QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Constant surface, no K or T dependence. More...
#include <constantcpivolatility.hpp>
Public Member Functions | |
Constructors | |
ConstantCPIVolatility (const Handle< Quote > &vol, Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc, const Period &observationLag, Frequency frequency, bool indexIsInterpolated) | |
ConstantCPIVolatility (Volatility vol, Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc, const Period &observationLag, Frequency frequency, bool indexIsInterpolated) | |
Public Member Functions inherited from CPIVolatilitySurface | |
CPIVolatilitySurface (Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc, const Period &observationLag, Frequency frequency, bool indexIsInterpolated) | |
Volatility | volatility (const Date &maturityDate, Rate strike, const Period &obsLag=Period(-1, Days), bool extrapolate=false) const |
Returns the volatility for a given maturity date and strike rate. More... | |
Volatility | volatility (const Period &optionTenor, Rate strike, const Period &obsLag=Period(-1, Days), bool extrapolate=false) const |
returns the volatility for a given option tenor and strike rate More... | |
Volatility | volatility (Time time, Rate strike) const |
virtual Volatility | totalVariance (const Date &exerciseDate, Rate strike, const Period &obsLag=Period(-1, Days), bool extrapolate=false) const |
virtual Volatility | totalVariance (const Period &optionTenor, Rate strike, const Period &obsLag=Period(-1, Days), bool extrapolate=false) const |
virtual Period | observationLag () const |
virtual Frequency | frequency () const |
virtual bool | indexIsInterpolated () const |
virtual Date | baseDate () const |
virtual Time | timeFromBase (const Date &date, const Period &obsLag=Period(-1, Days)) const |
base date will be in the past because of observation lag More... | |
virtual Volatility | baseLevel () const |
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... | |
Limits | |
Handle< Quote > | volatility_ |
Date | maxDate () const override |
the latest date for which the curve can return values More... | |
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 length, Rate strike) const override |
Additional Inherited Members | |
Public Types inherited from Observer | |
typedef set_type::iterator | iterator |
Protected Member Functions inherited from CPIVolatilitySurface | |
virtual void | checkRange (const Date &, Rate strike, bool extrapolate) const |
virtual void | checkRange (Time, Rate strike, bool extrapolate) const |
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 CPIVolatilitySurface | |
Volatility | baseLevel_ |
Period | observationLag_ |
Frequency | frequency_ |
bool | indexIsInterpolated_ |
Protected Attributes inherited from TermStructure | |
bool | moving_ = false |
bool | updated_ = true |
Calendar | calendar_ |
Constant surface, no K or T dependence.
Definition at line 34 of file constantcpivolatility.hpp.
ConstantCPIVolatility | ( | const Handle< Quote > & | vol, |
Natural | settlementDays, | ||
const Calendar & | cal, | ||
BusinessDayConvention | bdc, | ||
const DayCounter & | dc, | ||
const Period & | observationLag, | ||
Frequency | frequency, | ||
bool | indexIsInterpolated | ||
) |
Definition at line 25 of file constantcpivolatility.cpp.
ConstantCPIVolatility | ( | Volatility | vol, |
Natural | settlementDays, | ||
const Calendar & | cal, | ||
BusinessDayConvention | bdc, | ||
const DayCounter & | dc, | ||
const Period & | observationLag, | ||
Frequency | frequency, | ||
bool | indexIsInterpolated | ||
) |
Definition at line 37 of file constantcpivolatility.cpp.
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overridevirtual |
the latest date for which the curve can return values
Implements TermStructure.
Definition at line 58 of file constantcpivolatility.hpp.
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overridevirtual |
the minimum strike for which the term structure can return vols
Implements CPIVolatilitySurface.
Definition at line 60 of file constantcpivolatility.hpp.
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overridevirtual |
the maximum strike for which the term structure can return vols
Implements CPIVolatilitySurface.
Definition at line 62 of file constantcpivolatility.hpp.
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overrideprivatevirtual |
Implements the actual volatility surface calculation in derived classes e.g. bilinear interpolation. N.B. does not derive the surface.
Implements CPIVolatilitySurface.
Definition at line 50 of file constantcpivolatility.cpp.
Definition at line 67 of file constantcpivolatility.hpp.