FixedLocalVolSurface Class Reference

#include <fixedlocalvolsurface.hpp>

Inheritance diagram for FixedLocalVolSurface:

Collaboration diagram for FixedLocalVolSurface:

Public Types
enum	Extrapolation { ConstantExtrapolation , InterpolatorDefaultExtrapolation }
Public Types inherited from Observer
typedef set_type::iterator	iterator

Public Member Functions
	FixedLocalVolSurface (const Date &referenceDate, const std::vector< Date > &dates, const std::vector< Real > &strikes, ext::shared_ptr< Matrix > localVolMatrix, const DayCounter &dayCounter, Extrapolation lowerExtrapolation=ConstantExtrapolation, Extrapolation upperExtrapolation=ConstantExtrapolation)
	FixedLocalVolSurface (const Date &referenceDate, const std::vector< Time > &times, const std::vector< Real > &strikes, ext::shared_ptr< Matrix > localVolMatrix, const DayCounter &dayCounter, Extrapolation lowerExtrapolation=ConstantExtrapolation, Extrapolation upperExtrapolation=ConstantExtrapolation)
	FixedLocalVolSurface (const Date &referenceDate, const std::vector< Time > &times, const std::vector< ext::shared_ptr< std::vector< Real > > > &strikes, ext::shared_ptr< Matrix > localVolMatrix, const DayCounter &dayCounter, Extrapolation lowerExtrapolation=ConstantExtrapolation, Extrapolation upperExtrapolation=ConstantExtrapolation)
Date	maxDate () const override
	the latest date for which the curve can return values More...
Time	maxTime () const override
	the latest time for which the curve can return values More...
Real	minStrike () const override
	the minimum strike for which the term structure can return vols More...
Real	maxStrike () const override
	the maximum strike for which the term structure can return vols More...
template<class Interpolator >
void	setInterpolation (const Interpolator &i=Interpolator())
Public Member Functions inherited from LocalVolTermStructure
	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
Volatility	localVol (const Date &d, Real underlyingLevel, bool extrapolate=false) const
Volatility	localVol (Time t, Real underlyingLevel, bool extrapolate=false) const
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...
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 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
Volatility	localVolImpl (Time t, Real strike) const override
	local vol calculation More...
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.
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...

Protected Attributes
const Date	maxDate_
std::vector< Time >	times_
const ext::shared_ptr< Matrix >	localVolMatrix_
const std::vector< ext::shared_ptr< std::vector< Real > > >	strikes_
std::vector< Interpolation >	localVolInterpol_
Extrapolation	lowerExtrapolation_
Extrapolation	upperExtrapolation_
Protected Attributes inherited from TermStructure
bool	moving_ = false
bool	updated_ = true
Calendar	calendar_

Private Member Functions
void	checkSurface ()

Detailed Description

Definition at line 36 of file fixedlocalvolsurface.hpp.

Member Enumeration Documentation

Extrapolation

enum Extrapolation

Enumerator
ConstantExtrapolation
InterpolatorDefaultExtrapolation

Definition at line 38 of file fixedlocalvolsurface.hpp.

Constructor & Destructor Documentation

FixedLocalVolSurface() [1/3]

FixedLocalVolSurface	(	const Date &	referenceDate,
		const std::vector< Date > &	dates,
		const std::vector< Real > &	strikes,
		ext::shared_ptr< Matrix >	localVolMatrix,
		const DayCounter &	dayCounter,
		Extrapolation	lowerExtrapolation = ConstantExtrapolation,
		Extrapolation	upperExtrapolation = ConstantExtrapolation
	)

Definition at line 30 of file fixedlocalvolsurface.cpp.

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FixedLocalVolSurface() [2/3]

FixedLocalVolSurface	(	const Date &	referenceDate,
		const std::vector< Time > &	times,
		const std::vector< Real > &	strikes,
		ext::shared_ptr< Matrix >	localVolMatrix,
		const DayCounter &	dayCounter,
		Extrapolation	lowerExtrapolation = ConstantExtrapolation,
		Extrapolation	upperExtrapolation = ConstantExtrapolation
	)

Definition at line 54 of file fixedlocalvolsurface.cpp.

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FixedLocalVolSurface() [3/3]

FixedLocalVolSurface	(	const Date &	referenceDate,
		const std::vector< Time > &	times,
		const std::vector< ext::shared_ptr< std::vector< Real > > > &	strikes,
		ext::shared_ptr< Matrix >	localVolMatrix,
		const DayCounter &	dayCounter,
		Extrapolation	lowerExtrapolation = ConstantExtrapolation,
		Extrapolation	upperExtrapolation = ConstantExtrapolation
	)

Definition at line 74 of file fixedlocalvolsurface.cpp.

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Member Function Documentation

maxDate()

Date maxDate ( ) const

overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

Definition at line 116 of file fixedlocalvolsurface.cpp.

maxTime()

Time maxTime ( ) const

overridevirtual

the latest time for which the curve can return values

Reimplemented from TermStructure.

Definition at line 119 of file fixedlocalvolsurface.cpp.

minStrike()

Real minStrike ( ) const

overridevirtual

the minimum strike for which the term structure can return vols

Implements VolatilityTermStructure.

Definition at line 122 of file fixedlocalvolsurface.cpp.

maxStrike()

Real maxStrike ( ) const

overridevirtual

the maximum strike for which the term structure can return vols

Implements VolatilityTermStructure.

Definition at line 125 of file fixedlocalvolsurface.cpp.

setInterpolation()

void setInterpolation

(

const Interpolator &

i = Interpolator()

)

Definition at line 71 of file fixedlocalvolsurface.hpp.

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localVolImpl()

Volatility localVolImpl ( Time  t, Real  strike  ) const

overrideprotectedvirtual

local vol calculation

Implements LocalVolTermStructure.

Definition at line 129 of file fixedlocalvolsurface.cpp.

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checkSurface()

void checkSurface ( )

private

Definition at line 96 of file fixedlocalvolsurface.cpp.

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Member Data Documentation

maxDate_

const Date maxDate_

protected

Definition at line 83 of file fixedlocalvolsurface.hpp.

times_

std::vector<Time> times_

protected

Definition at line 84 of file fixedlocalvolsurface.hpp.

localVolMatrix_

const ext::shared_ptr<Matrix> localVolMatrix_

protected

Definition at line 85 of file fixedlocalvolsurface.hpp.

strikes_

const std::vector<ext::shared_ptr<std::vector<Real> > > strikes_

protected

Definition at line 86 of file fixedlocalvolsurface.hpp.

localVolInterpol_

std::vector<Interpolation> localVolInterpol_

protected

Definition at line 88 of file fixedlocalvolsurface.hpp.

lowerExtrapolation_

Extrapolation lowerExtrapolation_

protected

Definition at line 89 of file fixedlocalvolsurface.hpp.

upperExtrapolation_

Extrapolation upperExtrapolation_

protected

Definition at line 89 of file fixedlocalvolsurface.hpp.