org.jquantlib.termstructures.volatilities

Class ImpliedVolTermStructure

java.lang.Object

org.jquantlib.termstructures.AbstractTermStructure

org.jquantlib.termstructures.volatilities.VolatilityTermStructure

org.jquantlib.termstructures.BlackVolTermStructure

org.jquantlib.termstructures.BlackVarianceTermStructure

org.jquantlib.termstructures.volatilities.ImpliedVolTermStructure

All Implemented Interfaces:

Extrapolator, TermStructure, Observable, Observer, PolymorphicVisitable

public class ImpliedVolTermStructure
extends BlackVarianceTermStructure

Implied vol term structure at a given date in the future

The given date will be the implied reference date.

Constructor Summary

Constructors

Constructor and Description
ImpliedVolTermStructure(Handle<BlackVolTermStructure> originalTS, Date referenceDate)

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)
DayCounter	dayCounter() Return the day counter used for date/double conversion
Date	maxDate()
double	maxStrike() The maximum strike for which the term structure can return vols
double	minStrike() The minimum strike for which the term structure can return vols

Methods inherited from class org.jquantlib.termstructures.BlackVolTermStructure

blackForwardVariance, blackForwardVariance, blackForwardVol, blackForwardVol, blackVariance, blackVariance, blackVariance, blackVariance, blackVol, blackVol, blackVol, blackVol

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

businessDayConvention, optionDateFromTenor

Methods inherited from class org.jquantlib.termstructures.AbstractTermStructure

addObserver, allowsExtrapolation, calendar, countObservers, 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

Constructor Detail

ImpliedVolTermStructure

public ImpliedVolTermStructure(Handle<BlackVolTermStructure> originalTS,
                               Date referenceDate)

Method Detail

maxDate

public Date maxDate()

Returns:

the latest date for which the curve can return values

dayCounter

public DayCounter dayCounter()

Description copied from interface: TermStructure

Return the day counter used for date/double conversion

Specified by:

dayCounter in interface TermStructure

Overrides:

dayCounter in class AbstractTermStructure

Returns:

the day counter used for date/double conversion

maxStrike

public double maxStrike()

Description copied from class: BlackVolTermStructure

The maximum strike for which the term structure can return vols

Specified by:

maxStrike in class BlackVolTermStructure

minStrike

public double minStrike()

Description copied from class: BlackVolTermStructure

The minimum strike for which the term structure can return vols

Specified by:

minStrike in class BlackVolTermStructure

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 BlackVarianceTermStructure

See Also:

PolymorphicVisitor#getVisitor(Class)