CreditVolCurveWrapper Class Reference

Inheritance diagram for CreditVolCurveWrapper:

Public Member Functions
	CreditVolCurveWrapper (const QuantLib::Handle< QuantLib::BlackVolTermStructure > &vol)
QuantLib::Real	volatility (const QuantLib::Date &exerciseDate, const QuantLib::Real underlyingLength, const QuantLib::Real strike, const Type &targetType) const override
const QuantLib::Date &	referenceDate () const override
Public Member Functions inherited from CreditVolCurve
	CreditVolCurve (QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dc, const std::vector< QuantLib::Period > &terms, const std::vector< QuantLib::Handle< CreditCurve > > &termCurves, const Type &type)
	CreditVolCurve (const QuantLib::Natural settlementDays, const QuantLib::Calendar &cal, QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dc, const std::vector< QuantLib::Period > &terms, const std::vector< QuantLib::Handle< CreditCurve > > &termCurves, const Type &type)
	CreditVolCurve (const QuantLib::Date &referenceDate, const QuantLib::Calendar &cal, QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dc, const std::vector< QuantLib::Period > &terms, const std::vector< QuantLib::Handle< CreditCurve > > &termCurves, const Type &type)
QuantLib::Real	volatility (const QuantLib::Date &exerciseDate, const QuantLib::Period &underlyingTerm, const QuantLib::Real strike, const Type &targetType) const
QuantLib::Real	volatility (const QuantLib::Real exerciseTime, const QuantLib::Real underlyingLength, const QuantLib::Real strike, const Type &targetType) const
virtual const std::vector< QuantLib::Period > &	terms () const
virtual const std::vector< QuantLib::Handle< CreditCurve > > &	termCurves () const
const Type &	type () const
QuantLib::Real	atmStrike (const QuantLib::Date &expiry, const QuantLib::Period &term) const
QuantLib::Real	atmStrike (const QuantLib::Date &expiry, const QuantLib::Real underlyingLength) const
QuantLib::Real	minStrike () const override
QuantLib::Real	maxStrike () const override
QuantLib::Date	maxDate () const override

Additional Inherited Members
Public Types inherited from CreditVolCurve
enum class	Type { Price , Spread }
Protected Member Functions inherited from CreditVolCurve
void	init ()
void	update () override
void	performCalculations () const override
QuantLib::Real	moneyness (const QuantLib::Real strike, const QuantLib::Real atmStrike) const
QuantLib::Real	strike (const QuantLib::Real moneyness, const QuantLib::Real atmStrike) const
Protected Attributes inherited from CreditVolCurve
std::vector< QuantLib::Period >	terms_
std::vector< QuantLib::Handle< CreditCurve > >	termCurves_
Type	type_
std::map< std::pair< QuantLib::Date, double >, double >	atmStrikeCache_

Member Function Documentation

volatility()

QuantLib::Real volatility ( const QuantLib::Date & exerciseDate, const QuantLib::Real underlyingLength, const QuantLib::Real strike, const Type & targetType ) const

overridevirtual

Implements CreditVolCurve.