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QuantLib::CallableBondVolatilityStructure Class Reference

#include <callablebondvolstructure.hpp>

Inheritance diagram for QuantLib::CallableBondVolatilityStructure:

QuantLib::TermStructure QuantLib::Observer QuantLib::Observable QuantLib::Extrapolator QuantLib::CallableBondConstantVolatility

List of all members.


Detailed Description

Callable-bond volatility structure.

This class is purely abstract and defines the interface of concrete callable-bond volatility structures which will be derived from this one.

Definition at line 38 of file callablebondvolstructure.hpp.


Public Member Functions

virtual BusinessDayConvention businessDayConvention () const
 the business day convention used for option date calculation
virtual std::pair< Time, TimeconvertDates (const Date &optionDate, const Period &bondTenor) const
 implements the conversion between dates and times
void notifyObservers ()
Date optionDateFromTenor (const Period &optionTenor) const
 implements the conversion between optionTenors and optionDates
void registerWith (const boost::shared_ptr< Observable > &)
void unregisterWith (const boost::shared_ptr< Observable > &)
inspectors
bool allowsExtrapolation () const
 tells whether extrapolation is enabled
Volatility, variance and smile
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
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
Real blackVariance (Time optionTime, Time bondLength, Rate strike, bool extrapolate=false) const
 returns the Black variance for a given option time and bondLength
boost::shared_ptr< SmileSectionsmileSection (const Period &optionTenor, const Period &bondTenor) const
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
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
Volatility volatility (Time optionTime, Time bondLength, Rate strike, bool extrapolate=false) const
 returns the volatility for a given option time and bondLength
Dates and Time
virtual Calendar calendar () const
 the calendar used for reference and/or option date calculation
virtual DayCounter dayCounter () const
 the day counter used for 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 Natural settlementDays () const
 the settlementDays used for reference date calculation
Time timeFromReference (const Date &date) const
 date/time conversion
Constructors
See the TermStructure documentation for issues regarding constructors.

 CallableBondVolatilityStructure (Natural settlementDays, const Calendar &, const DayCounter &dc=DayCounter(), BusinessDayConvention bdc=Following)
 calculate the reference date based on the global evaluation date
 CallableBondVolatilityStructure (const Date &referenceDate, const Calendar &calendar=Calendar(), const DayCounter &dc=DayCounter(), BusinessDayConvention bdc=Following)
 initialize with a fixed reference date
 CallableBondVolatilityStructure (const DayCounter &dc=DayCounter(), BusinessDayConvention bdc=Following)
 default constructor
modifiers
void disableExtrapolation (bool b=true)
 disable extrapolation in subsequent calls
void enableExtrapolation (bool b=true)
 enable extrapolation in subsequent calls
Limits
virtual Time maxBondLength () const
 the largest bondLength for which the term structure can return vols
virtual const PeriodmaxBondTenor () const =0
 the largest length for which the term structure can return vols
virtual Rate maxStrike () const =0
 the maximum strike for which the term structure can return vols
virtual Rate minStrike () const =0
 the minimum strike for which the term structure can return vols
Observer interface
void update ()

Protected Member Functions

void checkRange (Time t, bool extrapolate) const
 time-range check
void checkRange (const Date &d, bool extrapolate) const
 date-range check
void checkRange (const Date &optionDate, const Period &bondTenor, Rate strike, bool extrapolate) const
void checkRange (Time, Time, Rate strike, bool extrapolate) const
virtual boost::shared_ptr
< SmileSection
smileSectionImpl (Time optionTime, Time bondLength) const =0
 return smile section
virtual Volatility volatilityImpl (const Date &optionDate, const Period &bondTenor, Rate strike) const
virtual Volatility volatilityImpl (Time optionTime, Time bondLength, Rate strike) const =0
 implements the actual volatility calculation in derived classes

Protected Attributes

Calendar calendar_
bool moving_

Private Attributes

BusinessDayConvention bdc_

The documentation for this class was generated from the following files:

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