optionDateFromTenor (3) Linux Manual Page
QuantLib::CallableBondVolatilityStructure – Callable-bond volatility structure.
Synopsis
virtual const Period & maxBondTenor () const =0
the largest length for which the term structure can return vols
virtual Time maxBondLength () const
the largest bondLength for which the term structure can return vols
virtual Rate minStrike () const =0
the minimum strike for which the term structure can return vols
virtual Rate maxStrike () const =0
the maximum strike for which the term structure can return vols
Protected Member Functions
virtual boost::shared_ptr< SmileSection > smileSectionImpl (Time optionTime, Time bondLength) const =0
return smile section
virtual Volatility volatilityImpl (Time optionTime, Time bondLength, Rate strike) const =0
implements the actual volatility calculation in derived classes
virtual Volatility volatilityImpl (const Date &optionDate, const Period &bondTenor, Rate strike) const
void checkRange (Time, Time, Rate strike, bool extrapolate) const
void checkRange (const Date &optionDate, const Period &bondTenor, Rate strike, bool extrapolate) constInherits QuantLib::TermStructure. Inherited by CallableBondConstantVolatility.
Public Member Functions
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 Constructors
See the TermStructure documentation for issues regarding constructors.
virtual const Period & maxBondTenor () const =0
the largest length for which the term structure can return vols
virtual Time maxBondLength () const
the largest bondLength for which the term structure can return vols
virtual Rate minStrike () const =0
the minimum strike for which the term structure can return vols
virtual Rate maxStrike () const =0
the maximum strike for which the term structure can return vols
Protected Member Functions
virtual boost::shared_ptr< SmileSection > smileSectionImpl (Time optionTime, Time bondLength) const =0
return smile section
virtual Volatility volatilityImpl (Time optionTime, Time bondLength, Rate strike) const =0
implements the actual volatility calculation in derived classes
virtual Volatility volatilityImpl (const Date &optionDate, const Period &bondTenor, Rate strike) const
void checkRange (Time, Time, Rate strike, bool extrapolate) const
void checkRange (const Date &optionDate, const Period &bondTenor, Rate strike, bool extrapolate) constVolatility, variance and smile
virtual const Period & maxBondTenor () const =0
the largest length for which the term structure can return vols
virtual Time maxBondLength () const
the largest bondLength for which the term structure can return vols
virtual Rate minStrike () const =0
the minimum strike for which the term structure can return vols
virtual Rate maxStrike () const =0
the maximum strike for which the term structure can return vols
Protected Member Functions
virtual boost::shared_ptr< SmileSection > smileSectionImpl (Time optionTime, Time bondLength) const =0
return smile section
virtual Volatility volatilityImpl (Time optionTime, Time bondLength, Rate strike) const =0
implements the actual volatility calculation in derived classes
virtual Volatility volatilityImpl (const Date &optionDate, const Period &bondTenor, Rate strike) const
void checkRange (Time, Time, Rate strike, bool extrapolate) const
void checkRange (const Date &optionDate, const Period &bondTenor, Rate strike, bool extrapolate) constLimits
virtual const Period & maxBondTenor () const =0
the largest length for which the term structure can return vols
virtual Time maxBondLength () const
the largest bondLength for which the term structure can return vols
virtual Rate minStrike () const =0
the minimum strike for which the term structure can return vols
virtual Rate maxStrike () const =0
the maximum strike for which the term structure can return vols
Protected Member Functions
virtual boost::shared_ptr< SmileSection > smileSectionImpl (Time optionTime, Time bondLength) const =0
return smile section
virtual Volatility volatilityImpl (Time optionTime, Time bondLength, Rate strike) const =0
implements the actual volatility calculation in derived classes
virtual Volatility volatilityImpl (const Date &optionDate, const Period &bondTenor, Rate strike) const
void checkRange (Time, Time, Rate strike, bool extrapolate) const
void checkRange (const Date &optionDate, const Period &bondTenor, Rate strike, bool extrapolate) constDetailed Description
Callable-bond volatility structure.
This class is purely abstract and defines the interface of concrete callable-bond volatility structures which will be derived from this one.
Constructor & Destructor Documentation
CallableBondVolatilityStructure (const DayCounter & dc = DayCounter(), BusinessDayConvention bdc = Following)
default constructor
Warning
- term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
Author
Generated automatically by Doxygen for QuantLib from the source code.