QuantLib: CallableBondConstantVolatility Class Reference

A free/open-source library for quantitative finance Reference manual - version 1.20

Public Member Functions | List of all members
CallableBondConstantVolatility Class Reference

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

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

Inheritance diagram for CallableBondConstantVolatility:
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## 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
| 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
virtual | ~CallableBondVolatilityStructure ()
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 ext::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
ext::shared_ptr< SmileSection > | smileSection (const Period &optionTenor, const Period &bondTenor) const
virtual std::pair< Time, Time > | convertDates (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
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 | ~TermStructure ()
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 Date & | referenceDate () 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 &)
Observer & | operator= (const Observer &)
std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &)
void | registerWithObservables (const ext::shared_ptr< Observer > &)
Size | unregisterWith (const ext::shared_ptr< Observable > &)
void | unregisterWithAll ()
virtual void | deepUpdate ()
Public Member Functions inherited from Observable
| Observable (const Observable &)
Observable & | operator= (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 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
ext::shared_ptr< SmileSection > | smileSectionImpl (Time optionTime, Time bondLength) const
| return smile section
Volatility | volatilityImpl (const Date &, const Period &, Rate) const

## Additional Inherited Members
Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type
typedef set_type::iterator | iterator
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.