OptionletVolatilityStructure Class Reference

Optionlet (caplet/floorlet) volatility structure. More...

#include <ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp>

Inheritance diagram for OptionletVolatilityStructure:

List of all members.

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< SmileSectionsmileSection (const Period &optionTenor, bool extr=false) const
 returns the smile for a given option tenor
boost::shared_ptr< SmileSectionsmileSection (const Date &optionDate, bool extr=false) const
 returns the smile for a given option date
boost::shared_ptr< SmileSectionsmileSection (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,
const DayCounter dc = DayCounter() 
)

default constructor

Warning:
term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.