QuantLib_CallableBondVolatilityStructure man page

CallableBondVolatilityStructure — Callable-bond volatility structure.

Synopsis

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

Inherits TermStructure.

Inherited by CallableBondConstantVolatility.

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

Additional Inherited Members

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.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

businessDayConvention(3), CallableBondVolatilityStructure(3), checkRange(3), convertDates(3) and optionDateFromTenor(3) are aliases of QuantLib_CallableBondVolatilityStructure(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib