CallableBondConstantVolatility Class Reference

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

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

Inheritance diagram for CallableBondConstantVolatility:

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
 
- Public Member Functions inherited from CallableBondVolatilityStructure
virtual std::pair< Time, TimeconvertDates (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
 
 CallableBondVolatilityStructure (const DayCounter &dc=DayCounter(), BusinessDayConvention bdc=Following)
 default constructor More...
 
 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 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< SmileSectionsmileSection (const Period &optionTenor, const Period &bondTenor) const
 
- Public Member Functions inherited from TermStructure
 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
 
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 DatereferenceDate () 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 ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< std::set
< boost::shared_ptr
< Observable > >::iterator,
bool > 
registerWith (const boost::shared_ptr< Observable > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Extrapolator
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
 

CallableBondConstantVolatility interface

const PeriodmaxBondTenor () 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< SmileSectionsmileSectionImpl (Time optionTime, Time bondLength) const
 return smile section
 
Volatility volatilityImpl (const Date &, const Period &, Rate) const
 

Additional Inherited Members

- Protected Member Functions inherited from CallableBondVolatilityStructure
void checkRange (Time, Time, Rate strike, bool extrapolate) const
 
void checkRange (const Date &optionDate, const Period &bondTenor, Rate strike, bool extrapolate) const
 
- Protected Member Functions inherited from TermStructure
void checkRange (const Date &d, bool extrapolate) const
 date-range check
 
void checkRange (Time t, bool extrapolate) const
 time-range check
 
- Protected Attributes inherited from TermStructure
bool moving_
 
bool updated_
 
Calendar calendar_
 

Detailed Description

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