LocalVolTermStructure Class Reference

#include <localvoltermstructure.hpp>

Inheritance diagram for LocalVolTermStructure:

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

Protected Member Functions
Calculations
These methods must be implemented in derived classes to perform the actual volatility calculations. When they are called, range check has already been performed; therefore, they must assume that extrapolation is required.
virtual Volatility	localVolImpl (Time t, Real strike) const =0
	local vol calculation More...
Protected Member Functions inherited from VolatilityTermStructure
void	checkStrike (Rate strike, bool extrapolate) const
	strike-range check More...
Protected Member Functions inherited from TermStructure
void	checkRange (const Date &d, bool extrapolate) const
	date-range check More...
void	checkRange (Time t, bool extrapolate) const
	time-range check More...

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

Detailed Description

This abstract class defines the interface of concrete local-volatility term structures which will be derived from this one.

Volatilities are assumed to be expressed on an annual basis.

Definition at line 38 of file localvoltermstructure.hpp.

Constructor & Destructor Documentation

LocalVolTermStructure() [1/3]

LocalVolTermStructure	(	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.

Definition at line 24 of file localvoltermstructure.cpp.

LocalVolTermStructure() [2/3]

LocalVolTermStructure	(	const Date &	referenceDate,
		const Calendar &	cal = Calendar(),
		BusinessDayConvention	bdc = Following,
		const DayCounter &	dc = DayCounter()
	)

initialize with a fixed reference date

Definition at line 28 of file localvoltermstructure.cpp.

LocalVolTermStructure() [3/3]

LocalVolTermStructure	(	Natural	settlementDays,
		const Calendar &	cal,
		BusinessDayConvention	bdc = Following,
		const DayCounter &	dc = DayCounter()
	)

calculate the reference date based on the global evaluation date

Definition at line 34 of file localvoltermstructure.cpp.

~LocalVolTermStructure()

~LocalVolTermStructure ( )

overridedefault

Member Function Documentation

localVol() [1/2]

Volatility localVol	(	const Date &	d,
		Real	underlyingLevel,
		bool	extrapolate = false
	)		const

Definition at line 40 of file localvoltermstructure.cpp.

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localVol() [2/2]

Volatility localVol	(	Time	t,
		Real	underlyingLevel,
		bool	extrapolate = false
	)		const

Definition at line 49 of file localvoltermstructure.cpp.

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accept()

void accept ( AcyclicVisitor &  v )

virtual

Reimplemented in LocalConstantVol, LocalVolCurve, and LocalVolSurface.

Definition at line 57 of file localvoltermstructure.cpp.

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localVolImpl()

virtual Volatility localVolImpl ( Time  t, Real  strike  ) const

protectedpure virtual

local vol calculation

Implemented in NoExceptLocalVolSurface, AndreasenHugeLocalVolAdapter, FixedLocalVolSurface, GridModelLocalVolSurface, LocalConstantVol, LocalVolCurve, and LocalVolSurface.

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