AndreasenHugeVolatilityInterpl Class Reference

Calibration of a local volatility surface to a sparse grid of options. More...

#include <ql/termstructures/volatility/equityfx/andreasenhugevolatilityinterpl.hpp>

Inheritance diagram for AndreasenHugeVolatilityInterpl:

Public Types
enum	InterpolationType { PiecewiseConstant , Linear , CubicSpline }
enum	CalibrationType { Call = Option::Call , Put = Option::Put , CallPut }
typedef std::vector< std::pair< ext::shared_ptr< VanillaOption >, ext::shared_ptr< Quote > > >	CalibrationSet
Public Types inherited from Observer
typedef set_type::iterator	iterator

Public Member Functions
	AndreasenHugeVolatilityInterpl (const CalibrationSet &calibrationSet, Handle< Quote > spot, Handle< YieldTermStructure > rTS, Handle< YieldTermStructure > qTS, InterpolationType interpolationType=CubicSpline, CalibrationType calibrationType=Call, Size nGridPoints=500, Real minStrike=Null< Real >(), Real maxStrike=Null< Real >(), ext::shared_ptr< OptimizationMethod > optimizationMethod=ext::shared_ptr< OptimizationMethod >(new LevenbergMarquardt), const EndCriteria &endCriteria=EndCriteria(500, 100, 1e-12, 1e-10, 1e-10))
Date	maxDate () const
Real	minStrike () const
Real	maxStrike () const
Real	fwd (Time t) const
const Handle< YieldTermStructure > &	riskFreeRate () const
std::tuple< Real, Real, Real >	calibrationError () const
Real	optionPrice (Time t, Real strike, Option::Type optionType) const
Volatility	localVol (Time t, Real strike) const
Public Member Functions inherited from LazyObject
void	update () override
bool	isCalculated () const
void	forwardFirstNotificationOnly ()
void	alwaysForwardNotifications ()
void	recalculate ()
void	freeze ()
void	unfreeze ()
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const Observer &)
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	deepUpdate ()

Protected Member Functions
void	performCalculations () const override
virtual void	calculate () const

Additional Inherited Members
bool	calculated_ = false
bool	frozen_ = false
bool	alwaysForward_

Detailed Description

Calibration of a local volatility surface to a sparse grid of options.

References:

Andreasen J., Huge B., 2010. Volatility Interpolation https://ssrn.com/abstract=1694972

Member Function Documentation

performCalculations()

void performCalculations ( ) const

overrideprotectedvirtual

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.