QuantLib: ZabrSmileSection< Evaluation > Class Template Reference

#include <zabrsmilesection.hpp>

Inheritance diagram for ZabrSmileSection< Evaluation >:

Collaboration diagram for ZabrSmileSection< Evaluation >:

Public Member Functions
	ZabrSmileSection (Time timeToExpiry, Rate forward, std::vector< Real > zabrParameters, const std::vector< Real > &moneyness=std::vector< Real >(), Size fdRefinement=5)

	ZabrSmileSection (const Date &d, Rate forward, std::vector< Real > zabrParameters, const DayCounter &dc=Actual365Fixed(), const std::vector< Real > &moneyness=std::vector< Real >(), Size fdRefinement=5)

Real	minStrike () const override

Real	maxStrike () const override

Real	atmLevel () const override

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

ext::shared_ptr< ZabrModel >	model ()

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
void	init (const std::vector< Real > &moneyness)

void	init (const std::vector< Real > &moneyness, ZabrShortMaturityLognormal)

void	init (const std::vector< Real > &moneyness, ZabrShortMaturityNormal)

void	init (const std::vector< Real > &moneyness, ZabrLocalVolatility)

void	init (const std::vector< Real > &moneyness, ZabrFullFd)

void	init2 (ZabrShortMaturityLognormal)

void	init2 (ZabrShortMaturityNormal)

void	init2 (ZabrLocalVolatility)

void	init2 (ZabrFullFd)

void	init3 (ZabrShortMaturityLognormal)

void	init3 (ZabrShortMaturityNormal)

void	init3 (ZabrLocalVolatility)

void	init3 (ZabrFullFd)

Real	optionPrice (Rate strike, Option::Type type, Real discount, ZabrShortMaturityLognormal) const

Real	optionPrice (Rate strike, Option::Type type, Real discount, ZabrShortMaturityNormal) const

Real	optionPrice (Rate strike, Option::Type type, Real discount, ZabrLocalVolatility) const

Real	optionPrice (Rate strike, Option::Type type, Real discount, ZabrFullFd) const

Volatility	volatilityImpl (Rate strike, ZabrShortMaturityLognormal) const

Volatility	volatilityImpl (Rate strike, ZabrShortMaturityNormal) const

Volatility	volatilityImpl (Rate strike, ZabrLocalVolatility) const

Volatility	volatilityImpl (Rate strike, ZabrFullFd) const

Private Attributes
ext::shared_ptr< ZabrModel >	model_

Evaluation	evaluation_

Rate	forward_

std::vector< Real >	params_

const Size	fdRefinement_

std::vector< Real >	strikes_

std::vector< Real >	callPrices_

ext::shared_ptr< Interpolation >	callPriceFct_

Real	a_

Real	b_

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

Detailed Description

template<typename Evaluation>
class QuantLib::ZabrSmileSection< Evaluation >

Definition at line 46 of file zabrsmilesection.hpp.

Constructor & Destructor Documentation

◆ ZabrSmileSection() [1/2]

ZabrSmileSection	(	Time	timeToExpiry,
		Rate	forward,
		std::vector< Real >	zabrParameters,
		const std::vector< Real > &	moneyness = `std::vector<Real>()`,
		Size	fdRefinement = `5`
	)

Definition at line 116 of file zabrsmilesection.hpp.

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◆ ZabrSmileSection() [2/2]

ZabrSmileSection	(	const Date &	d,
		Rate	forward,
		std::vector< Real >	zabrParameters,
		const DayCounter &	dc = `Actual365Fixed()`,
		const std::vector< Real > &	moneyness = `std::vector<Real>()`,
		Size	fdRefinement = `5`
	)

Definition at line 127 of file zabrsmilesection.hpp.

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Member Function Documentation

◆ minStrike()

Real minStrike ( ) const

overridevirtual

Implements SmileSection.

Definition at line 60 of file zabrsmilesection.hpp.

◆ maxStrike()

Real maxStrike ( ) const

overridevirtual

Implements SmileSection.

Definition at line 61 of file zabrsmilesection.hpp.

◆ atmLevel()

Real atmLevel ( ) const

overridevirtual

Implements SmileSection.

Definition at line 62 of file zabrsmilesection.hpp.

◆ optionPrice() [1/5]

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

overridevirtual

Reimplemented from SmileSection.

Definition at line 64 of file zabrsmilesection.hpp.

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◆ model()

ext::shared_ptr< ZabrModel > model ( )

Definition at line 68 of file zabrsmilesection.hpp.

◆ volatilityImpl() [1/5]

Volatility volatilityImpl ( Rate strike ) const

overrideprotectedvirtual

Implements SmileSection.

Definition at line 71 of file zabrsmilesection.hpp.

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◆ init() [1/5]

void init ( const std::vector< Real > & moneyness )

private

Definition at line 76 of file zabrsmilesection.hpp.

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◆ init() [2/5]

void init	(	const std::vector< Real > &	moneyness,
		ZabrShortMaturityLognormal
	)

private

Definition at line 139 of file zabrsmilesection.hpp.

◆ init() [3/5]

void init	(	const std::vector< Real > &	moneyness,
		ZabrShortMaturityNormal
	)

private

Definition at line 148 of file zabrsmilesection.hpp.

◆ init() [4/5]

void init	(	const std::vector< Real > &	moneyness,
		ZabrLocalVolatility
	)

private

Definition at line 154 of file zabrsmilesection.hpp.

◆ init() [5/5]

void init	(	const std::vector< Real > &	moneyness,
		ZabrFullFd
	)

private

Definition at line 197 of file zabrsmilesection.hpp.

◆ init2() [1/4]

void init2 ( ZabrShortMaturityLognormal )

private

Definition at line 203 of file zabrsmilesection.hpp.

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◆ init2() [2/4]

void init2 ( ZabrShortMaturityNormal )

private

Definition at line 206 of file zabrsmilesection.hpp.

◆ init2() [3/4]

void init2 ( ZabrLocalVolatility )

private

Definition at line 209 of file zabrsmilesection.hpp.

◆ init2() [4/4]

void init2 ( ZabrFullFd )

private

Definition at line 214 of file zabrsmilesection.hpp.

◆ init3() [1/4]

void init3 ( ZabrShortMaturityLognormal )

private

Definition at line 223 of file zabrsmilesection.hpp.

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◆ init3() [2/4]

void init3 ( ZabrShortMaturityNormal )

private

Definition at line 226 of file zabrsmilesection.hpp.

◆ init3() [3/4]

void init3 ( ZabrLocalVolatility )

private

Definition at line 229 of file zabrsmilesection.hpp.

◆ init3() [4/4]

void init3 ( ZabrFullFd )

private

Definition at line 256 of file zabrsmilesection.hpp.

◆ optionPrice() [2/5]

Real optionPrice	(	Rate	strike,
		Option::Type	type,
		Real	discount,
		ZabrShortMaturityLognormal
	)		const

private

Definition at line 262 of file zabrsmilesection.hpp.

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◆ optionPrice() [3/5]

Real optionPrice	(	Rate	strike,
		Option::Type	type,
		Real	discount,
		ZabrShortMaturityNormal
	)		const

private

Definition at line 269 of file zabrsmilesection.hpp.

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◆ optionPrice() [4/5]

Real optionPrice	(	Rate	strike,
		Option::Type	type,
		Real	discount,
		ZabrLocalVolatility
	)		const

private

Definition at line 278 of file zabrsmilesection.hpp.

◆ optionPrice() [5/5]

Real optionPrice	(	Rate	strike,
		Option::Type	type,
		Real	discount,
		ZabrFullFd
	)		const

private

Definition at line 290 of file zabrsmilesection.hpp.

◆ volatilityImpl() [2/5]

Real volatilityImpl	(	Rate	strike,
		ZabrShortMaturityLognormal
	)		const

private

Definition at line 298 of file zabrsmilesection.hpp.

◆ volatilityImpl() [3/5]

Real volatilityImpl	(	Rate	strike,
		ZabrShortMaturityNormal
	)		const

private

Definition at line 306 of file zabrsmilesection.hpp.

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◆ volatilityImpl() [4/5]

Real volatilityImpl	(	Rate	strike,
		ZabrLocalVolatility
	)		const

private

Definition at line 325 of file zabrsmilesection.hpp.

◆ volatilityImpl() [5/5]

Real volatilityImpl	(	Rate	strike,
		ZabrFullFd
	)		const

private

Definition at line 331 of file zabrsmilesection.hpp.

Member Data Documentation

◆ model_

ext::shared_ptr<ZabrModel> model_

private

Definition at line 105 of file zabrsmilesection.hpp.

◆ evaluation_

Evaluation evaluation_

private

Definition at line 106 of file zabrsmilesection.hpp.

◆ forward_

Rate forward_

private

Definition at line 107 of file zabrsmilesection.hpp.

◆ params_

std::vector<Real> params_

private

Definition at line 108 of file zabrsmilesection.hpp.

◆ fdRefinement_

const Size fdRefinement_

private

Definition at line 109 of file zabrsmilesection.hpp.

◆ strikes_

std::vector<Real> strikes_

private

Definition at line 110 of file zabrsmilesection.hpp.

◆ callPrices_

std::vector<Real> callPrices_

private

Definition at line 110 of file zabrsmilesection.hpp.

◆ callPriceFct_

ext::shared_ptr<Interpolation> callPriceFct_

private

Definition at line 111 of file zabrsmilesection.hpp.

◆ a_

Real a_

private

Definition at line 112 of file zabrsmilesection.hpp.

◆ b_

Real b_

private

Definition at line 112 of file zabrsmilesection.hpp.

Public Member Functions

Protected Member Functions

Private Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ ZabrSmileSection() [1/2]

◆ ZabrSmileSection() [2/2]

Member Function Documentation

◆ minStrike()

◆ maxStrike()

◆ atmLevel()

◆ optionPrice() [1/5]

◆ model()

◆ volatilityImpl() [1/5]

◆ init() [1/5]

◆ init() [2/5]

◆ init() [3/5]

◆ init() [4/5]

◆ init() [5/5]

◆ init2() [1/4]

◆ init2() [2/4]

◆ init2() [3/4]

◆ init2() [4/4]

◆ init3() [1/4]

◆ init3() [2/4]

◆ init3() [3/4]

◆ init3() [4/4]

◆ optionPrice() [2/5]

◆ optionPrice() [3/5]

◆ optionPrice() [4/5]

◆ optionPrice() [5/5]

◆ volatilityImpl() [2/5]

◆ volatilityImpl() [3/5]

◆ volatilityImpl() [4/5]

◆ volatilityImpl() [5/5]

Member Data Documentation

◆ model_

◆ evaluation_

◆ forward_

◆ params_

◆ fdRefinement_

◆ strikes_

◆ callPrices_

◆ callPriceFct_

◆ a_

◆ b_