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Public Member Functions | List of all members
StrippedOptionletAdapter Class Reference

#include <strippedoptionletadapter.hpp>

+ Inheritance diagram for StrippedOptionletAdapter:
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Public Member Functions

 StrippedOptionletAdapter (const ext::shared_ptr< StrippedOptionletBase > &)
 
TermStructure interface
Date maxDate () const override
 the latest date for which the curve can return values More...
 
VolatilityTermStructure interface
Rate minStrike () const override
 the minimum strike for which the term structure can return vols More...
 
Rate maxStrike () const override
 the maximum strike for which the term structure can return vols More...
 
LazyObject interface
void update () override
 
void performCalculations () const override
 
ext::shared_ptr< OptionletStripperoptionletStripper () const
 
Observer interface
void deepUpdate () override
 
VolatilityType volatilityType () const override
 
Real displacement () const override
 
- Public Member Functions inherited from OptionletVolatilityStructure
 OptionletVolatilityStructure (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
 default constructor More...
 
 OptionletVolatilityStructure (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
 initialize with a fixed reference date More...
 
 OptionletVolatilityStructure (Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
 calculate the reference date based on the global evaluation date More...
 
 ~OptionletVolatilityStructure () override=default
 
Volatility volatility (const Period &optionTenor, Rate strike, bool extrapolate=false) const
 returns the volatility for a given option tenor and strike rate More...
 
Volatility volatility (const Date &optionDate, Rate strike, bool extrapolate=false) const
 returns the volatility for a given option date and strike rate More...
 
Volatility volatility (Time optionTime, Rate strike, bool extrapolate=false) const
 returns the volatility for a given option time and strike rate More...
 
Real blackVariance (const Period &optionTenor, Rate strike, bool extrapolate=false) const
 returns the Black variance for a given option tenor and strike rate More...
 
Real blackVariance (const Date &optionDate, Rate strike, bool extrapolate=false) const
 returns the Black variance for a given option date and strike rate More...
 
Real blackVariance (Time optionTime, Rate strike, bool extrapolate=false) const
 returns the Black variance for a given option time and strike rate More...
 
ext::shared_ptr< SmileSectionsmileSection (const Period &optionTenor, bool extr=false) const
 returns the smile for a given option tenor More...
 
ext::shared_ptr< SmileSectionsmileSection (const Date &optionDate, bool extr=false) const
 returns the smile for a given option date More...
 
ext::shared_ptr< SmileSectionsmileSection (Time optionTime, bool extr=false) const
 returns the smile for a given option time 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...
 
- 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...
 
- Public Member Functions inherited from LazyObject
 LazyObject ()
 
 ~LazyObject () override=default
 
bool isCalculated () const
 
void forwardFirstNotificationOnly ()
 
void alwaysForwardNotifications ()
 
void recalculate ()
 
void freeze ()
 
void unfreeze ()
 

OptionletVolatilityStructure interface

const ext::shared_ptr< StrippedOptionletBaseoptionletStripper_
 
Size nInterpolations_
 
std::vector< ext::shared_ptr< Interpolation > > strikeInterpolations_
 
ext::shared_ptr< SmileSectionsmileSectionImpl (Time optionTime) const override
 implements the actual smile calculation in derived classes More...
 
Volatility volatilityImpl (Time length, Rate strike) 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 OptionletVolatilityStructure
virtual ext::shared_ptr< SmileSectionsmileSectionImpl (const Date &optionDate) const
 
virtual Volatility volatilityImpl (const Date &optionDate, Rate strike) 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 Member Functions inherited from LazyObject
virtual void calculate () const
 
- Protected Attributes inherited from TermStructure
bool moving_ = false
 
bool updated_ = true
 
Calendar calendar_
 
- Protected Attributes inherited from LazyObject
bool calculated_ = false
 
bool frozen_ = false
 
bool alwaysForward_
 

Detailed Description

Adapter class for turning a StrippedOptionletBase object into an OptionletVolatilityStructure.

Definition at line 40 of file strippedoptionletadapter.hpp.

Constructor & Destructor Documentation

◆ StrippedOptionletAdapter()

StrippedOptionletAdapter ( const ext::shared_ptr< StrippedOptionletBase > &  s)

Definition at line 32 of file strippedoptionletadapter.cpp.

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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 135 of file strippedoptionletadapter.cpp.

◆ minStrike()

Rate minStrike ( ) const
overridevirtual

the minimum strike for which the term structure can return vols

Implements VolatilityTermStructure.

Definition at line 127 of file strippedoptionletadapter.cpp.

◆ maxStrike()

Rate maxStrike ( ) const
overridevirtual

the maximum strike for which the term structure can return vols

Implements VolatilityTermStructure.

Definition at line 131 of file strippedoptionletadapter.cpp.

◆ update()

void update ( )
overridevirtual

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Reimplemented from LazyObject.

Definition at line 81 of file strippedoptionletadapter.hpp.

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◆ performCalculations()

void performCalculations ( ) const
overridevirtual

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.

Definition at line 82 of file strippedoptionletadapter.cpp.

◆ optionletStripper()

ext::shared_ptr< OptionletStripper > optionletStripper ( ) const

Definition at line 92 of file strippedoptionletadapter.hpp.

◆ deepUpdate()

void deepUpdate ( )
overridevirtual

This method allows to explicitly update the instance itself and nested observers. If notifications are disabled a call to this method ensures an update of such nested observers. It should be implemented in derived classes whenever applicable

Reimplemented from Observer.

Definition at line 86 of file strippedoptionletadapter.hpp.

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◆ volatilityType()

VolatilityType volatilityType ( ) const
overridevirtual

Reimplemented from OptionletVolatilityStructure.

Definition at line 139 of file strippedoptionletadapter.cpp.

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◆ displacement()

Real displacement ( ) const
overridevirtual

Reimplemented from OptionletVolatilityStructure.

Definition at line 143 of file strippedoptionletadapter.cpp.

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◆ smileSectionImpl()

ext::shared_ptr< SmileSection > smileSectionImpl ( Time  optionTime) const
overrideprotectedvirtual

implements the actual smile calculation in derived classes

Implements OptionletVolatilityStructure.

Definition at line 45 of file strippedoptionletadapter.cpp.

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◆ volatilityImpl()

Volatility volatilityImpl ( Time  optionTime,
Rate  strike 
) const
overrideprotectedvirtual

implements the actual volatility calculation in derived classes

Implements OptionletVolatilityStructure.

Definition at line 66 of file strippedoptionletadapter.cpp.

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Member Data Documentation

◆ optionletStripper_

const ext::shared_ptr<StrippedOptionletBase> optionletStripper_
private

Definition at line 76 of file strippedoptionletadapter.hpp.

◆ nInterpolations_

Size nInterpolations_
private

Definition at line 77 of file strippedoptionletadapter.hpp.

◆ strikeInterpolations_

std::vector<ext::shared_ptr<Interpolation> > strikeInterpolations_
mutableprivate

Definition at line 78 of file strippedoptionletadapter.hpp.