QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Constant Black volatility, no time-strike dependence. More...
#include <blackconstantvol.hpp>
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 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... | |
Visitability | |
Handle< Quote > | volatility_ |
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_ |
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.
BlackConstantVol | ( | const Date & | referenceDate, |
const Calendar & | cal, | ||
Volatility | volatility, | ||
const DayCounter & | dayCounter | ||
) |
Definition at line 81 of file blackconstantvol.hpp.
BlackConstantVol | ( | const Date & | referenceDate, |
const Calendar & | cal, | ||
Handle< Quote > | volatility, | ||
const DayCounter & | dayCounter | ||
) |
BlackConstantVol | ( | Natural | settlementDays, |
const Calendar & | cal, | ||
Volatility | volatility, | ||
const DayCounter & | dayCounter | ||
) |
Definition at line 97 of file blackconstantvol.hpp.
BlackConstantVol | ( | Natural | settlementDays, |
const Calendar & | cal, | ||
Handle< Quote > | volatility, | ||
const DayCounter & | dayCounter | ||
) |
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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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overridevirtual |
the minimum strike for which the term structure can return vols
Implements VolatilityTermStructure.
Definition at line 117 of file blackconstantvol.hpp.
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overridevirtual |
the maximum strike for which the term structure can return vols
Implements VolatilityTermStructure.
Definition at line 121 of file blackconstantvol.hpp.
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overridevirtual |
Reimplemented from BlackVolTermStructure.
Definition at line 125 of file blackconstantvol.hpp.
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overrideprotectedvirtual |
Black volatility calculation.
Implements BlackVolTermStructure.
Definition at line 133 of file blackconstantvol.hpp.
Definition at line 75 of file blackconstantvol.hpp.