QuantLib: BlackVolSurface Class Reference

Black volatility (smile) surface. More...

#include <ql/experimental/volatility/blackvolsurface.hpp>

Inheritance diagram for BlackVolSurface:

Public Member Functions
Constructors
See the TermStructure documentation for issues regarding constructors.
	BlackVolSurface (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
	default constructor
	BlackVolSurface (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
	initialize with a fixed reference date
	BlackVolSurface (Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
	calculate the reference date based on the global evaluation date
Black spot volatility
ext::shared_ptr< SmileSection >	smileSection (const Period &, bool extrapolate) const
	returns the smile for a given option tenor
ext::shared_ptr< SmileSection >	smileSection (const Date &, bool extrapolate) const
	returns the smile for a given option date
ext::shared_ptr< SmileSection >	smileSection (Time, bool extrapolate) const
	returns the smile for a given option time
Visitability
void	accept (AcyclicVisitor &) override
Public Member Functions inherited from BlackAtmVolCurve
	BlackAtmVolCurve (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
	default constructor
	BlackAtmVolCurve (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
	initialize with a fixed reference date
	BlackAtmVolCurve (Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
	calculate the reference date based on the global evaluation date
Volatility	atmVol (const Period &optionTenor, bool extrapolate=false) const
	spot at-the-money volatility
Volatility	atmVol (const Date &maturity, bool extrapolate=false) const
	spot at-the-money volatility
Volatility	atmVol (Time maturity, bool extrapolate=false) const
	spot at-the-money volatility
Real	atmVariance (const Period &optionTenor, bool extrapolate=false) const
	spot at-the-money variance
Real	atmVariance (const Date &maturity, bool extrapolate=false) const
	spot at-the-money variance
Real	atmVariance (Time maturity, bool extrapolate=false) const
	spot at-the-money variance
	VolatilityTermStructure (BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
	VolatilityTermStructure (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
	initialize with a fixed reference date
	VolatilityTermStructure (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
	calculate the reference date based on the global evaluation date
virtual BusinessDayConvention	businessDayConvention () const
	the business day convention used in tenor to date conversion
Date	optionDateFromTenor (const Period &) const
	period/date conversion
virtual Rate	minStrike () const =0
	the minimum strike for which the term structure can return vols
virtual Rate	maxStrike () const =0
	the maximum strike for which the term structure can return vols
Public Member Functions inherited from TermStructure
	TermStructure (DayCounter dc=DayCounter())
	default constructor
	TermStructure (const Date &referenceDate, Calendar calendar=Calendar(), DayCounter dc=DayCounter())
	initialize with a fixed reference date
	TermStructure (Natural settlementDays, Calendar, DayCounter dc=DayCounter())
	calculate the reference date based on the global evaluation date
virtual DayCounter	dayCounter () const
	the day counter used for date/time conversion
Time	timeFromReference (const Date &date) const
	date/time conversion
virtual Date	maxDate () const =0
	the latest date for which the curve can return values
virtual Time	maxTime () const
	the latest time for which the curve can return values
virtual const Date &	referenceDate () const
	the date at which discount = 1.0 and/or variance = 0.0
virtual Calendar	calendar () const
	the calendar used for reference and/or option date calculation
virtual Natural	settlementDays () const
	the settlementDays used for reference date calculation
void	update () override
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 ()
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 Extrapolator
void	enableExtrapolation (bool b=true)
	enable extrapolation in subsequent calls
void	disableExtrapolation (bool b=true)
	disable extrapolation in subsequent calls
bool	allowsExtrapolation () const
	tells whether extrapolation is enabled

Protected Member Functions
BlackAtmVolCurve interface
Real	atmVarianceImpl (Time t) const override
	spot at-the-money variance calculation
Volatility	atmVolImpl (Time t) const override
	spot at-the-money volatility calculation
Calculations
This method must be implemented in derived classes to perform the actual volatility calculations. When it is called, time check has already been performed; therefore, it must assume that time-extrapolation is allowed.
virtual ext::shared_ptr< SmileSection >	smileSectionImpl (Time) const =0
Protected Member Functions inherited from BlackAtmVolCurve
void	checkStrike (Rate strike, bool extrapolate) const
	strike-range check
void	checkRange (const Date &d, bool extrapolate) const
	date-range check
void	checkRange (Time t, bool extrapolate) const
	time-range check

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
bool	moving_ = false
bool	updated_ = true
Calendar	calendar_

Detailed Description

Black volatility (smile) surface.

This abstract class defines the interface of concrete Black volatility (smile) surface which will be derived from this one.

Volatilities are assumed to be expressed on an annual basis.

Constructor & Destructor Documentation

◆ BlackVolSurface()

BlackVolSurface	(	BusinessDayConvention	bdc = Following,
		const DayCounter &	dc = DayCounter() )

default constructor

Warning: term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.

Member Function Documentation

◆ accept()

void accept ( AcyclicVisitor & )

overridevirtual

Reimplemented from BlackAtmVolCurve.

◆ atmVarianceImpl()

Real atmVarianceImpl ( Time t ) const

overrideprotectedvirtual

spot at-the-money variance calculation

Implements BlackAtmVolCurve.

◆ atmVolImpl()

Volatility atmVolImpl ( Time t ) const

overrideprotectedvirtual

spot at-the-money volatility calculation