QuantLib_OptionletVolatilityStructure (3) - Linux Manuals

QuantLib_OptionletVolatilityStructure: Optionlet (caplet/floorlet) volatility structure.

NAME

QuantLib::OptionletVolatilityStructure - Optionlet (caplet/floorlet) volatility structure.

SYNOPSIS

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

Inherits QuantLib::VolatilityTermStructure.

Inherited by CapletVarianceCurve, ConstantOptionletVolatility, SpreadedOptionletVolatility, and StrippedOptionletAdapter.

Public Member Functions

Constructors
See the TermStructure documentation for issues regarding constructors.

OptionletVolatilityStructure (const Calendar &cal, BusinessDayConvention bdc, 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
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

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 (const Calendar & cal, BusinessDayConvention bdc, 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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