Abstract Black volatility surface based on moneyness (moneyness defined in subclasses) More...

#include <qle/termstructures/blackvariancesurfacemoneyness.hpp>

Inheritance diagram for BlackVarianceSurfaceMoneyness:

Collaboration diagram for BlackVarianceSurfaceMoneyness:

Public Member Functions
	BlackVarianceSurfaceMoneyness (const Calendar &cal, const Handle< Quote > &spot, const std::vector< Time > &times, const std::vector< Real > &moneyness, const std::vector< std::vector< Handle< Quote > > > &blackVolMatrix, const DayCounter &dayCounter, bool stickyStrike, bool flatExtrapMoneyness=false)

	BlackVarianceSurfaceMoneyness (const Date &referenceDate, const Calendar &cal, const Handle< Quote > &spot, const std::vector< Time > &times, const std::vector< Real > &moneyness, const std::vector< std::vector< Handle< Quote > > > &blackVolMatrix, const DayCounter &dayCounter, bool stickyStrike, bool flatExtrapMoneyness=false)
	Moneyness variance surface with a fixed reference date. More...

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
virtual void	accept (AcyclicVisitor &) override

Inspectors
bool	stickyStrike_

Handle< Quote >	spot_

std::vector< Time >	times_

std::vector< Real >	moneyness_

bool	flatExtrapMoneyness_

std::vector< std::vector< Handle< Quote > > >	quotes_

Matrix	variances_

Interpolation2D	varianceSurface_

std::vector< QuantLib::Real >	moneyness () const

virtual Real	moneyness (Time t, Real strike) const =0

void	init ()

Real	blackVarianceMoneyness (Time t, Real moneyness) const

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

Detailed Description

Abstract Black volatility surface based on moneyness (moneyness defined in subclasses)

Definition at line 46 of file blackvariancesurfacemoneyness.hpp.

Constructor & Destructor Documentation

◆ BlackVarianceSurfaceMoneyness() [1/2]

BlackVarianceSurfaceMoneyness	(	const Calendar &	cal,
		const Handle< Quote > &	spot,
		const std::vector< Time > &	times,
		const std::vector< Real > &	moneyness,
		const std::vector< std::vector< Handle< Quote > > > &	blackVolMatrix,
		const DayCounter &	dayCounter,
		bool	stickyStrike,
		bool	flatExtrapMoneyness = `false`
	)

Moneyness can be defined here as spot moneyness, i.e. K/S or forward moneyness, ie K/F

Definition at line 30 of file blackvariancesurfacemoneyness.cpp.

    : BlackVarianceTermStructure(0, cal, Following, dayCounter), stickyStrike_(stickyStrike), spot_(spot),
      times_(times), moneyness_(moneyness), flatExtrapMoneyness_(flatExtrapMoneyness), quotes_(blackVolMatrix) {
    init();
}

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◆ BlackVarianceSurfaceMoneyness() [2/2]

BlackVarianceSurfaceMoneyness	(	const Date &	referenceDate,
		const Calendar &	cal,
		const Handle< Quote > &	spot,
		const std::vector< Time > &	times,
		const std::vector< Real > &	moneyness,
		const std::vector< std::vector< Handle< Quote > > > &	blackVolMatrix,
		const DayCounter &	dayCounter,
		bool	stickyStrike,
		bool	flatExtrapMoneyness = `false`
	)

Moneyness variance surface with a fixed reference date.

Definition at line 39 of file blackvariancesurfacemoneyness.cpp.

    : BlackVarianceTermStructure(referenceDate, cal, Following, dayCounter), stickyStrike_(stickyStrike), spot_(spot),
      times_(times), moneyness_(moneyness), flatExtrapMoneyness_(flatExtrapMoneyness), quotes_(blackVolMatrix) {
    init();
}

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Member Function Documentation

◆ maxDate()

Date maxDate ( ) const

override

Definition at line 64 of file blackvariancesurfacemoneyness.hpp.

64{ return Date::maxDate(); }

◆ minStrike()

Real minStrike ( ) const

override

Definition at line 68 of file blackvariancesurfacemoneyness.hpp.

68{ return 0; }

◆ maxStrike()

Real maxStrike ( ) const

override

Definition at line 69 of file blackvariancesurfacemoneyness.hpp.

69{ return QL_MAX_REAL; }

◆ update()

void update ( )

override

Definition at line 48 of file blackvariancesurfacemoneyness.cpp.

                                           {
    TermStructure::update();
    LazyObject::update();
}

◆ performCalculations()

void performCalculations ( ) const

override

Definition at line 53 of file blackvariancesurfacemoneyness.cpp.

                                                              {
    for (Size j = 1; j < variances_.columns(); j++) {
        for (Size i = 0; i < variances_.rows(); i++) {
            Real vol = quotes_[i][j - 1]->value();
            variances_[i][j] = times_[j] * vol * vol;
        }
    }
    varianceSurface_.update();
}

◆ accept()

void accept ( AcyclicVisitor & v )

overridevirtual

Definition at line 110 of file blackvariancesurfacemoneyness.hpp.

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

◆ moneyness() [1/2]

std::vector< QuantLib::Real > moneyness ( ) const

Definition at line 86 of file blackvariancesurfacemoneyness.hpp.

86{ return moneyness_; }

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◆ moneyness() [2/2]

virtual Real moneyness	(	Time	t,
		Real	strike
	)		const

protectedpure virtual

Implemented in BlackVarianceSurfaceMoneynessSpot, BlackVarianceSurfaceMoneynessForward, and BlackVarianceSurfaceStdDevs.

◆ init()

void init ( )

private

Definition at line 63 of file blackvariancesurfacemoneyness.cpp.

                                         {
 
    QL_REQUIRE(times_.size() == quotes_.front().size(), "mismatch between times vector and vol matrix columns");
    QL_REQUIRE(moneyness_.size() == quotes_.size(), "mismatch between moneyness vector and vol matrix rows");
 
    QL_REQUIRE(times_[0] > 0, "The first time must be greater than 0.0.");
 
    if (stickyStrike_) {
        // we don't want to know if the spot has changed - we take a copy here
        spot_ = Handle<Quote>(QuantLib::ext::make_shared<SimpleQuote>(spot_->value()));
    } else {
        registerWith(spot_);
    }
 
    // Insert time 0.0 in times_ and initialise variances_ with 0.0.
    times_.insert(times_.begin(), 0.0);
    variances_ = Matrix(moneyness_.size(), times_.size(), 0.0);
 
    // Check times_ and register with quotes
    for (Size j = 1; j < times_.size(); j++) {
 
        QL_REQUIRE(times_[j] > times_[j - 1], "Times must be sorted and unique but found that the "
                                                  << io::ordinal(j) << " time, " << times_[j]
                                                  << ", is not greater than the " << io::ordinal(j - 1) << " time, "
                                                  << times_[j - 1] << ".");
 
        for (Size i = 0; i < moneyness_.size(); i++) {
            registerWith(quotes_[i][j - 1]);
        }
    }
 
    varianceSurface_ =
        Bilinear().interpolate(times_.begin(), times_.end(), moneyness_.begin(), moneyness_.end(), variances_);
 
    notifyObservers();
}

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◆ blackVarianceMoneyness()

Real blackVarianceMoneyness	(	Time	t,
		Real	moneyness
	)		const

private

Definition at line 110 of file blackvariancesurfacemoneyness.cpp.

                                                                               {
    if (t <= times_.back())
        return varianceSurface_(t, m, true);
    else
        return varianceSurface_(times_.back(), m, true) * t / times_.back();
}

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◆ blackVarianceImpl()

Real blackVarianceImpl	(	Time	t,
		Real	strike
	)		const

overrideprivatevirtual

Definition at line 100 of file blackvariancesurfacemoneyness.cpp.

                                                                               {
 
    calculate();
 
    if (t == 0.0)
        return 0.0;
 
    return std::max(blackVarianceMoneyness(t, moneyness(t, strike)), 0.0);
}

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Member Data Documentation

◆ stickyStrike_

bool stickyStrike_

protected

Definition at line 91 of file blackvariancesurfacemoneyness.hpp.

◆ spot_

Handle<Quote> spot_

protected

Definition at line 92 of file blackvariancesurfacemoneyness.hpp.

◆ times_

std::vector<Time> times_

protected

Definition at line 93 of file blackvariancesurfacemoneyness.hpp.

◆ moneyness_

std::vector<Real> moneyness_

protected

Definition at line 94 of file blackvariancesurfacemoneyness.hpp.

◆ flatExtrapMoneyness_

bool flatExtrapMoneyness_

protected

Definition at line 95 of file blackvariancesurfacemoneyness.hpp.

◆ quotes_

std::vector<std::vector<Handle<Quote> > > quotes_

private

Definition at line 103 of file blackvariancesurfacemoneyness.hpp.

◆ variances_

Matrix variances_

mutableprivate

Definition at line 104 of file blackvariancesurfacemoneyness.hpp.

◆ varianceSurface_

Interpolation2D varianceSurface_

mutableprivate

Definition at line 105 of file blackvariancesurfacemoneyness.hpp.

Public Member Functions

Inspectors

Detailed Description

Constructor & Destructor Documentation

◆ BlackVarianceSurfaceMoneyness() [1/2]

◆ BlackVarianceSurfaceMoneyness() [2/2]

Member Function Documentation

◆ maxDate()

◆ minStrike()

◆ maxStrike()

◆ update()

◆ performCalculations()

◆ accept()

◆ moneyness() [1/2]

◆ moneyness() [2/2]

◆ init()

◆ blackVarianceMoneyness()

◆ blackVarianceImpl()

Member Data Documentation

◆ stickyStrike_

◆ spot_

◆ times_

◆ moneyness_

◆ flatExtrapMoneyness_

◆ quotes_

◆ variances_

◆ varianceSurface_