SabrVolSurface Class Reference

SABR volatility (smile) surface. More...

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

Inheritance diagram for SabrVolSurface:

Public Member Functions
	SabrVolSurface (const ext::shared_ptr< InterestRateIndex > &, Handle< BlackAtmVolCurve >, const std::vector< Period > &optionTenors, std::vector< Spread > atmRateSpreads, std::vector< std::vector< Handle< Quote > > > volSpreads)
TermStructure interface
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
Time	maxTime () const override
	the latest time for which the curve can return values
const Date &	referenceDate () const override
	the date at which discount = 1.0 and/or variance = 0.0
Calendar	calendar () const override
	the calendar used for reference and/or option date calculation
Natural	settlementDays () const override
	the settlementDays used for reference date calculation
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
const Handle< BlackAtmVolCurve > &	atmCurve () const
BlackVolSurface interface
ext::shared_ptr< SmileSection >	smileSectionImpl (Time) const override
Public Member Functions inherited from InterestRateVolSurface
	InterestRateVolSurface (ext::shared_ptr< InterestRateIndex >, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
	InterestRateVolSurface (ext::shared_ptr< InterestRateIndex >, const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
	initialize with a fixed reference date
	InterestRateVolSurface (ext::shared_ptr< InterestRateIndex >, Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
	calculate the reference date based on the global evaluation date
Date	optionDateFromTenor (const Period &) const
	period/date conversion
const ext::shared_ptr< InterestRateIndex > &	index () const
Public Member Functions inherited from BlackVolSurface
	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
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
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
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
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

LazyObject interface
void	performCalculations () const
void	update () override

Visitability
void	accept (AcyclicVisitor &) override
std::vector< Volatility >	volatilitySpreads (const Period &) const
std::vector< Volatility >	volatilitySpreads (const Date &) const
std::array< Real, 4 >	sabrGuesses (const Date &) const

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Member Functions inherited from BlackVolSurface
Real	atmVarianceImpl (Time t) const override
	spot at-the-money variance calculation
Volatility	atmVolImpl (Time t) const override
	spot at-the-money volatility calculation
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
ext::shared_ptr< InterestRateIndex >	index_
bool	moving_ = false
bool	updated_ = true
Calendar	calendar_

Detailed Description

SABR volatility (smile) surface.

blah blah

Member Function Documentation

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.

maxTime()

Time maxTime ( ) const

overridevirtual

the latest time for which the curve can return values

Reimplemented from TermStructure.

referenceDate()

const Date & referenceDate ( ) const

overridevirtual

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

Reimplemented from TermStructure.

calendar()

Calendar calendar ( ) const

overridevirtual

the calendar used for reference and/or option date calculation

Reimplemented from TermStructure.

settlementDays()

Natural settlementDays ( ) const

overridevirtual

the settlementDays used for reference date calculation

Reimplemented from 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 InterestRateVolSurface.

smileSectionImpl()

ext::shared_ptr< SmileSection > smileSectionImpl ( Time ) const

overridevirtual

Implements BlackVolSurface.

update()

void update ( )

overrideprotectedvirtual

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.