julian::Volatility Class Reference

The class interfaces volatility surface. More...

#include <volatility.hpp>

Inheritance diagram for julian::Volatility:

Public Member Functions
	Volatility ()
	default constructor More...
virtual double	getVolatility (double K, Date T) const =0
	returns volatility for a give strike and date More...
virtual double	getVolatility (double K, double T) const =0
	returns volatility for a give strike and expiration time More...
virtual double	getVariance (double K, Date T) const =0
	returns variance for a give strike and date More...
virtual double	getVariance (double K, double T) const =0
	returns variance for a give strike and expiration time More...
virtual Date	getDate () const =0
	returns the date for which curve was defined. More...
virtual void	bumpVolatility (double h)=0
	bump volatility More...
virtual double	getYearFraction (Date, Date) const =0
	Calculates year fraction. More...
virtual Volatility *	clone () const =0
	virtual copy constructor More...
virtual std::string	info () const =0
	type of volatility surface More...
virtual	~Volatility ()
	destructor More...

Detailed Description

The class interfaces volatility surface.

Volatility implements the interface for volatility surface.

More information see: [12]

Constructor & Destructor Documentation

julian::Volatility::Volatility ( )

inline

default constructor

virtual julian::Volatility::~Volatility ( )

inlinevirtual

destructor

Member Function Documentation

virtual void julian::Volatility::bumpVolatility ( double  h )

pure virtual

bump volatility

Parameters

h

bump size

Note

Depending on the implementation of volatility surface bumping volatility may have different mechanism

Implemented in julian::FlatVolatility.

virtual Volatility* julian::Volatility::clone ( ) const

pure virtual

virtual copy constructor

Implemented in julian::FlatVolatility.

virtual Date julian::Volatility::getDate ( ) const

pure virtual

returns the date for which curve was defined.

Implemented in julian::FlatVolatility.

virtual double julian::Volatility::getVariance ( double  K, Date  T  ) const

pure virtual

returns variance for a give strike and date

Parameters

K	strike
T	date

Returns

annualized variance

Implemented in julian::FlatVolatility.

virtual double julian::Volatility::getVariance ( double  K, double  T  ) const

pure virtual

returns variance for a give strike and expiration time

Parameters

K	strike
T	expiration time

Returns

annualized variance

Implemented in julian::FlatVolatility.

virtual double julian::Volatility::getVolatility ( double  K, Date  T  ) const

pure virtual

returns volatility for a give strike and date

Parameters

K	strike
T	date

Returns

annualized volatility

Implemented in julian::FlatVolatility.

virtual double julian::Volatility::getVolatility ( double  K, double  T  ) const

pure virtual

returns volatility for a give strike and expiration time

Parameters

K	strike
T	expiration time

Returns

annualized volatility

Implemented in julian::FlatVolatility.

virtual double julian::Volatility::getYearFraction ( Date  , Date    ) const

pure virtual

Calculates year fraction.

This methods calculates the year fraction between two dates. The year fraction convention is defined during the construction of interest rate object.

Implemented in julian::FlatVolatility.

virtual std::string julian::Volatility::info ( ) const

pure virtual

type of volatility surface

Implemented in julian::FlatVolatility.

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The documentation for this class was generated from the following file:

• C:/Unix/home/OEM/jULIAN/src/marketData/volatility/volatility.hpp