#include <ql/termstructures/volatility/optionlet/strippedoptionletadapter.hpp>
Inheritance diagram for StrippedOptionletAdapter:Public Member Functions | |
| StrippedOptionletAdapter (const boost::shared_ptr< StrippedOptionletBase > &) | |
| VolatilityType | volatilityType () const |
| Real | displacement () const |
TermStructure interface | |
| Date | maxDate () const |
| the latest date for which the curve can return values | |
VolatilityTermStructure interface | |
| Rate | minStrike () const |
| the minimum strike for which the term structure can return vols | |
| Rate | maxStrike () const |
| the maximum strike for which the term structure can return vols | |
LazyObject interface | |
| void | update () |
| void | performCalculations () const |
| boost::shared_ptr< OptionletStripper > | optionletStripper () const |
Public Member Functions inherited from OptionletVolatilityStructure | |
| OptionletVolatilityStructure (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
| default constructor More... | |
| 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< SmileSection > | smileSection (const Period &optionTenor, bool extr=false) const |
| returns the smile for a given option tenor | |
| boost::shared_ptr< SmileSection > | smileSection (const Date &optionDate, bool extr=false) const |
| returns the smile for a given option date | |
| boost::shared_ptr< SmileSection > | smileSection (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 (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 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 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 | |
Public Member Functions inherited from Observer | |
| 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 () |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (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 | |
Public Member Functions inherited from LazyObject | |
| void | recalculate () |
| void | freeze () |
| void | unfreeze () |
Protected Member Functions | |
OptionletVolatilityStructure interface | |
| boost::shared_ptr< SmileSection > | smileSectionImpl (Time optionTime) const |
| implements the actual smile calculation in derived classes | |
| Volatility | volatilityImpl (Time length, Rate strike) 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 |
| virtual 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 | |
Protected Member Functions inherited from LazyObject | |
| virtual void | calculate () const |
Additional Inherited Members | |
Public Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
Protected Attributes inherited from TermStructure | |
| bool | moving_ |
| bool | updated_ |
| Calendar | calendar_ |
Protected Attributes inherited from LazyObject | |
| bool | calculated_ |
| bool | frozen_ |
Adapter class for turning a StrippedOptionletBase object into an OptionletVolatilityStructure.
|
virtual |
This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.
Reimplemented from LazyObject.
|
virtual |
This method must implement any calculations which must be (re)done in order to calculate the desired results.
Implements LazyObject.