QuantLib: SabrInterpolatedSmileSection Class Reference

#include <sabrinterpolatedsmilesection.hpp>

Inheritance diagram for SabrInterpolatedSmileSection:

Collaboration diagram for SabrInterpolatedSmileSection:

Public Member Functions
Constructors
	SabrInterpolatedSmileSection (const Date &optionDate, Handle< Quote > forward, const std::vector< Rate > &strikes, bool hasFloatingStrikes, Handle< Quote > atmVolatility, const std::vector< Handle< Quote > > &volHandles, Real alpha, Real beta, Real nu, Real rho, bool isAlphaFixed=false, bool isBetaFixed=false, bool isNuFixed=false, bool isRhoFixed=false, bool vegaWeighted=true, ext::shared_ptr< EndCriteria > endCriteria=ext::shared_ptr< EndCriteria >(), ext::shared_ptr< OptimizationMethod > method=ext::shared_ptr< OptimizationMethod >(), const DayCounter &dc=Actual365Fixed(), Real shift=0.0)
	all market data are quotes More...

	SabrInterpolatedSmileSection (const Date &optionDate, const Rate &forward, const std::vector< Rate > &strikes, bool hasFloatingStrikes, const Volatility &atmVolatility, const std::vector< Volatility > &vols, Real alpha, Real beta, Real nu, Real rho, bool isAlphaFixed=false, bool isBetaFixed=false, bool isNuFixed=false, bool isRhoFixed=false, bool vegaWeighted=true, ext::shared_ptr< EndCriteria > endCriteria=ext::shared_ptr< EndCriteria >(), ext::shared_ptr< OptimizationMethod > method=ext::shared_ptr< OptimizationMethod >(), const DayCounter &dc=Actual365Fixed(), Real shift=0.0)
	no quotes More...

LazyObject interface
void	performCalculations () const override

void	update () override

SmileSection interface
Real	minStrike () const override

Real	maxStrike () const override

Real	atmLevel () const override

Real	varianceImpl (Rate strike) const override

Volatility	volatilityImpl (Rate strike) 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 ()

Public Member Functions inherited from LazyObject
	LazyObject ()

	~LazyObject () override=default

bool	isCalculated () const

void	forwardFirstNotificationOnly ()

void	alwaysForwardNotifications ()

void	recalculate ()

void	freeze ()

void	unfreeze ()

Inspectors
ext::shared_ptr< SABRInterpolation >	sabrInterpolation_

const Handle< Quote >	forward_
	Market data. More...

const Handle< Quote >	atmVolatility_

std::vector< Handle< Quote > >	volHandles_

std::vector< Rate >	strikes_

std::vector< Rate >	actualStrikes_
	Only strikes corresponding to valid market data. More...

bool	hasFloatingStrikes_

Real	forwardValue_

std::vector< Volatility >	vols_

Real	alpha_
	Sabr parameters. More...

Real	beta_

Real	nu_

Real	rho_

bool	isAlphaFixed_
	Sabr interpolation settings. More...

bool	isBetaFixed_

bool	isNuFixed_

bool	isRhoFixed_

bool	vegaWeighted_

const ext::shared_ptr< EndCriteria >	endCriteria_

const ext::shared_ptr< OptimizationMethod >	method_

Date	evaluationDate_

Real	alpha () const

Real	beta () const

Real	nu () const

Real	rho () const

Real	rmsError () const

Real	maxError () const

EndCriteria::Type	endCriteria () const

void	createInterpolation () const
	Creates the mutable SABRInterpolation. More...

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

Protected Member Functions inherited from SmileSection
virtual void	initializeExerciseTime () const

virtual Real	varianceImpl (Rate strike) const

virtual Volatility	volatilityImpl (Rate strike) const =0

Protected Member Functions inherited from LazyObject
virtual void	calculate () const

Protected Attributes inherited from LazyObject
bool	calculated_ = false

bool	frozen_ = false

bool	alwaysForward_

Detailed Description

Definition at line 38 of file sabrinterpolatedsmilesection.hpp.

Constructor & Destructor Documentation

◆ SabrInterpolatedSmileSection() [1/2]

SabrInterpolatedSmileSection	(	const Date &	optionDate,
		Handle< Quote >	forward,
		const std::vector< Rate > &	strikes,
		bool	hasFloatingStrikes,
		Handle< Quote >	atmVolatility,
		const std::vector< Handle< Quote > > &	volHandles,
		Real	alpha,
		Real	beta,
		Real	nu,
		Real	rho,
		bool	isAlphaFixed = `false`,
		bool	isBetaFixed = `false`,
		bool	isNuFixed = `false`,
		bool	isRhoFixed = `false`,
		bool	vegaWeighted = `true`,
		ext::shared_ptr< EndCriteria >	endCriteria = `ext::shared_ptr<EndCriteria>()`,
		ext::shared_ptr< OptimizationMethod >	method = `ext::shared_ptr<OptimizationMethod>()`,
		const DayCounter &	dc = `Actual365Fixed()`,
		Real	shift = `0.0`
	)

all market data are quotes

Definition at line 29 of file sabrinterpolatedsmilesection.cpp.

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◆ SabrInterpolatedSmileSection() [2/2]

SabrInterpolatedSmileSection	(	const Date &	optionDate,
		const Rate &	forward,
		const std::vector< Rate > &	strikes,
		bool	hasFloatingStrikes,
		const Volatility &	atmVolatility,
		const std::vector< Volatility > &	vols,
		Real	alpha,
		Real	beta,
		Real	nu,
		Real	rho,
		bool	isAlphaFixed = `false`,
		bool	isBetaFixed = `false`,
		bool	isNuFixed = `false`,
		bool	isRhoFixed = `false`,
		bool	vegaWeighted = `true`,
		ext::shared_ptr< EndCriteria >	endCriteria = `ext::shared_ptr<EndCriteria>()`,
		ext::shared_ptr< OptimizationMethod >	method = `ext::shared_ptr<OptimizationMethod>()`,
		const DayCounter &	dc = `Actual365Fixed()`,
		Real	shift = `0.0`
	)

no quotes

Definition at line 63 of file sabrinterpolatedsmilesection.cpp.

Member Function Documentation

◆ performCalculations()

void performCalculations ( ) const

overridevirtual

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.

Definition at line 107 of file sabrinterpolatedsmilesection.cpp.

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◆ update()

void update ( )

overridevirtual

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.

Reimplemented from LazyObject.

Definition at line 138 of file sabrinterpolatedsmilesection.hpp.

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