Constant callable-bond volatility, no time-strike dependence. More...
#include <ql/experimental/callablebonds/callablebondconstantvol.hpp>
Public Member Functions | |
CallableBondConstantVolatility (const Date &referenceDate, Volatility volatility, const DayCounter &dayCounter) | |
CallableBondConstantVolatility (const Date &referenceDate, const Handle< Quote > &volatility, const DayCounter &dayCounter) | |
CallableBondConstantVolatility (Natural settlementDays, const Calendar &, Volatility volatility, const DayCounter &dayCounter) | |
CallableBondConstantVolatility (Natural settlementDays, const Calendar &, const Handle< Quote > &volatility, const DayCounter &dayCounter) | |
TermStructure interface | |
DayCounter | dayCounter () const |
the day counter used for date/time conversion | |
Date | maxDate () const |
the latest date for which the curve can return values | |
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virtual std::pair< Time, Time > | convertDates (const Date &optionDate, const Period &bondTenor) const |
implements the conversion between dates and times | |
virtual BusinessDayConvention | businessDayConvention () const |
the business day convention used for option date calculation | |
Date | optionDateFromTenor (const Period &optionTenor) const |
implements the conversion between optionTenors and optionDates | |
CallableBondVolatilityStructure (const DayCounter &dc=DayCounter(), BusinessDayConvention bdc=Following) | |
default constructor More... | |
CallableBondVolatilityStructure (const Date &referenceDate, const Calendar &calendar=Calendar(), const DayCounter &dc=DayCounter(), BusinessDayConvention bdc=Following) | |
initialize with a fixed reference date | |
CallableBondVolatilityStructure (Natural settlementDays, const Calendar &, const DayCounter &dc=DayCounter(), BusinessDayConvention bdc=Following) | |
calculate the reference date based on the global evaluation date | |
Volatility | volatility (Time optionTime, Time bondLength, Rate strike, bool extrapolate=false) const |
returns the volatility for a given option time and bondLength | |
Real | blackVariance (Time optionTime, Time bondLength, Rate strike, bool extrapolate=false) const |
returns the Black variance for a given option time and bondLength | |
Volatility | volatility (const Date &optionDate, const Period &bondTenor, Rate strike, bool extrapolate=false) const |
returns the volatility for a given option date and bond tenor | |
Real | blackVariance (const Date &optionDate, const Period &bondTenor, Rate strike, bool extrapolate=false) const |
returns the Black variance for a given option date and bond tenor | |
virtual boost::shared_ptr< SmileSection > | smileSection (const Date &optionDate, const Period &bondTenor) const |
Volatility | volatility (const Period &optionTenor, const Period &bondTenor, Rate strike, bool extrapolate=false) const |
returns the volatility for a given option tenor and bond tenor | |
Real | blackVariance (const Period &optionTenor, const Period &bondTenor, Rate strike, bool extrapolate=false) const |
returns the Black variance for a given option tenor and bond tenor | |
boost::shared_ptr< SmileSection > | smileSection (const Period &optionTenor, const Period &bondTenor) const |
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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 | |
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 | |
void | update () |
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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 () |
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 | |
CallableBondConstantVolatility interface | |
const Period & | maxBondTenor () const |
the largest length for which the term structure can return vols | |
Time | maxBondLength () const |
the largest bondLength for which the term structure can return vols | |
Real | minStrike () const |
the minimum strike for which the term structure can return vols | |
Real | maxStrike () const |
the maximum strike for which the term structure can return vols | |
Volatility | volatilityImpl (Time, Time, Rate) const |
implements the actual volatility calculation in derived classes | |
boost::shared_ptr< SmileSection > | smileSectionImpl (Time optionTime, Time bondLength) const |
return smile section | |
Volatility | volatilityImpl (const Date &, const Period &, Rate) const |
Additional Inherited Members | |
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typedef std::set< boost::shared_ptr< Observable > > | set_type |
typedef set_type::iterator | iterator |
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void | checkRange (Time, Time, Rate strike, bool extrapolate) const |
void | checkRange (const Date &optionDate, const Period &bondTenor, Rate strike, bool extrapolate) const |
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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_ |
Constant callable-bond volatility, no time-strike dependence.