal,
Volatility  volatility,
const DayCounter dayCounter 
)

Definition at line 81 of file blackconstantvol.hpp.

◆ BlackConstantVol() [2/4]

BlackConstantVol ( const Date referenceDate,
const Calendar cal,
Handle< Quote volatility,
const DayCounter dayCounter 
)

Definition at line 88 of file blackconstantvol.hpp.

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◆ BlackConstantVol() [3/4]

BlackConstantVol ( Natural  settlementDays,
const Calendar cal,
Volatility  volatility,
const DayCounter dayCounter 
)

Definition at line 97 of file blackconstantvol.hpp.

◆ BlackConstantVol() [4/4]

BlackConstantVol ( Natural  settlementDays,
const Calendar cal,
Handle< Quote volatility,
const DayCounter dayCounter 
)

Definition at line 104 of file blackconstantvol.hpp.

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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 113 of file blackconstantvol.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 117 of file blackconstantvol.hpp.

◆ maxStrike()

Real maxStrike ( ) const
overridevirtual

the maximum strike for which the term structure can return vols

Implements VolatilityTermStructure.

Definition at line 121 of file blackconstantvol.hpp.

◆ accept()

void accept ( AcyclicVisitor v)
overridevirtual

Reimplemented from BlackVolTermStructure.

Definition at line 125 of file blackconstantvol.hpp.

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◆ blackVolImpl()

Volatility blackVolImpl ( Time  t,
Real  strike 
) const
overrideprotectedvirtual

Black volatility calculation.

Implements BlackVolTermStructure.

Definition at line 133 of file blackconstantvol.hpp.

Member Data Documentation

◆ volatility_

Handle<Quote> volatility_
private

Definition at line 75 of file blackconstantvol.hpp.