QuantLib: ImpliedVolTermStructure Class Reference

A free/open-source library for quantitative finance Reference manual - version 1.6

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ImpliedVolTermStructure Class Reference

Implied vol term structure at a given date in the future. More...

`#include <ql/termstructures/volatility/equityfx/impliedvoltermstructure.hpp>`

Inheritance diagram for ImpliedVolTermStructure:
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## Public Member Functions
| ImpliedVolTermStructure (const Handle< BlackVolTermStructure > &origTS, const Date &referenceDate)
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
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
Visitability
virtual void | accept (AcyclicVisitor &)
Public Member Functions inherited from BlackVarianceTermStructure
| BlackVarianceTermStructure (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
| default constructor More...
| BlackVarianceTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
| initialize with a fixed reference date
| BlackVarianceTermStructure (Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
| calculate the reference date based on the global evaluation date
Public Member Functions inherited from BlackVolTermStructure
| BlackVolTermStructure (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
| default constructor More...
| BlackVolTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
| initialize with a fixed reference date
| BlackVolTermStructure (Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
| calculate the reference date based on the global evaluation date
Volatility | blackVol (const Date &maturity, Real strike, bool extrapolate=false) const
| spot volatility
Volatility | blackVol (Time maturity, Real strike, bool extrapolate=false) const
| spot volatility
Real | blackVariance (const Date &maturity, Real strike, bool extrapolate=false) const
| spot variance
Real | blackVariance (Time maturity, Real strike, bool extrapolate=false) const
| spot variance
Volatility | blackForwardVol (const Date &date1, const Date &date2, Real strike, bool extrapolate=false) const
| forward (at-the-money) volatility
Volatility | blackForwardVol (Time time1, Time time2, Real strike, bool extrapolate=false) const
| forward (at-the-money) volatility
Real | blackForwardVariance (const Date &date1, const Date &date2, Real strike, bool extrapolate=false) const
| forward (at-the-money) variance
Real | blackForwardVariance (Time time1, Time time2, Real strike, bool extrapolate=false) const
| forward (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
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< std::set< boost::shared_ptr< Observable > >::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 &)
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

## Protected Member Functions
virtual Real | blackVarianceImpl (Time t, Real strike) const
| Black variance calculation.
Protected Member Functions inherited from BlackVarianceTermStructure
Volatility | blackVolImpl (Time t, Real strike) const
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

## Additional Inherited Members
Protected Attributes inherited from TermStructure
bool | moving_
bool | updated_
Calendar | calendar_

## Detailed Description

Implied vol term structure at a given date in the future.

The given date will be the implied reference date.

Note
  This term structure will remain linked to the original structure, i.e., any changes in the latter will be reflected in this structure as well.

Warning:
  It doesn't make financial sense to have an asset-dependant implied Vol Term Structure. This class should be used with term structures that are time dependant only.