TenorSwaptionVTS::TenorSwaptionSmileSection Class Reference

#include <ql/experimental/basismodels/tenorswaptionvts.hpp>

Inheritance diagram for TenorSwaptionVTS::TenorSwaptionSmileSection:

Collaboration diagram for TenorSwaptionVTS::TenorSwaptionSmileSection:

Public Member Functions
	TenorSwaptionSmileSection (const TenorSwaptionVTS &volTS, Time optionTime, Time swapLength)
Real	minStrike () const override
Real	maxStrike () const override
Real	atmLevel () const override
Public Member Functions inherited from SmileSection
	SmileSection (const Date &d, DayCounter dc=DayCounter(), const Date &referenceDate=Date(), VolatilityType type=ShiftedLognormal, Rate shift=0.0)
	SmileSection (Time exerciseTime, DayCounter dc=DayCounter(), VolatilityType type=ShiftedLognormal, Rate shift=0.0)
	SmileSection ()=default
	~SmileSection () override=default
void	update () override
virtual Real	minStrike () const =0
virtual Real	maxStrike () const =0
Real	variance (Rate strike) const
Volatility	volatility (Rate strike) const
virtual Real	atmLevel () const =0
virtual const Date &	exerciseDate () const
virtual VolatilityType	volatilityType () const
virtual Rate	shift () const
virtual const Date &	referenceDate () const
virtual Time	exerciseTime () const
virtual const DayCounter &	dayCounter () const
virtual Real	optionPrice (Rate strike, Option::Type type=Option::Call, Real discount=1.0) const
virtual Real	digitalOptionPrice (Rate strike, Option::Type type=Option::Call, Real discount=1.0, Real gap=1.0e-5) const
virtual Real	vega (Rate strike, Real discount=1.0) const
virtual Real	density (Rate strike, Real discount=1.0, Real gap=1.0E-4) const
Volatility	volatility (Rate strike, VolatilityType type, Real shift=0.0) const
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 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 ()

Protected Member Functions
Volatility	volatilityImpl (Rate strike) const override
Protected Member Functions inherited from SmileSection
virtual void	initializeExerciseTime () const
virtual Real	varianceImpl (Rate strike) const
virtual Volatility	volatilityImpl (Rate strike) const =0

Protected Attributes
ext::shared_ptr< SmileSection >	baseSmileSection_
Real	swapRateBase_
Real	swapRateTarg_
Real	swapRateFinl_
Real	lambda_
Real	annuityScaling_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Detailed Description

Definition at line 39 of file tenorswaptionvts.hpp.

Constructor & Destructor Documentation

TenorSwaptionSmileSection()

TenorSwaptionSmileSection	(	const TenorSwaptionVTS &	volTS,
		Time	optionTime,
		Time	swapLength
	)

Definition at line 36 of file tenorswaptionvts.cpp.

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Member Function Documentation

volatilityImpl()

Volatility volatilityImpl ( Rate  strike ) const

overrideprotectedvirtual

Implements SmileSection.

Definition at line 128 of file tenorswaptionvts.cpp.

minStrike()

Real minStrike ( ) const

overridevirtual

Implements SmileSection.

Definition at line 57 of file tenorswaptionvts.hpp.

maxStrike()

Real maxStrike ( ) const

overridevirtual

Implements SmileSection.

Definition at line 60 of file tenorswaptionvts.hpp.

atmLevel()

Real atmLevel ( ) const

overridevirtual

Implements SmileSection.

Definition at line 63 of file tenorswaptionvts.hpp.

Member Data Documentation

baseSmileSection_

ext::shared_ptr<SmileSection> baseSmileSection_

protected

Definition at line 41 of file tenorswaptionvts.hpp.

swapRateBase_

Real swapRateBase_

protected

Definition at line 42 of file tenorswaptionvts.hpp.

swapRateTarg_

Real swapRateTarg_

protected

Definition at line 43 of file tenorswaptionvts.hpp.

swapRateFinl_

Real swapRateFinl_

protected

Definition at line 44 of file tenorswaptionvts.hpp.

lambda_

Real lambda_

protected

Definition at line 45 of file tenorswaptionvts.hpp.

annuityScaling_

Real annuityScaling_

protected

Definition at line 46 of file tenorswaptionvts.hpp.