CallableBondVolatilityStructure Class Reference
Callable-bond volatility structure. More...
#include <ql/experimental/callablebonds/callablebondvolstructure.hpp>
Inheritance diagram for CallableBondVolatilityStructure:

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 | |
| 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 |
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
| CallableBondVolatilityStructure | ( | const DayCounter & | dc = DayCounter(), |
|
| BusinessDayConvention | bdc = Following | |||
| ) |
default constructor
- Warning:
- term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.