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

Inheritance diagram for StrippedOptionletAdapter:

Public Member Functions
	StrippedOptionletAdapter (const ext::shared_ptr< StrippedOptionletBase > &)

TermStructure interface
Date	maxDate () const
	the latest date for which the curve can return values

VolatilityTermStructure interface
Rate	minStrike () const
	the minimum strike for which the term structure can return vols

Rate	maxStrike () const
	the maximum strike for which the term structure can return vols

LazyObject interface
void	update ()

void	performCalculations () const

ext::shared_ptr< OptionletStripper >	optionletStripper () const

Observer interface
void	deepUpdate ()

VolatilityType	volatilityType () const

Real	displacement () const

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

	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

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

	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

Public Member Functions inherited from TermStructure
	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

Public Member Functions inherited from Observer
	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 ()

Public Member Functions inherited from Observable
	Observable (const Observable &)

Observable &	operator= (const Observable &)

void	notifyObservers ()

Public Member Functions inherited from Extrapolator
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

Public Member Functions inherited from LazyObject
void	recalculate ()

void	freeze ()

void	unfreeze ()

void	alwaysForwardNotifications ()

OptionletVolatilityStructure interface
ext::shared_ptr< SmileSection >	smileSectionImpl (Time optionTime) const
	implements the actual smile calculation in derived classes

Volatility	volatilityImpl (Time length, Rate strike) const
	implements the actual volatility calculation in derived classes

Additional Inherited Members
Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > >	set_type

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

Protected Member Functions inherited from TermStructure
void	checkRange (const Date &d, bool extrapolate) const
	date-range check

void	checkRange (Time t, bool extrapolate) const
	time-range check

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

Protected Attributes inherited from TermStructure
bool	moving_

bool	updated_

Calendar	calendar_

Protected Attributes inherited from LazyObject
bool	calculated_

bool	frozen_

bool	alwaysForward_

Detailed Description

Adapter class for turning a StrippedOptionletBase object into an OptionletVolatilityStructure.

Member Function Documentation

◆ update()

void update ( )

virtual

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.

◆ performCalculations()

void performCalculations ( ) const

virtual

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.

◆ deepUpdate()

void deepUpdate ( )

virtual

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.

Public Member Functions

OptionletVolatilityStructure interface

Additional Inherited Members

Detailed Description

Member Function Documentation

◆ update()

◆ performCalculations()

◆ deepUpdate()