CallableBondVolatilityStructure Class Referenceabstract

Callable-bond volatility structure. More...

#include <ql/experimental/callablebonds/callablebondvolstructure.hpp>

Inheritance diagram for CallableBondVolatilityStructure:

Public Member Functions

virtual std::pair< Time, TimeconvertDates (const Date &optionDate, const Period &bondTenor) const
 implements the conversion between dates and times
 
virtual BusinessDayConvention businessDayConvention () const
 the business day convention used for option date calculation
 
Date optionDateFromTenor (const Period &optionTenor) const
 implements the conversion between optionTenors and optionDates
 
Constructors

See the TermStructure documentation for issues regarding constructors.

 CallableBondVolatilityStructure (const DayCounter &dc=DayCounter(), BusinessDayConvention bdc=Following)
 default constructor
 
 CallableBondVolatilityStructure (const Date &referenceDate, const Calendar &calendar=Calendar(), const DayCounter &dc=DayCounter(), BusinessDayConvention bdc=Following)
 initialize with a fixed reference date
 
 CallableBondVolatilityStructure (Natural settlementDays, const Calendar &, const DayCounter &dc=DayCounter(), BusinessDayConvention bdc=Following)
 calculate the reference date based on the global evaluation date
 
Volatility, variance and smile
Volatility volatility (Time optionTime, Time bondLength, Rate strike, bool extrapolate=false) const
 returns the volatility for a given option time and bondLength
 
Real blackVariance (Time optionTime, Time bondLength, Rate strike, bool extrapolate=false) const
 returns the Black variance for a given option time and bondLength
 
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
 
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
 
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
 
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
 
boost::shared_ptr< SmileSectionsmileSection (const Period &optionTenor, const Period &bondTenor) const
 
Limits
virtual const PeriodmaxBondTenor () const =0
 the largest length for which the term structure can return vols
 
virtual Time maxBondLength () const
 the largest bondLength for which the term structure can return vols
 
virtual Rate minStrike () const =0
 the minimum strike for which the term structure can return vols
 
virtual Rate maxStrike () const =0
 the maximum strike for which the term structure can return vols
 
- 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
 
virtual DayCounter dayCounter () const
 the day counter used for date/time conversion
 
Time timeFromReference (const Date &date) const
 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 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

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

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.

Constructor & Destructor Documentation

default constructor

Warning:
term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.