#include <qle/termstructures/blackvariancesurfacemoneyness.hpp>

Inheritance diagram for BlackVarianceSurfaceMoneynessSpot:

Collaboration diagram for BlackVarianceSurfaceMoneynessSpot:

Public Member Functions
	BlackVarianceSurfaceMoneynessSpot (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=false, bool flatExtrapMoneyness=false)

	BlackVarianceSurfaceMoneynessSpot (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=false, bool flatExtrapMoneyness=false)
	Spot 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
virtual Real	moneyness (Time t, Real strike) const override

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 spot moneyness

Definition at line 120 of file blackvariancesurfacemoneyness.hpp.

Constructor & Destructor Documentation

◆ BlackVarianceSurfaceMoneynessSpot() [1/2]

BlackVarianceSurfaceMoneynessSpot	(	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 = `false`,
		bool	flatExtrapMoneyness = `false`
	)

Moneyness is defined here as spot moneyness, i.e. K/S

Definition at line 117 of file blackvariancesurfacemoneyness.cpp.

121 : BlackVarianceSurfaceMoneyness(cal, spot, times, moneyness, blackVolMatrix, dayCounter, stickyStrike,

122 flatExtrapMoneyness) {}

QuantExt::BlackVarianceSurfaceMoneyness::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)

Definition: blackvariancesurfacemoneyness.cpp:30

QuantExt::BlackVarianceSurfaceMoneyness::moneyness

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

Definition: blackvariancesurfacemoneyness.hpp:86

◆ BlackVarianceSurfaceMoneynessSpot() [2/2]

BlackVarianceSurfaceMoneynessSpot	(	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 = `false`,
		bool	flatExtrapMoneyness = `false`
	)

Spot moneyness variance surface with a fixed reference date.

Definition at line 124 of file blackvariancesurfacemoneyness.cpp.

128 : BlackVarianceSurfaceMoneyness(referenceDate, cal, spot, times, moneyness, blackVolMatrix, dayCounter,

129 stickyStrike, flatExtrapMoneyness) {}

Member Function Documentation

◆ moneyness()

Real moneyness	(	Time	t,
		Real	strike
	)		const

overrideprivatevirtual

Implements BlackVarianceSurfaceMoneyness.

Definition at line 131 of file blackvariancesurfacemoneyness.cpp.

                                                                         {
    if (strike == Null<Real>() || strike == 0) {
        return 1.0;
    } else {
        Real moneyness = strike / spot_->value();
        if (flatExtrapMoneyness_) {
            if (moneyness < moneyness_.front()) {
                moneyness = moneyness_.front();
            } else if (moneyness > moneyness_.back()) {
                moneyness = moneyness_.back();
            }
        }
        return moneyness;
    }
}

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Public Member Functions