TenorOptionletVTS::TenorOptionletSmileSection Class Reference

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

Inheritance diagram for TenorOptionletVTS::TenorOptionletSmileSection:

Collaboration diagram for TenorOptionletVTS::TenorOptionletSmileSection:

Public Member Functions
	TenorOptionletSmileSection (const TenorOptionletVTS &volTS, Time optionTime)
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< CorrelationStructure >	correlation_
std::vector< ext::shared_ptr< SmileSection > >	baseSmileSection_
std::vector< Time >	startTimeBase_
std::vector< Real >	fraRateBase_
Real	fraRateTarg_
std::vector< Real >	v_

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

Detailed Description

Definition at line 43 of file tenoroptionletvts.hpp.

Constructor & Destructor Documentation

TenorOptionletSmileSection()

TenorOptionletSmileSection	(	const TenorOptionletVTS &	volTS,
		Time	optionTime
	)

Definition at line 51 of file tenoroptionletvts.cpp.

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Member Function Documentation

volatilityImpl()

Volatility volatilityImpl ( Rate  strike ) const

overrideprotectedvirtual

Implements SmileSection.

Definition at line 88 of file tenoroptionletvts.cpp.

minStrike()

Real minStrike ( ) const

overridevirtual

Implements SmileSection.

Definition at line 59 of file tenoroptionletvts.hpp.

maxStrike()

Real maxStrike ( ) const

overridevirtual

Implements SmileSection.

Definition at line 62 of file tenoroptionletvts.hpp.

atmLevel()

Real atmLevel ( ) const

overridevirtual

Implements SmileSection.

Definition at line 65 of file tenoroptionletvts.hpp.

Member Data Documentation

correlation_

ext::shared_ptr<CorrelationStructure> correlation_

protected

Definition at line 45 of file tenoroptionletvts.hpp.

baseSmileSection_

std::vector<ext::shared_ptr<SmileSection> > baseSmileSection_

protected

Definition at line 46 of file tenoroptionletvts.hpp.

startTimeBase_

std::vector<Time> startTimeBase_

protected

Definition at line 47 of file tenoroptionletvts.hpp.

fraRateBase_

std::vector<Real> fraRateBase_

protected

Definition at line 48 of file tenoroptionletvts.hpp.

fraRateTarg_

Real fraRateTarg_

protected

Definition at line 49 of file tenoroptionletvts.hpp.

v_

std::vector<Real> v_

protected

Definition at line 50 of file tenoroptionletvts.hpp.