SviSmileSection Class Reference

Stochastic Volatility Inspired Smile Section. More...

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

Inheritance diagram for SviSmileSection:

Constructors
	SviSmileSection (Time timeToExpiry, Rate forward, std::vector< Real > sviParameters)
	SviSmileSection (const Date &d, Rate forward, std::vector< Real > sviParameters, const DayCounter &dc=Actual365Fixed())
Real	minStrike () const override
Real	maxStrike () const override
Real	atmLevel () const override
Volatility	volatilityImpl (Rate strike) const override

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Public Member Functions inherited from SmileSection
	SmileSection (const Date &d, DayCounter dc=DayCounter(), const Date &referenceDate=Date(), VolatilityType type=ShiftedLognormal, Rate shift=0.0)
	SmileSection (Time exerciseTime, DayCounter dc=DayCounter(), VolatilityType type=ShiftedLognormal, Rate shift=0.0)
void	update () override
Real	variance (Rate strike) const
Volatility	volatility (Rate strike) const
virtual const Date &	exerciseDate () const
virtual VolatilityType	volatilityType () const
virtual Rate	shift () const
virtual const Date &	referenceDate () const
virtual Time	exerciseTime () const
virtual const DayCounter &	dayCounter () const
virtual Real	optionPrice (Rate strike, Option::Type type=Option::Call, Real discount=1.0) const
virtual Real	digitalOptionPrice (Rate strike, Option::Type type=Option::Call, Real discount=1.0, Real gap=1.0e-5) const
virtual Real	vega (Rate strike, Real discount=1.0) const
virtual Real	density (Rate strike, Real discount=1.0, Real gap=1.0E-4) const
Volatility	volatility (Rate strike, VolatilityType type, Real shift=0.0) const
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 inherited from SmileSection
virtual void	initializeExerciseTime () const
virtual Real	varianceImpl (Rate strike) const

Detailed Description

Stochastic Volatility Inspired Smile Section.

Tests

the correctness of the result is tested by checking it against known good values.

Constructor & Destructor Documentation

SviSmileSection() [1/2]

SviSmileSection	(	Time	timeToExpiry,
		Rate	forward,
		std::vector< Real >	sviParameters )

Parameters

timeToExpiry	Time to expiry
forward	Forward price corresponding to the expiry date
sviParameters	Expects SVI parameters as a vector composed of a, b, sigma, rho, m

SviSmileSection() [2/2]

SviSmileSection	(	const Date &	d,
		Rate	forward,
		std::vector< Real >	sviParameters,
		const DayCounter &	dc = Actual365Fixed() )

Parameters

d	Date of expiry
forward	Forward price corresponding to the expiry date
sviParameters	Expects SVI parameters as a vector composed of a, b, sigma, rho, m
dc	Day count method used to compute the time to expiry

Member Function Documentation

minStrike()

Real minStrike ( ) const

overridevirtual

Implements SmileSection.

maxStrike()

Real maxStrike ( ) const

overridevirtual

Implements SmileSection.

atmLevel()

Real atmLevel ( ) const

overridevirtual

Implements SmileSection.

volatilityImpl()

Volatility volatilityImpl ( Rate strike ) const

overrideprotectedvirtual

Implements SmileSection.