Constant caplet volatility, no time-strike dependence. More...
#include <ql/termstructures/volatility/optionlet/constantoptionletvol.hpp>
Public Member Functions | |
ConstantOptionletVolatility (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const Handle< Quote > &volatility, const DayCounter &dc, VolatilityType type=ShiftedLognormal, Real displacement=0.0) | |
floating reference date, floating market data | |
ConstantOptionletVolatility (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const Handle< Quote > &volatility, const DayCounter &dc, VolatilityType type=ShiftedLognormal, Real displacement=0.0) | |
fixed reference date, floating market data | |
ConstantOptionletVolatility (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, Volatility volatility, const DayCounter &dc, VolatilityType type=ShiftedLognormal, Real displacement=0.0) | |
floating reference date, fixed market data | |
ConstantOptionletVolatility (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, Volatility volatility, const DayCounter &dc, VolatilityType type=ShiftedLognormal, Real displacement=0.0) | |
fixed reference date, fixed market data | |
TermStructure interface | |
Date | maxDate () const |
the latest date for which the curve can return values | |
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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 | |
OptionletVolatilityStructure (Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) | |
calculate the reference date based on the global evaluation date | |
virtual | ~OptionletVolatilityStructure () |
Volatility | volatility (const Period &optionTenor, Rate strike, bool extrapolate=false) const |
returns the volatility for a given option tenor and strike rate | |
Volatility | volatility (const Date &optionDate, Rate strike, bool extrapolate=false) const |
returns the volatility for a given option date and strike rate | |
Volatility | volatility (Time optionTime, Rate strike, bool extrapolate=false) const |
returns the volatility for a given option time and strike rate | |
Real | blackVariance (const Period &optionTenor, Rate strike, bool extrapolate=false) const |
returns the Black variance for a given option tenor and strike rate | |
Real | blackVariance (const Date &optionDate, Rate strike, bool extrapolate=false) const |
returns the Black variance for a given option date and strike rate | |
Real | blackVariance (Time optionTime, Rate strike, bool extrapolate=false) const |
returns the Black variance for a given option time and strike rate | |
ext::shared_ptr< SmileSection > | smileSection (const Period &optionTenor, bool extr=false) const |
returns the smile for a given option tenor | |
ext::shared_ptr< SmileSection > | smileSection (const Date &optionDate, bool extr=false) const |
returns the smile for a given option date | |
ext::shared_ptr< SmileSection > | smileSection (Time optionTime, bool extr=false) const |
returns the smile for a given option time | |
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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 | |
VolatilityTermStructure (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) | |
calculate the reference date based on the global evaluation date | |
virtual BusinessDayConvention | businessDayConvention () const |
the business day convention used in tenor to date conversion | |
Date | optionDateFromTenor (const Period &) const |
period/date conversion | |
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TermStructure (const DayCounter &dc=DayCounter()) | |
default constructor More... | |
TermStructure (const Date &referenceDate, const Calendar &calendar=Calendar(), const DayCounter &dc=DayCounter()) | |
initialize with a fixed reference date | |
TermStructure (Natural settlementDays, const Calendar &, const DayCounter &dc=DayCounter()) | |
calculate the reference date based on the global evaluation date | |
virtual | ~TermStructure () |
virtual DayCounter | dayCounter () const |
the day counter used for date/time conversion | |
Time | timeFromReference (const Date &date) const |
date/time conversion | |
virtual Time | maxTime () const |
the latest time for which the curve can return values | |
virtual const Date & | referenceDate () const |
the date at which discount = 1.0 and/or variance = 0.0 | |
virtual Calendar | calendar () const |
the calendar used for reference and/or option date calculation | |
virtual Natural | settlementDays () const |
the settlementDays used for reference date calculation | |
void | update () |
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Observer (const Observer &) | |
Observer & | operator= (const 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 | deepUpdate () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
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void | enableExtrapolation (bool b=true) |
enable extrapolation in subsequent calls | |
void | disableExtrapolation (bool b=true) |
disable extrapolation in subsequent calls | |
bool | allowsExtrapolation () const |
tells whether extrapolation is enabled | |
VolatilityTermStructure interface | |
Real | minStrike () const |
the minimum strike for which the term structure can return vols | |
Real | maxStrike () const |
the maximum strike for which the term structure can return vols | |
VolatilityType | volatilityType () const |
Real | displacement () const |
ext::shared_ptr< SmileSection > | smileSectionImpl (const Date &d) const |
ext::shared_ptr< SmileSection > | smileSectionImpl (Time) const |
implements the actual smile calculation in derived classes | |
Volatility | volatilityImpl (Time, Rate) const |
implements the actual volatility calculation in derived classes | |
Additional Inherited Members | |
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typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
typedef set_type::iterator | iterator |
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virtual Volatility | volatilityImpl (const Date &optionDate, Rate strike) const |
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void | checkStrike (Rate strike, bool extrapolate) const |
strike-range check | |
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void | checkRange (const Date &d, bool extrapolate) const |
date-range check | |
void | checkRange (Time t, bool extrapolate) const |
time-range check | |
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bool | moving_ |
bool | updated_ |
Calendar | calendar_ |
Constant caplet volatility, no time-strike dependence.