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QuantLib::CallableBondConstantVolatility Class Reference

#include <callablebondconstantvol.hpp>

Inheritance diagram for QuantLib::CallableBondConstantVolatility:

QuantLib::CallableBondVolatilityStructure QuantLib::TermStructure QuantLib::Observer QuantLib::Observable QuantLib::Extrapolator

List of all members.


Detailed Description

Constant callable-bond volatility, no time-strike dependence.

Definition at line 35 of file callablebondconstantvol.hpp.


CallableBondConstantVolatility interface

Time maxBondLength () const
 the largest bondLength for which the term structure can return vols
const PeriodmaxBondTenor () const
 the largest length for which the term structure can return vols
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
boost::shared_ptr< SmileSectionsmileSectionImpl (Time optionTime, Time bondLength) const
 return smile section
Volatility volatilityImpl (const Date &, const Period &, Rate) const
Volatility volatilityImpl (Time, Time, Rate) const
 implements the actual volatility calculation in derived classes

Public Member Functions

virtual BusinessDayConvention businessDayConvention () const
 the business day convention used for option date calculation
 CallableBondConstantVolatility (Natural settlementDays, const Calendar &, const Handle< Quote > &volatility, const DayCounter &dayCounter)
 CallableBondConstantVolatility (Natural settlementDays, const Calendar &, Volatility volatility, const DayCounter &dayCounter)
 CallableBondConstantVolatility (const Date &referenceDate, const Handle< Quote > &volatility, const DayCounter &dayCounter)
 CallableBondConstantVolatility (const Date &referenceDate, Volatility volatility, const DayCounter &dayCounter)
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 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
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
modifiers
void disableExtrapolation (bool b=true)
 disable extrapolation in subsequent calls
void enableExtrapolation (bool b=true)
 enable extrapolation in subsequent calls
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

Protected Attributes

Calendar calendar_
bool moving_

Private Attributes

DayCounter dayCounter_
Period maxBondTenor_
Handle< Quotevolatility_

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

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