InterpolatedCapFloorTermVolCurve< Interpolator > Class Template Reference

Interpolated cap floor term volatility curve. More...

#include <qle/termstructures/capfloortermvolcurve.hpp>

Inheritance diagram for InterpolatedCapFloorTermVolCurve< Interpolator >:

Public Member Functions
	InterpolatedCapFloorTermVolCurve (QuantLib::Natural settlementDays, const QuantLib::Calendar &calendar, QuantLib::BusinessDayConvention bdc, const std::vector< QuantLib::Period > &optionTenors, const std::vector< QuantLib::Handle< QuantLib::Quote > > &volatilities, const QuantLib::DayCounter &dayCounter=QuantLib::Actual365Fixed(), bool flatFirstPeriod=true, const Interpolator &interpolator=Interpolator())
	InterpolatedCapFloorTermVolCurve (const QuantLib::Date &settlementDate, const QuantLib::Calendar &calendar, QuantLib::BusinessDayConvention bdc, const std::vector< QuantLib::Period > &optionTenors, const std::vector< QuantLib::Handle< QuantLib::Quote > > &volatilities, const QuantLib::DayCounter &dayCounter=QuantLib::Actual365Fixed(), bool flatFirstPeriod=true, const Interpolator &interpolator=Interpolator())
TermStructure interface
QuantLib::Date	maxDate () const override
VolatilityTermStructure interface
QuantLib::Rate	minStrike () const override
QuantLib::Rate	maxStrike () const override
LazyObject interface
void	update () override
void	performCalculations () const override
CapFloorTermVolCurve interface
std::vector< QuantLib::Period >	optionTenors () const override
	Return the tenors used in the CapFloorTermVolCurve.
Inspectors
const std::vector< QuantLib::Date > &	optionDates () const
const std::vector< QuantLib::Time > &	optionTimes () const
Public Member Functions inherited from CapFloorTermVolCurve
	CapFloorTermVolCurve (QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dc=QuantLib::DayCounter())
	CapFloorTermVolCurve (const QuantLib::Date &referenceDate, const QuantLib::Calendar &cal, QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dc=QuantLib::DayCounter())
	CapFloorTermVolCurve (QuantLib::Natural settlementDays, const QuantLib::Calendar &cal, QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dc=QuantLib::DayCounter())
	calculate the reference date based on the global evaluation date

CapFloorTermVolatilityStructure interface
QuantLib::Volatility	volatilityImpl (QuantLib::Time length, QuantLib::Rate) const override

Detailed Description

template<class Interpolator>
class QuantExt::InterpolatedCapFloorTermVolCurve< Interpolator >

Interpolated cap floor term volatility curve.

Class that interpolates a vector of cap floor volatilities.

Based on the class QuantLib::CapFloorTermVolCurve with changes:

• allows for a user provided interpolation (main reason for copy)
• does not derive from boost::noncopyable (is this needed?)

Constructor & Destructor Documentation

InterpolatedCapFloorTermVolCurve() [1/2]

InterpolatedCapFloorTermVolCurve	(	QuantLib::Natural	settlementDays,
		const QuantLib::Calendar &	calendar,
		QuantLib::BusinessDayConvention	bdc,
		const std::vector< QuantLib::Period > &	optionTenors,
		const std::vector< QuantLib::Handle< QuantLib::Quote > > &	volatilities,
		const QuantLib::DayCounter &	dayCounter = QuantLib::Actual365Fixed(),
		bool	flatFirstPeriod = true,
		const Interpolator &	interpolator = Interpolator()
	)

Constructor with floating reference date

Parameters

settlementDays	Number of days from evaluation date to curve reference date.
calendar	The calendar used to derive cap floor maturity dates from optionTenors. Also used to advance from today to reference date if necessary.
bdc	The business day convention used to derive cap floor maturity dates from optionTenors.
optionTenors	The cap floor tenors. The first tenor must be positive.
volatilities	The cap floor volatility quotes.
dayCounter	The day counter used to convert from dates to times.
flatFirstPeriod	Set to true to use the first element of volatilities between time zero and the first element of optionTenors. If this is false, the volatility at time zero is set to zero and interpolation between time and the first element of optionTenors is used.
interpolator	An instance of the interpolator to use. Allows for specification of Interpolator instances that use a constructor that takes arguments.

InterpolatedCapFloorTermVolCurve() [2/2]

InterpolatedCapFloorTermVolCurve	(	const QuantLib::Date &	settlementDate,
		const QuantLib::Calendar &	calendar,
		QuantLib::BusinessDayConvention	bdc,
		const std::vector< QuantLib::Period > &	optionTenors,
		const std::vector< QuantLib::Handle< QuantLib::Quote > > &	volatilities,
		const QuantLib::DayCounter &	dayCounter = QuantLib::Actual365Fixed(),
		bool	flatFirstPeriod = true,
		const Interpolator &	interpolator = Interpolator()
	)

Constructor with fixed reference date

Parameters

settlementDate	The curve reference date.
calendar	The calendar used to derive cap floor maturity dates from optionTenors. Also used to advance from today to reference date if necessary.
bdc	The business day convention used to derive cap floor maturity dates from optionTenors.
optionTenors	The cap floor tenors. The first tenor must be positive.
volatilities	The cap floor volatility quotes.
dayCounter	The day counter used to convert from dates to times.
flatFirstPeriod	Set to true to use the first element of volatilities between time zero and the first element of optionTenors. If this is false, the volatility at time zero is set to zero and interpolation between time and the first element of optionTenors is used.
interpolator	An instance of the interpolator to use. Allows for specification of Interpolator instances that use a constructor that takes arguments.