Swaption-volatility structure More...
#include <ql/termstructures/volatility/swaption/swaptionvolstructure.hpp>
Public Member Functions | |
Constructors | |
See the TermStructure documentation for issues regarding constructors. | |
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 | |
SwaptionVolatilityStructure (Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) | |
calculate the reference date based on the global evaluation date | |
virtual | ~SwaptionVolatilityStructure () |
Volatility, variance and smile | |
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 | |
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 | |
Volatility | volatility (Time optionTime, const Period &swapTenor, Rate strike, bool extrapolate=false) const |
returns the volatility for a given option time and swap tenor | |
Volatility | volatility (const Period &optionTenor, Time swapLength, Rate strike, bool extrapolate=false) const |
returns the volatility for a given option tenor and swap length | |
Volatility | volatility (const Date &optionDate, Time swapLength, Rate strike, bool extrapolate=false) const |
returns the volatility for a given option date and swap length | |
Volatility | volatility (Time optionTime, Time swapLength, Rate strike, bool extrapolate=false) const |
returns the volatility for a given option time and swap length | |
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 | |
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 | |
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 | |
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 | |
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 | |
Real | blackVariance (Time optionTime, Time swapLength, Rate strike, bool extrapolate=false) const |
returns the Black variance for a given option time and swap length | |
Real | shift (const Period &optionTenor, const Period &swapTenor, bool extrapolate=false) const |
returns the shift for a given option tenor and swap tenor | |
Real | shift (const Date &optionDate, const Period &swapTenor, bool extrapolate=false) const |
returns the shift for a given option date and swap tenor | |
Real | shift (Time optionTime, const Period &swapTenor, bool extrapolate=false) const |
returns the shift for a given option time and swap tenor | |
Real | shift (const Period &optionTenor, Time swapLength, bool extrapolate=false) const |
returns the shift for a given option tenor and swap length | |
Real | shift (const Date &optionDate, Time swapLength, bool extrapolate=false) const |
returns the shift for a given option date and swap length | |
Real | shift (Time optionTime, Time swapLength, bool extrapolate=false) const |
returns the shift for a given option time and swap length | |
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 | |
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 | |
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 | |
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 | |
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 | |
ext::shared_ptr< SmileSection > | smileSection (Time optionTime, Time swapLength, bool extr=false) const |
returns the smile for a given option time and swap length | |
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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 | |
virtual Rate | minStrike () const =0 |
the minimum strike for which the term structure can return vols | |
virtual Rate | maxStrike () const =0 |
the maximum strike for which the term structure can return vols | |
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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 Date | maxDate () const =0 |
the latest date for which the curve can return values | |
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 | |
Limits | |
virtual const Period & | maxSwapTenor () const =0 |
the largest length for which the term structure can return vols | |
Time | maxSwapLength () const |
the largest swapLength for which the term structure can return vols | |
virtual VolatilityType | volatilityType () const |
volatility type | |
Time | swapLength (const Period &swapTenor) const |
implements the conversion between swap tenor and swap (time) length | |
Time | swapLength (const Date &start, const Date &end) const |
implements the conversion between swap dates and swap (time) length | |
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 |
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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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_ |
Swaption-volatility structure
This abstract class defines the interface of concrete swaption volatility structures which will be derived from this one.
SwaptionVolatilityStructure | ( | BusinessDayConvention | bdc, |
const DayCounter & | dc = DayCounter() |
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