CapletVarianceCurve Class Reference

#include <ql/termstructures/volatility/optionlet/capletvariancecurve.hpp>

Inheritance diagram for CapletVarianceCurve:

Public Member Functions

 CapletVarianceCurve (const Date &referenceDate, const std::vector< Date > &dates, const std::vector< Volatility > &capletVolCurve, const DayCounter &dayCounter)
 
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
 
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
 
- Public Member Functions inherited from OptionletVolatilityStructure
 OptionletVolatilityStructure (const Calendar &cal, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
 
 OptionletVolatilityStructure (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
 default constructor
 
 OptionletVolatilityStructure (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
 initialize with a fixed reference date
 
 OptionletVolatilityStructure (Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
 calculate the reference date based on the global evaluation date
 
Volatility volatility (const Period &optionTenor, Rate strike, bool extrapolate=false) const
 returns the volatility for a given option tenor and strike rate
 
Volatility volatility (const Date &optionDate, Rate strike, bool extrapolate=false) const
 returns the volatility for a given option date and strike rate
 
Volatility volatility (Time optionTime, Rate strike, bool extrapolate=false) const
 returns the volatility for a given option time and strike rate
 
Real blackVariance (const Period &optionTenor, Rate strike, bool extrapolate=false) const
 returns the Black variance for a given option tenor and strike rate
 
Real blackVariance (const Date &optionDate, Rate strike, bool extrapolate=false) const
 returns the Black variance for a given option date and strike rate
 
Real blackVariance (Time optionTime, Rate strike, bool extrapolate=false) const
 returns the Black variance for a given option time and strike rate
 
boost::shared_ptr< SmileSectionsmileSection (const Period &optionTenor, bool extr=false) const
 returns the smile for a given option tenor
 
boost::shared_ptr< SmileSectionsmileSection (const Date &optionDate, bool extr=false) const
 returns the smile for a given option date
 
boost::shared_ptr< SmileSectionsmileSection (Time optionTime, bool extr=false) const
 returns the smile for a given option time
 
- Public Member Functions inherited from VolatilityTermStructure
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
 
- Public Member Functions inherited from TermStructure
 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
 
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 DatereferenceDate () 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 ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (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 ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Extrapolator
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

boost::shared_ptr< SmileSectionsmileSectionImpl (Time t) const
 implements the actual smile calculation in derived classes
 
Volatility volatilityImpl (Time t, Rate) const
 implements the actual volatility calculation in derived classes
 
- Protected Member Functions inherited from OptionletVolatilityStructure
virtual boost::shared_ptr
< SmileSection
smileSectionImpl (const Date &optionDate) const
 
Volatility volatilityImpl (const Date &optionDate, Rate strike) const
 
- Protected Member Functions inherited from VolatilityTermStructure
void checkStrike (Rate strike, bool extrapolate) const
 strike-range check
 
- Protected Member Functions inherited from TermStructure
void checkRange (const Date &d, bool extrapolate) const
 date-range check
 
void checkRange (Time t, bool extrapolate) const
 time-range check
 

Additional Inherited Members

- Protected Attributes inherited from TermStructure
bool moving_
 
bool updated_
 
Calendar calendar_
 

Detailed Description