LocalVolSurface Class Reference

Local volatility surface derived from a Black vol surface. More...

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

Inheritance diagram for LocalVolSurface:

Public Member Functions
	LocalVolSurface (const Handle< BlackVolTermStructure > &blackTS, Handle< YieldTermStructure > riskFreeTS, Handle< YieldTermStructure > dividendTS, Handle< Quote > underlying)
	LocalVolSurface (const Handle< BlackVolTermStructure > &blackTS, Handle< YieldTermStructure > riskFreeTS, Handle< YieldTermStructure > dividendTS, Real underlying)
TermStructure interface
const Date &	referenceDate () const override
	the date at which discount = 1.0 and/or variance = 0.0
DayCounter	dayCounter () const override
	the day counter used for date/time conversion
Date	maxDate () const override
	the latest date for which the curve can return values
VolatilityTermStructure interface
Real	minStrike () const override
	the minimum strike for which the term structure can return vols
Real	maxStrike () const override
	the maximum strike for which the term structure can return vols
Public Member Functions inherited from LocalVolTermStructure
	LocalVolTermStructure (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
	default constructor
	LocalVolTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
	initialize with a fixed reference date
	LocalVolTermStructure (Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
	calculate the reference date based on the global evaluation date
Volatility	localVol (const Date &d, Real underlyingLevel, bool extrapolate=false) const
Volatility	localVol (Time t, Real underlyingLevel, bool extrapolate=false) const
	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
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
Time	timeFromReference (const Date &date) const
	date/time conversion
virtual Time	maxTime () const
	the latest time for which the curve can return values
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

Visitability
void	accept (AcyclicVisitor &) override
Volatility	localVolImpl (Time, Real) const override
	local vol calculation

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

Detailed Description

Local volatility surface derived from a Black vol surface.

For details about this implementation refer to "Stochastic Volatility and Local Volatility," in "Case Studies and Financial Modelling Course Notes," by Jim Gatheral, Fall Term, 2003

see www.math.nyu.edu/fellows_fin_math/gatheral/Lecture1_Fall02.pdf

Bug

this class is untested, probably unreliable.

Member Function Documentation

referenceDate()

const Date & referenceDate ( ) const

overridevirtual

the date at which discount = 1.0 and/or variance = 0.0

Reimplemented from TermStructure.

dayCounter()

DayCounter dayCounter ( ) const

overridevirtual

the day counter used for date/time conversion

Reimplemented from TermStructure.

maxDate()

Date maxDate ( ) const

overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

minStrike()

Real minStrike ( ) const

overridevirtual

the minimum strike for which the term structure can return vols

Implements VolatilityTermStructure.

maxStrike()

Real maxStrike ( ) const

overridevirtual

the maximum strike for which the term structure can return vols

Implements VolatilityTermStructure.

accept()

void accept ( AcyclicVisitor & )

overridevirtual

Reimplemented from LocalVolTermStructure.

localVolImpl()

Volatility localVolImpl ( Time t, Real strike ) const

overrideprotectedvirtual

local vol calculation

Implements LocalVolTermStructure.