BlackVarianceCurve3 Class Reference

Black volatility curve modeled as variance curve. More...

#include <qle/termstructures/blackvariancecurve3.hpp>

Inheritance diagram for BlackVarianceCurve3:

Collaboration diagram for BlackVarianceCurve3:

Public Member Functions
	BlackVarianceCurve3 (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc, const std::vector< Time > &times, const std::vector< Handle< Quote > > &blackVolCurve, bool requireMonotoneVariance=true)
TermStructure interface
Date	maxDate () const override
VolatilityTermStructure interface
Real	minStrike () const override
Real	maxStrike () const override
Observer interface
void	update () override
LazyObject interface
void	performCalculations () const override

Visitability
std::vector< Time >	times_
std::vector< Handle< Quote > >	quotes_
std::vector< Real >	variances_
Interpolation	varianceCurve_
bool	requireMonotoneVariance_
virtual void	accept (AcyclicVisitor &) override
virtual Real	blackVarianceImpl (Time t, Real) const override

Detailed Description

Black volatility curve modeled as variance curve.

This class calculates time-dependent Black volatilities using as input a vector of (ATM) Black volatilities observed in the market.

The calculation is performed interpolating on the variance curve. Linear interpolation is used.

Definition at line 47 of file blackvariancecurve3.hpp.

Constructor & Destructor Documentation

BlackVarianceCurve3()

BlackVarianceCurve3	(	Natural	settlementDays,
		const Calendar &	cal,
		BusinessDayConvention	bdc,
		const DayCounter &	dc,
		const std::vector< Time > &	times,
		const std::vector< Handle< Quote > > &	blackVolCurve,
		bool	requireMonotoneVariance = true
	)

Definition at line 24 of file blackvariancecurve3.cpp.

    : BlackVarianceTermStructure(settlementDays, cal, bdc, dc), times_(times), quotes_(blackVolCurve),
      requireMonotoneVariance_(requireMonotoneVariance) {
 
    QL_REQUIRE(times.size() == blackVolCurve.size(), "mismatch between date vector and black vol vector");
 
    // cannot have dates[0]==referenceDate, since the
    // value of the vol at dates[0] would be lost
    // (variance at referenceDate must be zero)
    QL_REQUIRE(times[0] > 0, "cannot have times[0] <= 0");
 
    // Now insert 0 at the start of times_
    times_.insert(times_.begin(), 0);
 
    variances_ = std::vector<Real>(times_.size());
    variances_[0] = 0.0;
    for (Size j = 1; j < times_.size(); j++) {
        QL_REQUIRE(times_[j] > times_[j - 1], "times must be sorted unique!");
        registerWith(quotes_[j - 1]);
    }
    varianceCurve_ = Linear().interpolate(times_.begin(), times_.end(), variances_.begin());
}

Member Function Documentation

maxDate()

Date maxDate ( ) const

override

Definition at line 87 of file blackvariancecurve3.hpp.

{ return Date::maxDate(); }

minStrike()

Real minStrike ( ) const

override

Definition at line 89 of file blackvariancecurve3.hpp.

{ return QL_MIN_REAL; }

maxStrike()

Real maxStrike ( ) const

override

Definition at line 91 of file blackvariancecurve3.hpp.

{ return QL_MAX_REAL; }

update()

void update ( )

override

Definition at line 49 of file blackvariancecurve3.cpp.

                                 {
    TermStructure::update(); // calls notifyObservers
    LazyObject::update();    // as does this
}

performCalculations()

void performCalculations ( ) const

override

Definition at line 54 of file blackvariancecurve3.cpp.

                                                    {
    for (Size j = 1; j <= quotes_.size(); j++) {
        variances_[j] = times_[j] * quotes_[j - 1]->value() * quotes_[j - 1]->value();
        if (requireMonotoneVariance_) {
            QL_REQUIRE(variances_[j] >= variances_[j - 1],
                       "variance must be non-decreasing at j:" << j << " got var[j]:" << variances_[j]
                                                               << " and var[j-1]:" << variances_[j - 1]);
        }
    }
    varianceCurve_.update();
}

accept()

void accept ( AcyclicVisitor &  v )

overridevirtual

Definition at line 93 of file blackvariancecurve3.hpp.

                                                         {
    Visitor<BlackVarianceCurve3>* v1 = dynamic_cast<Visitor<BlackVarianceCurve3>*>(&v);
    if (v1 != 0)
        v1->visit(*this);
    else
        BlackVarianceTermStructure::accept(v);
}

blackVarianceImpl()

Real blackVarianceImpl ( Time  t, Real    ) const

overrideprotectedvirtual

Definition at line 66 of file blackvariancecurve3.cpp.

                                                              {
    calculate();
    if (t <= times_.back()) {
        return varianceCurve_(t, true);
    } else {
        // extrapolate with flat vol
        return varianceCurve_(times_.back(), true) * t / times_.back();
    }
}

Member Data Documentation

times_

std::vector<Time> times_

private

Definition at line 78 of file blackvariancecurve3.hpp.

quotes_

std::vector<Handle<Quote> > quotes_

private

Definition at line 79 of file blackvariancecurve3.hpp.

variances_

std::vector<Real> variances_

mutableprivate

Definition at line 80 of file blackvariancecurve3.hpp.

varianceCurve_

Interpolation varianceCurve_

mutableprivate

Definition at line 81 of file blackvariancecurve3.hpp.

requireMonotoneVariance_

bool requireMonotoneVariance_

private

Definition at line 82 of file blackvariancecurve3.hpp.