QuantLib_OptionletVolatilityStructure man page

OptionletVolatilityStructure — Optionlet (caplet/floorlet) volatility structure.

Synopsis

#include <ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp>

Inherits VolatilityTermStructure.

Inherited by CapletVarianceCurve, ConstantOptionletVolatility, SpreadedOptionletVolatility, and StrippedOptionletAdapter.

Public Member Functions

virtual VolatilityType volatilityType () const

virtual Real displacement () const

Constructors
See the TermStructure documentation for issues regarding constructors.

OptionletVolatilityStructure (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
default constructor
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 and Variance

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

Protected Member Functions

virtual boost::shared_ptr< SmileSection > smileSectionImpl (const Date &optionDate) const

virtual boost::shared_ptr< SmileSection > smileSectionImpl (Time optionTime) const =0
implements the actual smile calculation in derived classes
virtual Volatility volatilityImpl (const Date &optionDate, Rate strike) const

virtual Volatility volatilityImpl (Time optionTime, Rate strike) const =0
implements the actual volatility calculation in derived classes

Additional Inherited Members

Detailed Description

Optionlet (caplet/floorlet) volatility structure.

This class is purely abstract and defines the interface of concrete structures which will be derived from this one.

Constructor & Destructor Documentation

OptionletVolatilityStructure (BusinessDayConvention bdc = Following, const DayCounter & dc = DayCounter())

default constructor

Warning

term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.

Author

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Referenced By

OptionletVolatilityStructure(3) is an alias of QuantLib_OptionletVolatilityStructure(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib