BlackVarianceSurfaceMoneynessForward Class Reference

#include <qle/termstructures/blackvariancesurfacemoneyness.hpp>

Inheritance diagram for BlackVarianceSurfaceMoneynessForward:

Collaboration diagram for BlackVarianceSurfaceMoneynessForward:

Public Member Functions
	BlackVarianceSurfaceMoneynessForward (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, const Handle< YieldTermStructure > &forTS, const Handle< YieldTermStructure > &domTS, bool stickyStrike=false, bool flatExtrapMoneyness=false)
	BlackVarianceSurfaceMoneynessForward (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, const Handle< YieldTermStructure > &forTS, const Handle< YieldTermStructure > &domTS, bool stickyStrike=false, bool flatExtrapMoneyness=false)
	Forward moneyness variance surface with a fixed reference date. More...
Public Member Functions inherited from BlackVarianceSurfaceMoneyness
	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...
Date	maxDate () const override
Real	minStrike () const override
Real	maxStrike () const override
void	update () override
void	performCalculations () const override
virtual void	accept (AcyclicVisitor &) override
std::vector< QuantLib::Real >	moneyness () const

Private Member Functions
void	init ()
virtual Real	moneyness (Time t, Real strike) const override

Private Attributes
Handle< YieldTermStructure >	forTS_
Handle< YieldTermStructure >	domTS_
std::vector< Real >	forwards_
QuantLib::Interpolation	forwardCurve_

Additional Inherited Members
Protected Member Functions inherited from BlackVarianceSurfaceMoneyness
Protected Attributes inherited from BlackVarianceSurfaceMoneyness
bool	stickyStrike_
Handle< Quote >	spot_
std::vector< Time >	times_
std::vector< Real >	moneyness_
bool	flatExtrapMoneyness_

Detailed Description

Black volatility surface based on forward moneyness

Definition at line 143 of file blackvariancesurfacemoneyness.hpp.

Constructor & Destructor Documentation

BlackVarianceSurfaceMoneynessForward() [1/2]

BlackVarianceSurfaceMoneynessForward	(	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,
		const Handle< YieldTermStructure > &	forTS,
		const Handle< YieldTermStructure > &	domTS,
		bool	stickyStrike = false,
		bool	flatExtrapMoneyness = false
	)

Moneyness is defined here as forward moneyness, ie K/F

Definition at line 147 of file blackvariancesurfacemoneyness.cpp.

    : BlackVarianceSurfaceMoneyness(cal, spot, times, moneyness, blackVolMatrix, dayCounter, stickyStrike,
                                    flatExtrapMoneyness),
      forTS_(forTS), domTS_(domTS) {
    init();
}

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BlackVarianceSurfaceMoneynessForward() [2/2]

BlackVarianceSurfaceMoneynessForward	(	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,
		const Handle< YieldTermStructure > &	forTS,
		const Handle< YieldTermStructure > &	domTS,
		bool	stickyStrike = false,
		bool	flatExtrapMoneyness = false
	)

Forward moneyness variance surface with a fixed reference date.

Definition at line 158 of file blackvariancesurfacemoneyness.cpp.

    : BlackVarianceSurfaceMoneyness(referenceDate, cal, spot, times, moneyness, blackVolMatrix, dayCounter,
                                    stickyStrike, flatExtrapMoneyness),
      forTS_(forTS), domTS_(domTS) {
    init();
}

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Member Function Documentation

init()

void init ( )

private

Definition at line 169 of file blackvariancesurfacemoneyness.cpp.

                                                {
 
    if (!stickyStrike_) {
        QL_REQUIRE(!forTS_.empty(), "foreign discount curve required for atmf surface");
        QL_REQUIRE(!domTS_.empty(), "domestic discount curve required for atmf surface");
        registerWith(forTS_);
        registerWith(domTS_);
    } else {
        for (Size i = 0; i < times_.size(); i++) {
            Time t = times_[i];
            Real fwd = spot_->value() * forTS_->discount(t) / domTS_->discount(t);
            forwards_.push_back(fwd);
        }
        forwardCurve_ = Linear().interpolate(times_.begin(), times_.end(), forwards_.begin());
    }
}

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moneyness()

Real moneyness ( Time  t, Real  strike  ) const

overrideprivatevirtual

Implements BlackVarianceSurfaceMoneyness.

Definition at line 186 of file blackvariancesurfacemoneyness.cpp.

                                                                              {
    Real fwd;
    Real reqMoneyness; // for flat extrapolation
    if (strike == Null<Real>() || strike == 0)
        return 1.0;
    else {
        if (stickyStrike_)
            fwd = forwardCurve_(t, true);
        else
            fwd = spot_->value() * forTS_->discount(t) / domTS_->discount(t);
        reqMoneyness = strike / fwd;
        if (flatExtrapMoneyness_) {
            if ((strike / fwd) < moneyness_.front()) {
                reqMoneyness = moneyness_.front();
            } else if ((strike / fwd) > moneyness_.back()) {
                reqMoneyness = moneyness_.back();
            }
        }
        return reqMoneyness;
    }
}

Member Data Documentation

forTS_

Handle<YieldTermStructure> forTS_

private

Definition at line 166 of file blackvariancesurfacemoneyness.hpp.

domTS_

Handle<YieldTermStructure> domTS_

private

Definition at line 167 of file blackvariancesurfacemoneyness.hpp.

forwards_

std::vector<Real> forwards_

private

Definition at line 168 of file blackvariancesurfacemoneyness.hpp.

forwardCurve_

QuantLib::Interpolation forwardCurve_

private

Definition at line 169 of file blackvariancesurfacemoneyness.hpp.