#include <qle/termstructures/blackvariancesurfacesparse.hpp>

Inheritance diagram for BlackVarianceSurfaceSparse:

Collaboration diagram for BlackVarianceSurfaceSparse:

Public Types
enum class	TimeInterpolationMethod { Linear , Flat }

Public Member Functions
	BlackVarianceSurfaceSparse (const QuantLib::Date &referenceDate, const QuantLib::Calendar &cal, const std::vector< QuantLib::Date > &dates, const std::vector< QuantLib::Real > &strikes, const std::vector< QuantLib::Volatility > &volatilities, const QuantLib::DayCounter &dayCounter, bool lowerStrikeConstExtrap=true, bool upperStrikeConstExtrap=true, bool timeFlatExtrapolation=false)

TermStructure interface
QuantLib::Date	maxDate () const override

const QuantLib::Date &	referenceDate () const override

QuantLib::DayCounter	dayCounter () const override

VolatilityTermStructure interface
QuantLib::Real	minStrike () const override

QuantLib::Real	maxStrike () const override

Public Member Functions inherited from OptionInterpolator2d< QuantLib::Linear, QuantLib::Linear >
	OptionInterpolator2d (const QuantLib::Date &referenceDate, const QuantLib::DayCounter &dayCounter, bool lowerStrikeConstExtrap=true, bool upperStrikeConstExtrap=true, const QuantLib::Linear &interpolatorStrike=QuantLib::Linear(), const QuantLib::Linear &interpolatorExpiry=QuantLib::Linear(), const QuantLib::Date &baseDate=QuantLib::Date())
	OptionInterpolator2d default Constructor. More...

	OptionInterpolator2d (const QuantLib::Date &referenceDate, const QuantLib::DayCounter &dayCounter, const std::vector< QuantLib::Date > &dates, const std::vector< QuantLib::Real > &strikes, const std::vector< QuantLib::Real > &values, bool lowerStrikeConstExtrap=true, bool upperStrikeConstExtrap=true, const QuantLib::Linear &interpolatorStrike=QuantLib::Linear(), const QuantLib::Linear &interpolatorExpiry=QuantLib::Linear(), const QuantLib::Date &baseDate=QuantLib::Date())
	OptionInterpolator2d Constructor with dates. More...

	OptionInterpolator2d (const QuantLib::Date &referenceDate, const QuantLib::Calendar &calendar, const QuantLib::BusinessDayConvention &bdc, const QuantLib::DayCounter &dayCounter, const std::vector< QuantLib::Period > &tenors, const std::vector< QuantLib::Real > &strikes, const std::vector< QuantLib::Real > &values, bool lowerStrikeConstExtrap=true, bool upperStrikeConstExtrap=true, const QuantLib::Linear &interpolatorStrike=QuantLib::Linear(), const QuantLib::Linear &interpolatorExpiry=QuantLib::Linear(), const QuantLib::Date &baseDate=QuantLib::Date())
	OptionInterpolator2d Constructor with Tenors. More...

	OptionInterpolator2d (const OptionInterpolator2d &)=delete

OptionInterpolator2d &	operator= (const OptionInterpolator2d &)=delete

void	initialise (const std::vector< QuantLib::Date > &dates, const std::vector< QuantLib::Real > &strikes, const std::vector< QuantLib::Real > &values)
	Initialise. More...

void	initialise (const std::vector< QuantLib::Period > &tenors, const std::vector< QuantLib::Real > &strikes, const std::vector< QuantLib::Real > &values, const QuantLib::Calendar &calendar, const QuantLib::BusinessDayConvention &bdc)

std::vector< QuantLib::Time >	times () const

std::vector< QuantLib::Date >	expiries () const

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

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

QuantLib::DayCounter	dayCounter () const

QuantLib::Real	getValue (QuantLib::Time t, QuantLib::Real strike) const override
	virtual access methods More...

QuantLib::Real	getValue (QuantLib::Date d, QuantLib::Real strike) const override

Public Member Functions inherited from OptionInterpolatorBase
virtual	~OptionInterpolatorBase ()

	OptionInterpolatorBase (const QuantLib::Date &referenceDate)

virtual QuantLib::Real	getValue (QuantLib::Time t, QuantLib::Real strike) const =0
	virtual access methods More...

virtual QuantLib::Real	getValue (QuantLib::Date d, QuantLib::Real strike) const =0

const QuantLib::Date &	referenceDate () const

std::vector< QuantLib::Time >	times () const

std::vector< QuantLib::Date >	expiries () const

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

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

Visitability
bool	timeFlatExtrapolation_

virtual void	accept (QuantLib::AcyclicVisitor &) override

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

Additional Inherited Members
Protected Attributes inherited from OptionInterpolator2d< QuantLib::Linear, QuantLib::Linear >
std::vector< QuantLib::Interpolation >	interpolations_

Protected Attributes inherited from OptionInterpolatorBase
std::vector< QuantLib::Date >	expiries_

std::vector< QuantLib::Time >	times_

std::vector< std::vector< QuantLib::Real > >	strikes_

std::vector< std::vector< QuantLib::Real > >	values_

QuantLib::Date	referenceDate_

Detailed Description

Black volatility surface based on sparse matrix.

Definition at line 35 of file blackvariancesurfacesparse.hpp.

Member Enumeration Documentation

◆ TimeInterpolationMethod

enum class TimeInterpolationMethod

strong

Enumerator
Linear
Flat

Definition at line 45 of file blackvariancesurfacesparse.hpp.

45{ Linear, Flat };

QuantExt::BlackVarianceSurfaceSparse::TimeInterpolationMethod::Linear

@ Linear

QuantExt::BlackVarianceSurfaceSparse::TimeInterpolationMethod::Flat

@ Flat

Constructor & Destructor Documentation

◆ BlackVarianceSurfaceSparse()

BlackVarianceSurfaceSparse	(	const QuantLib::Date &	referenceDate,
		const QuantLib::Calendar &	cal,
		const std::vector< QuantLib::Date > &	dates,
		const std::vector< QuantLib::Real > &	strikes,
		const std::vector< QuantLib::Volatility > &	volatilities,
		const QuantLib::DayCounter &	dayCounter,
		bool	lowerStrikeConstExtrap = `true`,
		bool	upperStrikeConstExtrap = `true`,
		bool	timeFlatExtrapolation = `false`
	)

Definition at line 26 of file blackvariancesurfacesparse.cpp.

    : BlackVarianceTermStructure(referenceDate, cal), OptionInterpolator2d<Linear, Linear>(referenceDate, dayCounter,
                                                                                           lowerStrikeConstExtrap,
                                                                                           upperStrikeConstExtrap),
      timeFlatExtrapolation_(timeFlatExtrapolation) {
 
    QL_REQUIRE((strikes.size() == dates.size()) && (dates.size() == volatilities.size()),
               "dates, strikes and volatilities vectors not of equal size.");
 
    // convert volatilities to variance
    vector<Real> variances(volatilities.size());
    for (Size i = 0; i < volatilities.size(); i++) {
        Time t = dayCounter.yearFraction(referenceDate, dates[i]);
        variances[i] = volatilities[i] * volatilities[i] * t;
    }
 
    // variance must be 0 at time 0, add a variance of zero, time 0, for 2 strikes to ensure interpolation
    vector<Date> modDates(dates.begin(), dates.end());
    vector<Real> modStrikes(strikes.begin(), strikes.end());
    vector<Real> tempStrikes;
    tempStrikes.push_back(1.0);
    tempStrikes.push_back(100.0);
    for (Size i = 0; i < tempStrikes.size(); i++) {
        modDates.push_back(referenceDate);
        modStrikes.push_back(tempStrikes[i]);
        variances.push_back(0.0);
    }
 
    initialise(modDates, modStrikes, variances);
}

Here is the call graph for this function:

Member Function Documentation

◆ maxDate()

QuantLib::Date maxDate ( ) const

override

Definition at line 48 of file blackvariancesurfacesparse.hpp.

48{ return QuantLib::Date::maxDate(); }

◆ referenceDate()

const QuantLib::Date & referenceDate ( ) const

override

Definition at line 49 of file blackvariancesurfacesparse.hpp.

49{ return OptionInterpolator2d::referenceDate(); }

QuantExt::OptionInterpolatorBase::referenceDate

const QuantLib::Date & referenceDate() const

Definition: optioninterpolator2d.hpp:54

Here is the call graph for this function:

Here is the caller graph for this function:

◆ dayCounter()

QuantLib::DayCounter dayCounter ( ) const

override

Definition at line 50 of file blackvariancesurfacesparse.hpp.

50{ return OptionInterpolator2d::dayCounter(); }

QuantExt::OptionInterpolator2d::dayCounter

QuantLib::DayCounter dayCounter() const

Definition: optioninterpolator2d.hpp:122

Here is the call graph for this function:

Here is the caller graph for this function:

◆ minStrike()

QuantLib::Real minStrike ( ) const

override

Definition at line 54 of file blackvariancesurfacesparse.hpp.

54{ return 0; }

◆ maxStrike()

QuantLib::Real maxStrike ( ) const

override

Definition at line 55 of file blackvariancesurfacesparse.hpp.

55{ return QL_MAX_REAL; }

◆ accept()

void accept ( QuantLib::AcyclicVisitor & v )

overridevirtual

Definition at line 71 of file blackvariancesurfacesparse.hpp.

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

◆ blackVarianceImpl()

QuantLib::Real blackVarianceImpl	(	QuantLib::Time	t,
		QuantLib::Real	strike
	)		const

overrideprotectedvirtual

Definition at line 61 of file blackvariancesurfacesparse.cpp.

                                                                                                    {
 
    QuantLib::Time tb = times().back();
    if (timeFlatExtrapolation_ && t > tb) {
        return getValue(tb, strike) * t / tb;
    } else {
        return getValue(t, strike);
    }
};

Here is the call graph for this function:

Member Data Documentation

◆ timeFlatExtrapolation_

bool timeFlatExtrapolation_

protected

Definition at line 66 of file blackvariancesurfacesparse.hpp.

Public Types

Public Member Functions

Visitability

Additional Inherited Members

Detailed Description

Member Enumeration Documentation

◆ TimeInterpolationMethod

Constructor & Destructor Documentation

◆ BlackVarianceSurfaceSparse()

Member Function Documentation

◆ maxDate()

◆ referenceDate()

◆ dayCounter()

◆ minStrike()

◆ maxStrike()

◆ accept()

◆ blackVarianceImpl()

Member Data Documentation

◆ timeFlatExtrapolation_