StrippedOptionletAdapter Class Reference

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

Inheritance diagram for StrippedOptionletAdapter:

Public Member Functions
	StrippedOptionletAdapter (const boost::shared_ptr< StrippedOptionletBase > &)
VolatilityType	volatilityType () const
Real	displacement () const
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
boost::shared_ptr< OptionletStripper >	optionletStripper () 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
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
boost::shared_ptr< SmileSection >	smileSection (const Period &optionTenor, bool extr=false) const
	returns the smile for a given option tenor
boost::shared_ptr< SmileSection >	smileSection (const Date &optionDate, bool extr=false) const
	returns the smile for a given option date
boost::shared_ptr< SmileSection >	smileSection (Time optionTime, bool extr=false) const
	returns the smile for a given option time
Public Member Functions inherited from VolatilityTermStructure
virtual BusinessDayConvention	businessDayConvention () const
	the business day convention used in tenor to date conversion
Date	optionDateFromTenor (const Period &) const
	period/date conversion
	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
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 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 boost::shared_ptr< Observable > &)
void	registerWithObservables (const boost::shared_ptr< Observer > &)
Size	unregisterWith (const boost::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 ()

Protected Member Functions
OptionletVolatilityStructure interface
boost::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
Protected Member Functions inherited from OptionletVolatilityStructure
virtual boost::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

Additional Inherited Members
Public Types inherited from Observer
typedef std::set< boost::shared_ptr< Observable > >	set_type
typedef set_type::iterator	iterator
Protected Attributes inherited from TermStructure
bool	moving_
bool	updated_
Calendar	calendar_
Protected Attributes inherited from LazyObject
bool	calculated_
bool	frozen_

Detailed Description

Adapter class for turning a StrippedOptionletBase object into an OptionletVolatilityStructure.

Member Function Documentation

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.

void performCalculations ( ) const

virtual

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

Implements LazyObject.