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QuantLib::ExtendedBlackVarianceCurve Class Reference

#include <extendedblackvariancecurve.hpp>

Inheritance diagram for QuantLib::ExtendedBlackVarianceCurve:

QuantLib::BlackVarianceTermStructure QuantLib::BlackVolTermStructure QuantLib::VolatilityTermStructure QuantLib::TermStructure QuantLib::Observer QuantLib::Observable QuantLib::Extrapolator

List of all members.


Detailed Description

Black volatility curve modelled as variance curve.

This class is similar to BlackVarianceCurve, but extends it to use quotes for the input volatilities.

Definition at line 38 of file extendedblackvariancecurve.hpp.


Public Member Functions

void accept (AcyclicVisitor &)
virtual BusinessDayConvention businessDayConvention () const
 the business day convention used in tenor to date conversion
DayCounter dayCounter () const
 the day counter used for date/time conversion
 ExtendedBlackVarianceCurve (const Date &referenceDate, const std::vector< Date > &dates, const std::vector< Handle< Quote > > &volatilities, const DayCounter &dayCounter, bool forceMonotoneVariance=true)
Date maxDate () const
 the latest date for which the curve can return values
Real maxStrike () const
 the maximum strike for which the term structure can return vols
Real minStrike () const
 the minimum strike for which the term structure can return vols
void notifyObservers ()
Date optionDateFromTenor (const Period &) const
 period/date conversion
void registerWith (const boost::shared_ptr< Observable > &)
template<class Interpolator>
void setInterpolation (const Interpolator &i=Interpolator())
void unregisterWith (const boost::shared_ptr< Observable > &)
void update ()
inspectors
bool allowsExtrapolation () const
 tells whether extrapolation is enabled
Black Volatility
Real blackForwardVariance (Time time1, Time time2, Real strike, bool extrapolate=false) const
 forward (at-the-money) variance
Real blackForwardVariance (const Date &date1, const Date &date2, Real strike, bool extrapolate=false) const
 forward (at-the-money) variance
Volatility blackForwardVol (Time time1, Time time2, Real strike, bool extrapolate=false) const
 forward (at-the-money) volatility
Volatility blackForwardVol (const Date &date1, const Date &date2, Real strike, bool extrapolate=false) const
 forward (at-the-money) volatility
Real blackVariance (Time maturity, Real strike, bool extrapolate=false) const
 spot variance
Real blackVariance (const Date &maturity, Real strike, bool extrapolate=false) const
 spot variance
Volatility blackVol (Time maturity, Real strike, bool extrapolate=false) const
 spot volatility
Volatility blackVol (const Date &maturity, Real strike, bool extrapolate=false) const
 spot volatility
Dates and Time
virtual Calendar calendar () const
 the calendar used for reference and/or option date calculation
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
modifiers
void disableExtrapolation (bool b=true)
 disable extrapolation in subsequent calls
void enableExtrapolation (bool b=true)
 enable extrapolation in subsequent calls

Protected Member Functions

Volatility blackVolImpl (Time t, Real strike) const
void checkRange (Time t, bool extrapolate) const
 time-range check
void checkRange (const Date &d, bool extrapolate) const
 date-range check
void checkStrike (Rate strike, bool extrapolate) const
 strike-range check

Protected Attributes

Calendar calendar_
bool moving_

Private Member Functions

Real blackVarianceImpl (Time t, Real) const
 Black variance calculation.
void setVariances ()

Private Attributes

DayCounter dayCounter_
bool forceMonotoneVariance_
Date maxDate_
std::vector< Timetimes_
Interpolation varianceCurve_
std::vector< Realvariances_
std::vector< Handle< Quote > > volatilities_

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

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