#include <ql/termstructures/volatility/optionlet/strippedoptionletadapter.hpp>

Inheritance diagram for StrippedOptionletAdapter:

Collaboration diagram for StrippedOptionletAdapter:

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< OptionletStripper >	optionletStripper () 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< SmileSection >	smileSection (const Period &optionTenor, bool extr=false) const
	returns the smile for a given option tenor More...

ext::shared_ptr< SmileSection >	smileSection (const Date &optionDate, bool extr=false) const
	returns the smile for a given option date More...

ext::shared_ptr< SmileSection >	smileSection (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 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...

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...

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< StrippedOptionletBase >	optionletStripper_

Size	nInterpolations_

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

ext::shared_ptr< SmileSection >	smileSectionImpl (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< SmileSection >	smileSectionImpl (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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