OptionletVolatilityStructure Class Reference
Optionlet (caplet/floorlet) volatility structure. More...
#include <ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp>
Inheritance diagram for OptionletVolatilityStructure:

Public Member Functions | |
Constructors | |
See the TermStructure documentation for issues regarding constructors. | |
OptionletVolatilityStructure (const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, 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 = Calendar() , |
BusinessDayConvention | bdc = Following , |
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const DayCounter & | dc = DayCounter() |
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) |
default constructor
- Warning:
- term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.