Abcd-interpolated at-the-money (no-smile) volatility curve. More...
#include <ql/experimental/volatility/abcdatmvolcurve.hpp>
Public Member Functions | |
AbcdAtmVolCurve (Natural settlementDays, const Calendar &cal, const std::vector< Period > &optionTenors, const std::vector< Handle< Quote > > &volsHandles, const std::vector< bool > &inclusionInInterpolationFlag=std::vector< bool >(1, true), BusinessDayConvention bdc=Following, const DayCounter &dc=Actual365Fixed()) | |
floating reference date, floating market data | |
std::vector< Real > | k () const |
Returns k adjustment factors for option tenors used in interpolation. | |
Real | k (Time t) const |
Returns k adjustment factor at time t. | |
Real | a () const |
Real | b () const |
Real | c () const |
Real | d () const |
Real | rmsError () const |
Real | maxError () const |
EndCriteria::Type | endCriteria () const |
TermStructure interface | |
virtual Date | maxDate () const |
the latest date for which the curve can return values | |
VolatilityTermStructure interface | |
Real | minStrike () const |
the minimum strike for which the term structure can return vols | |
Real | maxStrike () const |
the maximum strike for which the term structure can return vols | |
LazyObject interface | |
void | update () |
void | performCalculations () const |
some inspectors | |
const std::vector< Period > & | optionTenors () const |
const std::vector< Period > & | optionTenorsInInterpolation () const |
const std::vector< Date > & | optionDates () const |
const std::vector< Time > & | optionTimes () const |
Visitability | |
virtual void | accept (AcyclicVisitor &) |
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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 | |
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 | |
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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 | |
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 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 | |
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void | update () |
void | recalculate () |
void | freeze () |
void | unfreeze () |
void | alwaysForwardNotifications () |
Protected Member Functions | |
BlackAtmVolCurve interface | |
virtual Real | atmVarianceImpl (Time t) const |
spot at-the-money variance calculation (k adjusted) | |
virtual Volatility | atmVolImpl (Time t) const |
spot at-the-money volatility calculation (k adjusted) | |
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. | |
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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 | |
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virtual void | calculate () const |
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_ |
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bool | calculated_ |
bool | frozen_ |
bool | alwaysForward_ |
Abcd-interpolated at-the-money (no-smile) volatility curve.
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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.
Implements Observer.
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virtual |
This method must implement any calculations which must be (re)done in order to calculate the desired results.
Implements LazyObject.