org.jquantlib.termstructures

Class BlackVarianceTermStructure

java.lang.Object

org.jquantlib.termstructures.AbstractTermStructure

org.jquantlib.termstructures.volatilities.VolatilityTermStructure

org.jquantlib.termstructures.BlackVolTermStructure

org.jquantlib.termstructures.BlackVarianceTermStructure

All Implemented Interfaces:

Extrapolator, TermStructure, Observable, Observer, PolymorphicVisitable

Direct Known Subclasses:

BlackVarianceCurve, BlackVarianceSurface, ImpliedVolTermStructure

public abstract class BlackVarianceTermStructure
extends BlackVolTermStructure

Black variance term structure

This abstract class acts as an adapter to VolTermStructure allowing the programmer to implement only the blackVarianceImpl(Time, Real, bool) method in derived classes.

Volatility is assumed to be expressed on an annual basis.

Constructor Summary

Constructors

Constructor and Description
BlackVarianceTermStructure() 'default' constructor
BlackVarianceTermStructure(Calendar cal) 'default' constructor
BlackVarianceTermStructure(Calendar cal, BusinessDayConvention bdc) 'default' constructor
BlackVarianceTermStructure(Calendar cal, BusinessDayConvention bdc, DayCounter dc) 'default' constructor
BlackVarianceTermStructure(Date referenceDate) initialize with a fixed reference date
BlackVarianceTermStructure(Date referenceDate, Calendar cal) initialize with a fixed reference date
BlackVarianceTermStructure(Date referenceDate, Calendar cal, BusinessDayConvention bdc) initialize with a fixed reference date
BlackVarianceTermStructure(Date referenceDate, Calendar cal, BusinessDayConvention bdc, DayCounter dc) initialize with a fixed reference date
BlackVarianceTermStructure(int settlementDays, Calendar cal) calculate the reference date based on the global evaluation date
BlackVarianceTermStructure(int settlementDays, Calendar cal, BusinessDayConvention bdc) calculate the reference date based on the global evaluation date
BlackVarianceTermStructure(int settlementDays, Calendar cal, BusinessDayConvention bdc, DayCounter dc) calculate the reference date based on the global evaluation date

Method Summary

Modifier and Type	Method and Description
void	accept(PolymorphicVisitor pv) This method is intended to extend the semantics of method Visitable.accept(Visitor)

Methods inherited from class org.jquantlib.termstructures.BlackVolTermStructure

blackForwardVariance, blackForwardVariance, blackForwardVol, blackForwardVol, blackVariance, blackVariance, blackVariance, blackVariance, blackVol, blackVol, blackVol, blackVol, maxStrike, minStrike

Methods inherited from class org.jquantlib.termstructures.volatilities.VolatilityTermStructure

businessDayConvention, optionDateFromTenor

Methods inherited from class org.jquantlib.termstructures.AbstractTermStructure

addObserver, allowsExtrapolation, calendar, countObservers, dayCounter, deleteObserver, deleteObservers, disableExtrapolation, enableExtrapolation, getObservers, maxTime, notifyObservers, notifyObservers, referenceDate, settlementDays, timeFromReference, update

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Methods inherited from interface org.jquantlib.termstructures.TermStructure

maxDate

Constructor Detail

BlackVarianceTermStructure

public BlackVarianceTermStructure()

'default' constructor

BlackVarianceTermStructure

public BlackVarianceTermStructure(Calendar cal)

'default' constructor

BlackVarianceTermStructure

public BlackVarianceTermStructure(Calendar cal,
                                  BusinessDayConvention bdc)

'default' constructor

BlackVarianceTermStructure

public BlackVarianceTermStructure(Calendar cal,
                                  BusinessDayConvention bdc,
                                  DayCounter dc)

'default' constructor

BlackVarianceTermStructure

public BlackVarianceTermStructure(Date referenceDate)

initialize with a fixed reference date

BlackVarianceTermStructure

public BlackVarianceTermStructure(Date referenceDate,
                                  Calendar cal)

initialize with a fixed reference date

BlackVarianceTermStructure

public BlackVarianceTermStructure(Date referenceDate,
                                  Calendar cal,
                                  BusinessDayConvention bdc)

initialize with a fixed reference date

BlackVarianceTermStructure

public BlackVarianceTermStructure(Date referenceDate,
                                  Calendar cal,
                                  BusinessDayConvention bdc,
                                  DayCounter dc)

initialize with a fixed reference date

BlackVarianceTermStructure

public BlackVarianceTermStructure(int settlementDays,
                                  Calendar cal)

calculate the reference date based on the global evaluation date

BlackVarianceTermStructure

public BlackVarianceTermStructure(int settlementDays,
                                  Calendar cal,
                                  BusinessDayConvention bdc)

calculate the reference date based on the global evaluation date

BlackVarianceTermStructure

public BlackVarianceTermStructure(int settlementDays,
                                  Calendar cal,
                                  BusinessDayConvention bdc,
                                  DayCounter dc)

calculate the reference date based on the global evaluation date

Method Detail

accept

public void accept(PolymorphicVisitor pv)

Description copied from interface: PolymorphicVisitable

This method is intended to extend the semantics of method Visitable.accept(Visitor)

In a conventional Visitor design pattern, the accept method is called when access to visit a data structure is requested. A Visitor object is passed as argument in case permission is granted to that Visitor to access the data structure. Obviously, Visitors and Visitables work in pairs and the class which provides the data structure to be visited also implements Visitable in order to properly grant access when the expected Visitor is received.

In the case of a PolymorphicVisitable, a PolymorphicVisitor is passed instead of a Visitor. A PolymorphicVisitor is in fact, a composition of Visitors and not only a single Visitor. A PolymorphicVisitor is responsible for returning the correct Visitor responsible for processing a certain data structure.

The initial design of pairs made of <Visitor,Visitable> is extended to a concept of a matrix made of multiple Visitors against multiple Visitables. Every class which implements PolymorphicVisitable passes different data structures when querying PolymorphicVisitors.

Specified by:

accept in interface PolymorphicVisitable

Overrides:

accept in class BlackVolTermStructure

See Also:

PolymorphicVisitor#getVisitor(Class)