- QuantLib
- CallableBondVolatilityStructure
Callable-bond volatility structure. More...
#include <ql/experimental/callablebonds/callablebondvolstructure.hpp>
Public Member Functions | |
virtual std::pair< Time, Time > | convertDates (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< SmileSection > | smileSection (const Period &optionTenor, const Period &bondTenor) const |
Limits | |
virtual const Period & | maxBondTenor () 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 | |
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 |
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.
CallableBondVolatilityStructure | ( | const DayCounter & | dc = DayCounter() , |
BusinessDayConvention | bdc = Following |
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) |
default constructor