BlackMonotoneVarVolTermStructure Class Reference

Black volatility surface that monotonises the variance in an existing surface. More...

#include <qle/termstructures/blackmonotonevarvoltermstructure.hpp>

Inheritance diagram for BlackMonotoneVarVolTermStructure:

Collaboration diagram for BlackMonotoneVarVolTermStructure:

Classes
class	closeDouble

Public Member Functions
	BlackMonotoneVarVolTermStructure (const Handle< BlackVolTermStructure > &vol, const std::vector< Time > &timePoints)
	Constructor takes a BlackVolTermStructure and an array of time points which required monotonic variance. 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_
std::vector< Time >	timePoints_
std::map< Real, std::vector< Real >, closeDouble >	monoVars_
virtual void	accept (AcyclicVisitor &) override
virtual Real	blackVarianceImpl (Time t, Real strike) const override
virtual Volatility	blackVolImpl (Time t, Real strike) const override
void	setMonotoneVar (const Real &strike) const
Real	getMonotoneVar (const Time &t, const Real &strike) const

Detailed Description

Black volatility surface that monotonises the variance in an existing surface.

This class is used when monotonic variance is required

    \ingroup termstructures

Definition at line 40 of file blackmonotonevarvoltermstructure.hpp.

Constructor & Destructor Documentation

BlackMonotoneVarVolTermStructure()

BlackMonotoneVarVolTermStructure	(	const Handle< BlackVolTermStructure > &	vol,
		const std::vector< Time > &	timePoints
	)

Constructor takes a BlackVolTermStructure and an array of time points which required monotonic variance.

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 45 of file blackmonotonevarvoltermstructure.hpp.

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

Member Function Documentation

underlyingVol()

const Handle< BlackVolTermStructure > & underlyingVol

(

)

const

return the underlying vol surface

Definition at line 51 of file blackmonotonevarvoltermstructure.hpp.

{ return vol_; }

referenceDate()

const Date & referenceDate ( ) const

override

Definition at line 55 of file blackmonotonevarvoltermstructure.hpp.

{ return vol_->referenceDate(); }

maxDate()

Date maxDate ( ) const

override

Definition at line 56 of file blackmonotonevarvoltermstructure.hpp.

{ return vol_->maxDate(); }

settlementDays()

Natural settlementDays ( ) const

override

Definition at line 57 of file blackmonotonevarvoltermstructure.hpp.

{ return vol_->settlementDays(); }

calendar()

Calendar calendar ( ) const

override

Definition at line 58 of file blackmonotonevarvoltermstructure.hpp.

{ return vol_->calendar(); }

update()

void update ( )

override

Definition at line 61 of file blackmonotonevarvoltermstructure.hpp.

                           {
        monoVars_.clear();
        notifyObservers();
    }

minStrike()

Real minStrike ( ) const

override

Definition at line 68 of file blackmonotonevarvoltermstructure.hpp.

{ return vol_->minStrike(); }

maxStrike()

Real maxStrike ( ) const

override

Definition at line 69 of file blackmonotonevarvoltermstructure.hpp.

{ return vol_->maxStrike(); }

accept()

void accept ( AcyclicVisitor &  v )

overridevirtual

Definition at line 113 of file blackmonotonevarvoltermstructure.hpp.

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

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blackVarianceImpl()

virtual Real blackVarianceImpl ( Time  t, Real  strike  ) const

overrideprotectedvirtual

Definition at line 76 of file blackmonotonevarvoltermstructure.hpp.

{ return getMonotoneVar(t, strike); }

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blackVolImpl()

virtual Volatility blackVolImpl ( Time  t, Real  strike  ) const

overrideprotectedvirtual

Definition at line 77 of file blackmonotonevarvoltermstructure.hpp.

{ return std::sqrt(getMonotoneVar(t, strike) / t); }

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setMonotoneVar()

void setMonotoneVar ( const Real &  strike ) const

protected

Definition at line 79 of file blackmonotonevarvoltermstructure.hpp.

                                                  {
        QL_REQUIRE(timePoints_.size() > 0, "timePoints cannot be empty");
        std::vector<Real> vars(timePoints_.size());
        vars[0] = vol_->blackVariance(timePoints_[0], strike);
        for (Size i = 1; i < timePoints_.size(); i++) {
            Real var = vol_->blackVariance(timePoints_[i], strike);
            var = std::max(var, vars[i - 1]);
            vars[i] = var;
        }
        monoVars_[strike] = vars;
    }

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getMonotoneVar()

Real getMonotoneVar ( const Time &  t, const Real &  strike  ) const

protected

Definition at line 91 of file blackmonotonevarvoltermstructure.hpp.

                                                                 {
        if (monoVars_.find(strike) == monoVars_.end())
            setMonotoneVar(strike);
        BackwardFlatInterpolation interpolation(timePoints_.begin(), timePoints_.end(), monoVars_[strike].begin());
        return interpolation(t);
    }

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Member Data Documentation

vol_

Handle<BlackVolTermStructure> vol_

private

Definition at line 99 of file blackmonotonevarvoltermstructure.hpp.

timePoints_

std::vector<Time> timePoints_

private

Definition at line 100 of file blackmonotonevarvoltermstructure.hpp.

monoVars_

std::map<Real, std::vector<Real>, closeDouble> monoVars_

mutableprivate

Definition at line 109 of file blackmonotonevarvoltermstructure.hpp.