Black volatility surface that inverts an existing surface. More...

#include <qle/termstructures/blackinvertedvoltermstructure.hpp>

Inheritance diagram for BlackInvertedVolTermStructure:

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Public Member Functions
	BlackInvertedVolTermStructure (const Handle< BlackVolTermStructure > &vol)
	Constructor takes a BlackVolTermStructure and takes everything from that. More...

const Handle< BlackVolTermStructure > &	underlyingVol () const
	return the underlying vol surface More...

TermStructure interface
const Date &	referenceDate () const override

Date	maxDate () const override

Natural	settlementDays () const override

Calendar	calendar () const override

Observer interface
void	update () override

VolatilityTermStructure interface
Real	minStrike () const override

Real	maxStrike () const override

Visitability
Handle< BlackVolTermStructure >	vol_

virtual void	accept (AcyclicVisitor &) override

Real	invertedStrike (Real strike) const

virtual Real	blackVarianceImpl (Time t, Real strike) const override

virtual Volatility	blackVolImpl (Time t, Real strike) const override

Detailed Description

Black volatility surface that inverts an existing surface.

This class is used when one wants a USD/EUR volatility, at a given USD/EUR strike when only a EUR/USD volatility surface is present.

    \ingroup termstructures

Definition at line 38 of file blackinvertedvoltermstructure.hpp.

Constructor & Destructor Documentation

◆ BlackInvertedVolTermStructure()

BlackInvertedVolTermStructure ( const Handle< BlackVolTermStructure > & vol )

Constructor takes a BlackVolTermStructure and takes everything from that.

This will work with both a floating and fixed reference date underlying surface, since we are reimplementing the reference date and update methods

Definition at line 43 of file blackinvertedvoltermstructure.hpp.

        : BlackVolTermStructure(vol->businessDayConvention(), vol->dayCounter()), vol_(vol) {
        registerWith(vol_);
    }

Member Function Documentation

◆ underlyingVol()

const Handle< BlackVolTermStructure > & underlyingVol ( ) const

return the underlying vol surface

Definition at line 49 of file blackinvertedvoltermstructure.hpp.

49{ return vol_; }

◆ referenceDate()

const Date & referenceDate ( ) const

override

Definition at line 53 of file blackinvertedvoltermstructure.hpp.

53{ return vol_->referenceDate(); }

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◆ maxDate()

Date maxDate ( ) const

override

Definition at line 54 of file blackinvertedvoltermstructure.hpp.

54{ return vol_->maxDate(); }

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◆ settlementDays()

Natural settlementDays ( ) const

override

Definition at line 55 of file blackinvertedvoltermstructure.hpp.

55{ return vol_->settlementDays(); }

◆ calendar()

Calendar calendar ( ) const

override

Definition at line 56 of file blackinvertedvoltermstructure.hpp.

56{ return vol_->calendar(); }

◆ update()

void update ( )

override

Definition at line 59 of file blackinvertedvoltermstructure.hpp.

59{ notifyObservers(); }

◆ minStrike()

Real minStrike ( ) const

override

Definition at line 63 of file blackinvertedvoltermstructure.hpp.

                                    {
        Real min = vol_->minStrike();
        if (min == QL_MIN_REAL || min == 0)
            return 0; // we allow ATM calls
        else
            return 1 / vol_->maxStrike();
    }

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◆ maxStrike()

Real maxStrike ( ) const

override

Definition at line 70 of file blackinvertedvoltermstructure.hpp.

                                    {
        Real min = vol_->minStrike();
        if (min == QL_MIN_REAL || min == 0)
            return QL_MAX_REAL;
        else
            return 1 / min;
    }

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◆ accept()

void accept ( AcyclicVisitor & v )

overridevirtual

Definition at line 93 of file blackinvertedvoltermstructure.hpp.

                                                                   {
    Visitor<BlackInvertedVolTermStructure>* v1 = dynamic_cast<Visitor<BlackInvertedVolTermStructure>*>(&v);
    if (v1 != 0)
        v1->visit(*this);
    else
        BlackInvertedVolTermStructure::accept(v);
}