KahaleSmileSection Class Reference

#include <kahalesmilesection.hpp>

Inheritance diagram for KahaleSmileSection:

Collaboration diagram for KahaleSmileSection:

Classes
struct	aHelper
struct	cFunction
struct	sHelper
struct	sHelper1

Public Member Functions
	KahaleSmileSection (const ext::shared_ptr< SmileSection > &source, Real atm=Null< Real >(), bool interpolate=false, bool exponentialExtrapolation=false, bool deleteArbitragePoints=false, const std::vector< Real > &moneynessGrid=std::vector< Real >(), Real gap=1.0E-5, int forcedLeftIndex=-1, int forcedRightIndex=QL_MAX_INTEGER)
Real	minStrike () const override
Real	maxStrike () const override
Real	atmLevel () const override
const Date &	exerciseDate () const override
Time	exerciseTime () const override
const DayCounter &	dayCounter () const override
const Date &	referenceDate () const override
VolatilityType	volatilityType () const override
Real	shift () const override
Real	leftCoreStrike () const
Real	rightCoreStrike () const
std::pair< Size, Size >	coreIndices () const
Real	optionPrice (Rate strike, Option::Type type=Option::Call, Real discount=1.0) const override
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)
	SmileSection ()=default
	~SmileSection () override=default
void	update () override
virtual Real	minStrike () const =0
virtual Real	maxStrike () const =0
Real	variance (Rate strike) const
Volatility	volatility (Rate strike) const
virtual Real	atmLevel () const =0
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 ()=default
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
virtual	~Observable ()=default
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer ()=default
	Observer (const Observer &)
Observer &	operator= (const Observer &)
virtual	~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	update ()=0
virtual void	deepUpdate ()

Protected Member Functions
Volatility	volatilityImpl (Rate strike) const override
Protected Member Functions inherited from SmileSection
virtual void	initializeExerciseTime () const
virtual Real	varianceImpl (Rate strike) const
virtual Volatility	volatilityImpl (Rate strike) const =0

Private Member Functions
Size	index (Rate strike) const
void	compute ()

Private Attributes
ext::shared_ptr< SmileSection >	source_
std::vector< Real >	moneynessGrid_
std::vector< Real >	k_
std::vector< Real >	c_
Real	f_
const Real	gap_
Size	leftIndex_
Size	rightIndex_
std::vector< ext::shared_ptr< cFunction > >	cFunctions_
const bool	interpolate_
const bool	exponentialExtrapolation_
int	forcedLeftIndex_
int	forcedRightIndex_
ext::shared_ptr< SmileSectionUtils >	ssutils_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Detailed Description

Definition at line 53 of file kahalesmilesection.hpp.

Constructor & Destructor Documentation

KahaleSmileSection()

KahaleSmileSection	(	const ext::shared_ptr< SmileSection > &	source,
		Real	atm = Null<Real>(),
		bool	interpolate = false,
		bool	exponentialExtrapolation = false,
		bool	deleteArbitragePoints = false,
		const std::vector< Real > &	moneynessGrid = std::vector<Real>(),
		Real	gap = 1.0E-5,
		int	forcedLeftIndex = -1,
		int	forcedRightIndex = QL_MAX_INTEGER
	)

Definition at line 26 of file kahalesmilesection.cpp.

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Member Function Documentation

minStrike()

Real minStrike ( ) const

overridevirtual

Implements SmileSection.

Definition at line 140 of file kahalesmilesection.hpp.

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maxStrike()

Real maxStrike ( ) const

overridevirtual

Implements SmileSection.

Definition at line 141 of file kahalesmilesection.hpp.

atmLevel()

Real atmLevel ( ) const

overridevirtual

Implements SmileSection.

Definition at line 142 of file kahalesmilesection.hpp.

exerciseDate()

const Date & exerciseDate ( ) const

overridevirtual

Reimplemented from SmileSection.

Definition at line 143 of file kahalesmilesection.hpp.

exerciseTime()

Time exerciseTime ( ) const

overridevirtual

Reimplemented from SmileSection.

Definition at line 144 of file kahalesmilesection.hpp.

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dayCounter()

const DayCounter & dayCounter ( ) const

overridevirtual

Reimplemented from SmileSection.

Definition at line 145 of file kahalesmilesection.hpp.

referenceDate()

const Date & referenceDate ( ) const

overridevirtual

Reimplemented from SmileSection.

Definition at line 146 of file kahalesmilesection.hpp.

volatilityType()

VolatilityType volatilityType ( ) const

overridevirtual

Reimplemented from SmileSection.

Definition at line 147 of file kahalesmilesection.hpp.

shift()

Real shift ( ) const

overridevirtual

Reimplemented from SmileSection.

Definition at line 148 of file kahalesmilesection.hpp.

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leftCoreStrike()

Real leftCoreStrike

(

)

const

Definition at line 150 of file kahalesmilesection.hpp.

rightCoreStrike()

Real rightCoreStrike

(

)

const

Definition at line 151 of file kahalesmilesection.hpp.

coreIndices()

std::pair< Size, Size > coreIndices

(

)

const

Definition at line 153 of file kahalesmilesection.hpp.

optionPrice()

Real optionPrice ( Rate  strike, Option::Type  type = Option::Call, Real  discount = 1.0  ) const

overridevirtual

Reimplemented from SmileSection.

Definition at line 226 of file kahalesmilesection.cpp.

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volatilityImpl()

Real volatilityImpl ( Rate  strike ) const

overrideprotectedvirtual

Implements SmileSection.

Definition at line 243 of file kahalesmilesection.cpp.

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index()

Size index ( Rate  strike ) const

private

Definition at line 263 of file kahalesmilesection.cpp.

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compute()

void compute ( )

private

Definition at line 64 of file kahalesmilesection.cpp.

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Member Data Documentation

source_

ext::shared_ptr<SmileSection> source_

private

Definition at line 167 of file kahalesmilesection.hpp.

moneynessGrid_

std::vector<Real> moneynessGrid_

private

Definition at line 168 of file kahalesmilesection.hpp.

k_

std::vector<Real> k_

private

Definition at line 168 of file kahalesmilesection.hpp.

c_

std::vector<Real> c_

private

Definition at line 168 of file kahalesmilesection.hpp.

f_

Real f_

private

Definition at line 169 of file kahalesmilesection.hpp.

gap_

const Real gap_

private

Definition at line 170 of file kahalesmilesection.hpp.

leftIndex_

Size leftIndex_

private

Definition at line 171 of file kahalesmilesection.hpp.

rightIndex_

Size rightIndex_

private

Definition at line 171 of file kahalesmilesection.hpp.

cFunctions_

std::vector<ext::shared_ptr<cFunction> > cFunctions_

private

Definition at line 172 of file kahalesmilesection.hpp.

interpolate_

const bool interpolate_

private

Definition at line 173 of file kahalesmilesection.hpp.

exponentialExtrapolation_

const bool exponentialExtrapolation_

private

Definition at line 173 of file kahalesmilesection.hpp.

forcedLeftIndex_

int forcedLeftIndex_

private

Definition at line 174 of file kahalesmilesection.hpp.

forcedRightIndex_

int forcedRightIndex_

private

Definition at line 174 of file kahalesmilesection.hpp.

ssutils_

ext::shared_ptr<SmileSectionUtils> ssutils_

private

Definition at line 175 of file kahalesmilesection.hpp.