Black-volatility term structure. More...
#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
Public Member Functions | |
Constructors | |
See the TermStructure documentation for issues regarding constructors. | |
BlackVolatilityTermStructure (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
default constructor More... | |
BlackVolatilityTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
initialize with a fixed reference date | |
BlackVolatilityTermStructure (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
calculate the reference date based on the global evaluation date | |
Visitability | |
virtual void | accept (AcyclicVisitor &) |
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BlackVolTermStructure (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
default constructor More... | |
BlackVolTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
initialize with a fixed reference date | |
BlackVolTermStructure (Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
calculate the reference date based on the global evaluation date | |
Volatility | blackVol (const Date &maturity, Real strike, bool extrapolate=false) const |
spot volatility | |
Volatility | blackVol (Time maturity, Real strike, bool extrapolate=false) const |
spot volatility | |
Real | blackVariance (const Date &maturity, Real strike, bool extrapolate=false) const |
spot variance | |
Real | blackVariance (Time maturity, Real strike, bool extrapolate=false) const |
spot variance | |
Volatility | blackForwardVol (const Date &date1, const Date &date2, Real strike, bool extrapolate=false) const |
forward (at-the-money) volatility | |
Volatility | blackForwardVol (Time time1, Time time2, Real strike, bool extrapolate=false) const |
forward (at-the-money) volatility | |
Real | blackForwardVariance (const Date &date1, const Date &date2, Real strike, bool extrapolate=false) const |
forward (at-the-money) variance | |
Real | blackForwardVariance (Time time1, Time time2, Real strike, bool extrapolate=false) const |
forward (at-the-money) variance | |
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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 | |
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 | |
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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 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< std::set< boost::shared_ptr< Observable > >::iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
void | registerWithObservables (const boost::shared_ptr< Observer > &) |
Size | unregisterWith (const boost::shared_ptr< Observable > &) |
void | unregisterWithAll () |
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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 | |
Protected Member Functions | |
Real | blackVarianceImpl (Time maturity, Real strike) const |
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virtual Volatility | blackVolImpl (Time t, Real strike) const =0 |
Black volatility calculation. | |
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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 | |
Additional Inherited Members | |
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bool | moving_ |
bool | updated_ |
Calendar | calendar_ |
Black-volatility term structure.
This abstract class acts as an adapter to BlackVolTermStructure allowing the programmer to implement only the blackVolImpl(Time, Real, bool)
method in derived classes.
Volatility are assumed to be expressed on an annual basis.
BlackVolatilityTermStructure | ( | BusinessDayConvention | bdc = Following , |
const DayCounter & | dc = DayCounter() |
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) |
default constructor
Returns the variance for the given strike and date calculating it from the volatility.
Implements BlackVolTermStructure.