Black at-the-money (no-smile) volatility curve. More...
#include <ql/experimental/volatility/blackatmvolcurve.hpp>
Public Member Functions | |
Constructors | |
See the TermStructure documentation for issues regarding constructors. | |
BlackAtmVolCurve (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
default constructor More... | |
BlackAtmVolCurve (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
initialize with a fixed reference date | |
BlackAtmVolCurve (Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
calculate the reference date based on the global evaluation date | |
Black at-the-money spot volatility | |
Volatility | atmVol (const Period &optionTenor, bool extrapolate=false) const |
spot at-the-money volatility | |
Volatility | atmVol (const Date &maturity, bool extrapolate=false) const |
spot at-the-money volatility | |
Volatility | atmVol (Time maturity, bool extrapolate=false) const |
spot at-the-money volatility | |
Real | atmVariance (const Period &optionTenor, bool extrapolate=false) const |
spot at-the-money variance | |
Real | atmVariance (const Date &maturity, bool extrapolate=false) const |
spot at-the-money variance | |
Real | atmVariance (Time maturity, bool extrapolate=false) const |
spot at-the-money variance | |
Visitability | |
virtual void | accept (AcyclicVisitor &) |
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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 | |
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 | |
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 More... | |
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 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< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
void | registerWithObservables (const boost::shared_ptr< Observer > &) |
Size | unregisterWith (const boost::shared_ptr< Observable > &) |
void | unregisterWithAll () |
virtual void | deepUpdate () |
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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 | |
Calculations | |
These methods must be implemented in derived classes to perform the actual volatility calculations. When they are called, range check has already been performed; therefore, they must assume that extrapolation is required. | |
virtual Real | atmVarianceImpl (Time t) const =0 |
spot at-the-money variance calculation | |
virtual Volatility | atmVolImpl (Time t) const =0 |
spot at-the-money volatility calculation | |
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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 | |
Additional Inherited Members | |
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typedef std::set< boost::shared_ptr< Observable > > | set_type |
typedef set_type::iterator | iterator |
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bool | moving_ |
bool | updated_ |
Calendar | calendar_ |
Black at-the-money (no-smile) volatility curve.
This abstract class defines the interface of concrete Black at-the-money (no-smile) volatility curves which will be derived from this one.
Volatilities are assumed to be expressed on an annual basis.
BlackAtmVolCurve | ( | BusinessDayConvention | bdc = Following , |
const DayCounter & | dc = DayCounter() |
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default constructor