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SwaptionVolatilityStructure Class Referenceabstract

Swaption-volatility structure More...

#include <ql/termstructures/volatility/swaption/swaptionvolstructure.hpp>

+ Inheritance diagram for SwaptionVolatilityStructure:

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< SmileSectionsmileSection (const Period &optionTenor, const Period &swapTenor, bool extr=false) const
 returns the smile for a given option tenor and swap tenor
 
ext::shared_ptr< SmileSectionsmileSection (const Date &optionDate, const Period &swapTenor, bool extr=false) const
 returns the smile for a given option date and swap tenor
 
ext::shared_ptr< SmileSectionsmileSection (Time optionTime, const Period &swapTenor, bool extr=false) const
 returns the smile for a given option time and swap tenor
 
ext::shared_ptr< SmileSectionsmileSection (const Period &optionTenor, Time swapLength, bool extr=false) const
 returns the smile for a given option tenor and swap length
 
ext::shared_ptr< SmileSectionsmileSection (const Date &optionDate, Time swapLength, bool extr=false) const
 returns the smile for a given option date and swap length
 
ext::shared_ptr< SmileSectionsmileSection (Time optionTime, Time swapLength, bool extr=false) const
 returns the smile for a given option time and swap length
 
- 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
 
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
 
- 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 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 DatereferenceDate () 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 ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (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 ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (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
 

Limits

virtual const PeriodmaxSwapTenor () 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< SmileSectionsmileSectionImpl (const Date &optionDate, const Period &swapTenor) const
 
virtual ext::shared_ptr< SmileSectionsmileSectionImpl (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

- 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 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 Attributes inherited from TermStructure
bool moving_
 
bool updated_
 
Calendar calendar_
 

Detailed Description

Swaption-volatility structure

This abstract class defines the interface of concrete swaption volatility structures which will be derived from this one.

Constructor & Destructor Documentation

◆ SwaptionVolatilityStructure()

Warning:
term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.