QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.8
Public Member Functions | List of all members
AbcdAtmVolCurve Class Reference

Abcd-interpolated at-the-money (no-smile) volatility curve. More...

#include <ql/experimental/volatility/abcdatmvolcurve.hpp>

+ Inheritance diagram for AbcdAtmVolCurve:

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< Realk () 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 &)
 
- Public Member Functions inherited from BlackAtmVolCurve
 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
 
- Public Member Functions inherited from VolatilityTermStructure
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
 
- 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
 
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 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< iterator, bool > registerWith (const boost::shared_ptr< Observable > &)
 
void registerWithObservables (const boost::shared_ptr< Observer > &)
 
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
 
- Public Member Functions inherited from LazyObject
void update ()
 
void recalculate ()
 
void freeze ()
 
void unfreeze ()
 

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.

- Protected Member Functions inherited from VolatilityTermStructure
void checkStrike (Rate strike, bool extrapolate) const
 strike-range check
 
- 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 Member Functions inherited from LazyObject
virtual void calculate () const
 

Additional Inherited Members

- Public Types inherited from Observer
typedef std::set< boost::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 
- Protected Attributes inherited from TermStructure
bool moving_
 
bool updated_
 
Calendar calendar_
 
- Protected Attributes inherited from LazyObject
bool calculated_
 
bool frozen_
 

Detailed Description

Abcd-interpolated at-the-money (no-smile) volatility curve.

blah blah

Member Function Documentation

void update ( )
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.

void performCalculations ( ) const
virtual

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.