#include <swaptionvoldiscrete.hpp>

Inheritance diagram for SwaptionVolatilityDiscrete:

Collaboration diagram for SwaptionVolatilityDiscrete:

Public Member Functions
	SwaptionVolatilityDiscrete (const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc)

	SwaptionVolatilityDiscrete (const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc)

	SwaptionVolatilityDiscrete (const std::vector< Date > &optionDates, const std::vector< Period > &swapTenors, const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc)

const std::vector< Period > &	optionTenors () const

const std::vector< Date > &	optionDates () const

const std::vector< Time > &	optionTimes () const

const std::vector< Period > &	swapTenors () const

const std::vector< Time > &	swapLengths () const

Observer interface
void	update () override

Public Member Functions inherited from LazyObject
	LazyObject ()

	~LazyObject () override=default

bool	isCalculated () const

void	forwardFirstNotificationOnly ()

void	alwaysForwardNotifications ()

void	recalculate ()

void	freeze ()

void	unfreeze ()

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 ()

Public Member Functions inherited from SwaptionVolatilityStructure
	SwaptionVolatilityStructure (BusinessDayConvention bdc, const DayCounter &dc=DayCounter())

	SwaptionVolatilityStructure (const Date &referenceDate, const Calendar &calendar, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
	initialize with a fixed reference date More...

	SwaptionVolatilityStructure (Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
	calculate the reference date based on the global evaluation date More...

	~SwaptionVolatilityStructure () override=default

Volatility	volatility (const Period &optionTenor, const Period &swapTenor, Rate strike, bool extrapolate=false) const
	returns the volatility for a given option tenor and swap tenor More...

Volatility	volatility (const Date &optionDate, const Period &swapTenor, Rate strike, bool extrapolate=false) const
	returns the volatility for a given option date and swap tenor More...

Volatility	volatility (Time optionTime, const Period &swapTenor, Rate strike, bool extrapolate=false) const
	returns the volatility for a given option time and swap tenor More...

Volatility	volatility (const Period &optionTenor, Time swapLength, Rate strike, bool extrapolate=false) const
	returns the volatility for a given option tenor and swap length More...

Volatility	volatility (const Date &optionDate, Time swapLength, Rate strike, bool extrapolate=false) const
	returns the volatility for a given option date and swap length More...

Volatility	volatility (Time optionTime, Time swapLength, Rate strike, bool extrapolate=false) const
	returns the volatility for a given option time and swap length More...

Real	blackVariance (const Period &optionTenor, const Period &swapTenor, Rate strike, bool extrapolate=false) const
	returns the Black variance for a given option tenor and swap tenor More...

Real	blackVariance (const Date &optionDate, const Period &swapTenor, Rate strike, bool extrapolate=false) const
	returns the Black variance for a given option date and swap tenor More...

Real	blackVariance (Time optionTime, const Period &swapTenor, Rate strike, bool extrapolate=false) const
	returns the Black variance for a given option time and swap tenor More...

Real	blackVariance (const Period &optionTenor, Time swapLength, Rate strike, bool extrapolate=false) const
	returns the Black variance for a given option tenor and swap length More...

Real	blackVariance (const Date &optionDate, Time swapLength, Rate strike, bool extrapolate=false) const
	returns the Black variance for a given option date and swap length More...

Real	blackVariance (Time optionTime, Time swapLength, Rate strike, bool extrapolate=false) const
	returns the Black variance for a given option time and swap length More...

Real	shift (const Period &optionTenor, const Period &swapTenor, bool extrapolate=false) const
	returns the shift for a given option tenor and swap tenor More...

Real	shift (const Date &optionDate, const Period &swapTenor, bool extrapolate=false) const
	returns the shift for a given option date and swap tenor More...

Real	shift (Time optionTime, const Period &swapTenor, bool extrapolate=false) const
	returns the shift for a given option time and swap tenor More...

Real	shift (const Period &optionTenor, Time swapLength, bool extrapolate=false) const
	returns the shift for a given option tenor and swap length More...

Real	shift (const Date &optionDate, Time swapLength, bool extrapolate=false) const
	returns the shift for a given option date and swap length More...

Real	shift (Time optionTime, Time swapLength, bool extrapolate=false) const
	returns the shift for a given option time and swap length More...

ext::shared_ptr< SmileSection >	smileSection (const Period &optionTenor, const Period &swapTenor, bool extr=false) const
	returns the smile for a given option tenor and swap tenor More...

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

ext::shared_ptr< SmileSection >	smileSection (Time optionTime, const Period &swapTenor, bool extr=false) const
	returns the smile for a given option time and swap tenor More...

ext::shared_ptr< SmileSection >	smileSection (const Period &optionTenor, Time swapLength, bool extr=false) const
	returns the smile for a given option tenor and swap length More...

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

ext::shared_ptr< SmileSection >	smileSection (Time optionTime, Time swapLength, bool extr=false) const
	returns the smile for a given option time and swap length More...

virtual const Period &	maxSwapTenor () const =0
	the largest length for which the term structure can return vols More...

Time	maxSwapLength () const
	the largest swapLength for which the term structure can return vols More...

virtual VolatilityType	volatilityType () const
	volatility type More...

Time	swapLength (const Period &swapTenor) const
	implements the conversion between swap tenor and swap (time) length More...

Time	swapLength (const Date &start, const Date &end) const
	implements the conversion between swap dates and swap (time) length 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...

virtual Rate	minStrike () const =0
	the minimum strike for which the term structure can return vols More...

virtual Rate	maxStrike () const =0
	the maximum strike for which the term structure can return vols 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 Date	maxDate () const =0
	the latest date for which the curve can return values 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 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...

LazyObject interface
Size	nOptionTenors_

std::vector< Period >	optionTenors_

std::vector< Date >	optionDates_

std::vector< Time >	optionTimes_

Interpolation	optionInterpolator_

std::vector< Real >	optionDatesAsReal_

std::vector< Time >	optionInterpolatorTimes_

std::vector< Real >	optionInterpolatorDatesAsReal_

Size	nSwapTenors_

std::vector< Period >	swapTenors_

std::vector< Time >	swapLengths_

Date	cachedReferenceDate_

void	performCalculations () const override

Date	optionDateFromTime (Time optionTime) const
	additional inspectors More...

void	checkOptionTenors () const

void	checkOptionDates (const Date &reference) const

void	checkSwapTenors () const

void	initializeOptionDatesAndTimes () const

void	initializeOptionTimes () const

void	initializeSwapLengths () const

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

Protected Member Functions inherited from LazyObject
virtual void	calculate () const

Protected Member Functions inherited from SwaptionVolatilityStructure
virtual ext::shared_ptr< SmileSection >	smileSectionImpl (const Date &optionDate, const Period &swapTenor) const

virtual ext::shared_ptr< SmileSection >	smileSectionImpl (Time optionTime, Time swapLength) const =0

virtual Volatility	volatilityImpl (const Date &optionDate, const Period &swapTenor, Rate strike) const

virtual Volatility	volatilityImpl (Time optionTime, Time swapLength, Rate strike) const =0

virtual Real	shiftImpl (const Date &optionDate, const Period &swapTenor) const

virtual Real	shiftImpl (Time optionTime, Time swapLength) const

void	checkSwapTenor (const Period &swapTenor, bool extrapolate) const

void	checkSwapTenor (Time swapLength, 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 LazyObject
bool	calculated_ = false

bool	frozen_ = false

bool	alwaysForward_

Protected Attributes inherited from TermStructure
bool	moving_ = false

bool	updated_ = true

Calendar	calendar_

Detailed Description

Definition at line 33 of file swaptionvoldiscrete.hpp.

Constructor & Destructor Documentation

◆ SwaptionVolatilityDiscrete() [1/3]

SwaptionVolatilityDiscrete	(	const std::vector< Period > &	optionTenors,
		const std::vector< Period > &	swapTenors,
		Natural	settlementDays,
		const Calendar &	cal,
		BusinessDayConvention	bdc,
		const DayCounter &	dc
	)

Definition at line 27 of file swaptionvoldiscrete.cpp.

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◆ SwaptionVolatilityDiscrete() [2/3]

SwaptionVolatilityDiscrete	(	const std::vector< Period > &	optionTenors,
		const std::vector< Period > &	swapTenors,
		const Date &	referenceDate,
		const Calendar &	cal,
		BusinessDayConvention	bdc,
		const DayCounter &	dc
	)

Definition at line 60 of file swaptionvoldiscrete.cpp.

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◆ SwaptionVolatilityDiscrete() [3/3]

SwaptionVolatilityDiscrete	(	const std::vector< Date > &	optionDates,
		const std::vector< Period > &	swapTenors,
		const Date &	referenceDate,
		const Calendar &	cal,
		BusinessDayConvention	bdc,
		const DayCounter &	dc
	)

Definition at line 92 of file swaptionvoldiscrete.cpp.

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Member Function Documentation

◆ optionTenors()

const std::vector< Period > & optionTenors ( ) const

Definition at line 97 of file swaptionvoldiscrete.hpp.

◆ optionDates()

const std::vector< Date > & optionDates ( ) const

Definition at line 102 of file swaptionvoldiscrete.hpp.

◆ optionTimes()

const std::vector< Time > & optionTimes ( ) const

Definition at line 107 of file swaptionvoldiscrete.hpp.

◆ swapTenors()

const std::vector< Period > & swapTenors ( ) const

Definition at line 112 of file swaptionvoldiscrete.hpp.

◆ swapLengths()

const std::vector< Time > & swapLengths ( ) const

Definition at line 117 of file swaptionvoldiscrete.hpp.

◆ 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 192 of file swaptionvoldiscrete.cpp.

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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.

Reimplemented in SwaptionVolatilityMatrix.

Definition at line 180 of file swaptionvoldiscrete.cpp.

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◆ optionDateFromTime()

Date optionDateFromTime ( Time optionTime ) const

additional inspectors

Definition at line 121 of file swaptionvoldiscrete.hpp.

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◆ checkOptionTenors()

void checkOptionTenors ( ) const

private

Definition at line 136 of file swaptionvoldiscrete.cpp.

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◆ checkOptionDates()

void checkOptionDates ( const Date & reference ) const

private

Definition at line 124 of file swaptionvoldiscrete.cpp.

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◆ checkSwapTenors()

void checkSwapTenors ( ) const

private

Definition at line 147 of file swaptionvoldiscrete.cpp.

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◆ initializeOptionDatesAndTimes()

void initializeOptionDatesAndTimes ( ) const

private

Definition at line 158 of file swaptionvoldiscrete.cpp.

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◆ initializeOptionTimes()

void initializeOptionTimes ( ) const

private

Definition at line 168 of file swaptionvoldiscrete.cpp.

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◆ initializeSwapLengths()

void initializeSwapLengths ( ) const

private

Definition at line 175 of file swaptionvoldiscrete.cpp.

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Member Data Documentation

◆ nOptionTenors_

Size nOptionTenors_

protected

Definition at line 72 of file swaptionvoldiscrete.hpp.

◆ optionTenors_

std::vector<Period> optionTenors_

protected

Definition at line 73 of file swaptionvoldiscrete.hpp.

◆ optionDates_

std::vector<Date> optionDates_

mutableprotected

Definition at line 74 of file swaptionvoldiscrete.hpp.

◆ optionTimes_

std::vector<Time> optionTimes_

mutableprotected

Definition at line 75 of file swaptionvoldiscrete.hpp.

◆ optionInterpolator_

Interpolation optionInterpolator_

mutableprotected

Definition at line 76 of file swaptionvoldiscrete.hpp.

◆ optionDatesAsReal_

std::vector<Real> optionDatesAsReal_

mutableprotected

Definition at line 77 of file swaptionvoldiscrete.hpp.

◆ optionInterpolatorTimes_

std::vector<Time> optionInterpolatorTimes_

mutableprotected

Definition at line 78 of file swaptionvoldiscrete.hpp.

◆ optionInterpolatorDatesAsReal_

std::vector<Real> optionInterpolatorDatesAsReal_

mutableprotected

Definition at line 79 of file swaptionvoldiscrete.hpp.

◆ nSwapTenors_

Size nSwapTenors_

protected

Definition at line 81 of file swaptionvoldiscrete.hpp.

◆ swapTenors_

std::vector<Period> swapTenors_

protected

Definition at line 82 of file swaptionvoldiscrete.hpp.

◆ swapLengths_

std::vector<Time> swapLengths_

mutableprotected

Definition at line 83 of file swaptionvoldiscrete.hpp.

◆ cachedReferenceDate_

Date cachedReferenceDate_

mutableprotected

Definition at line 84 of file swaptionvoldiscrete.hpp.

Public Member Functions

LazyObject interface

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ SwaptionVolatilityDiscrete() [1/3]

◆ SwaptionVolatilityDiscrete() [2/3]

◆ SwaptionVolatilityDiscrete() [3/3]

Member Function Documentation

◆ optionTenors()

◆ optionDates()

◆ optionTimes()

◆ swapTenors()

◆ swapLengths()

◆ update()

◆ performCalculations()

◆ optionDateFromTime()

◆ checkOptionTenors()

◆ checkOptionDates()

◆ checkSwapTenors()

◆ initializeOptionDatesAndTimes()

◆ initializeOptionTimes()

◆ initializeSwapLengths()

Member Data Documentation

◆ nOptionTenors_

◆ optionTenors_

◆ optionDates_

◆ optionTimes_

◆ optionInterpolator_

◆ optionDatesAsReal_

◆ optionInterpolatorTimes_

◆ optionInterpolatorDatesAsReal_

◆ nSwapTenors_

◆ swapTenors_

◆ swapLengths_

◆ cachedReferenceDate_