volatilityImpl (3) - Linux Manuals

volatilityImpl: Constant callable-bond volatility, no time-strike dependence.

NAME

QuantLib::CallableBondConstantVolatility - Constant callable-bond volatility, no time-strike dependence.

SYNOPSIS

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

Inherits QuantLib::CallableBondVolatilityStructure.

Public Member Functions

CallableBondConstantVolatility (const Date &referenceDate, Volatility volatility, const DayCounter &dayCounter)

CallableBondConstantVolatility (const Date &referenceDate, const Handle< Quote > &volatility, const DayCounter &dayCounter)

CallableBondConstantVolatility (Natural settlementDays, const Calendar &, Volatility volatility, const DayCounter &dayCounter)

CallableBondConstantVolatility (Natural settlementDays, const Calendar &, const Handle< Quote > &volatility, const DayCounter &dayCounter)

TermStructure interface

DayCounter dayCounter () const
the day counter used for date/time conversion
Date maxDate () const
the latest date for which the curve can return values

CallableBondConstantVolatility interface

const Period & maxBondTenor () const
the largest length for which the term structure can return vols
Time maxBondLength () const
the largest bondLength for which the term structure can return vols
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
Volatility volatilityImpl (Time, Time, Rate) const
implements the actual volatility calculation in derived classes
boost::shared_ptr< SmileSection > smileSectionImpl (Time optionTime, Time bondLength) const
return smile section
Volatility volatilityImpl (const Date &, const Period &, Rate) const

Detailed Description

Constant callable-bond volatility, no time-strike dependence.

Author

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