Constant surface, no K or T dependence. More...
#include <ql/termstructures/volatility/inflation/yoyinflationoptionletvolatilitystructure.hpp>
Public Member Functions | |
Constructor | |
ConstantYoYOptionletVolatility (const Volatility v, Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc, const Period &observationLag, Frequency frequency, bool indexIsInterpolated, Rate minStrike=-1.0, Rate maxStrike=100.0) | |
calculate the reference date based on the global evaluation date | |
Limits | |
virtual Date | maxDate () const |
the latest date for which the curve can return values | |
virtual Real | minStrike () const |
the minimum strike for which the term structure can return vols | |
virtual Real | maxStrike () const |
the maximum strike for which the term structure can return vols | |
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virtual Volatility | baseLevel () const |
YoYOptionletVolatilitySurface (Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc, const Period &observationLag, Frequency frequency, bool indexIsInterpolated) | |
virtual | ~YoYOptionletVolatilitySurface () |
Volatility | volatility (const Date &maturityDate, Rate strike, const Period &obsLag=Period(-1, Days), bool extrapolate=false) const |
Volatility | volatility (const Period &optionTenor, Rate strike, const Period &obsLag=Period(-1, Days), bool extrapolate=false) const |
returns the volatility for a given option tenor and strike rate | |
virtual Volatility | totalVariance (const Date &exerciseDate, Rate strike, const Period &obsLag=Period(-1, Days), bool extrapolate=false) const |
Returns the total integrated variance for a given exercise date and strike rate. | |
virtual Volatility | totalVariance (const Period &optionTenor, Rate strike, const Period &obsLag=Period(-1, Days), bool extrapolate=false) const |
returns the total integrated variance for a given option tenor and strike rate | |
virtual Period | observationLag () const |
virtual Frequency | frequency () const |
virtual bool | indexIsInterpolated () const |
virtual Date | baseDate () const |
virtual Time | timeFromBase (const Date &date, const Period &obsLag=Period(-1, Days)) const |
base date will be in the past because of observation lag | |
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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 | |
VolatilityTermStructure (const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) | |
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 | |
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 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 > &) |
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 | |
virtual Volatility | volatilityImpl (Time length, Rate strike) const |
implements the actual volatility calculation in derived classes | |
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virtual void | checkRange (const Date &, Rate strike, bool extrapolate) const |
virtual void | checkRange (Time, Rate strike, bool extrapolate) const |
virtual void | setBaseLevel (Volatility v) |
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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 | |
Protected Attributes | |
Volatility | volatility_ |
Rate | minStrike_ |
Rate | maxStrike_ |
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Volatility | baseLevel_ |
Period | observationLag_ |
Frequency | frequency_ |
bool | indexIsInterpolated_ |
Constant surface, no K or T dependence.