BlackVolatilityConstantSpread Class Reference

Cube that combines an ATM matrix and vol spreads from a cube. More...

#include <qle/termstructures/blackvolconstantspread.hpp>

Inheritance diagram for BlackVolatilityConstantSpread:

Collaboration diagram for BlackVolatilityConstantSpread:

Public Member Functions
	BlackVolatilityConstantSpread (const Handle< BlackVolTermStructure > &atm, const Handle< BlackVolTermStructure > &surface)
TermStructure interface
DayCounter	dayCounter () const override
Date	maxDate () const override
Time	maxTime () const override
const Date &	referenceDate () const override
Calendar	calendar () const override
Natural	settlementDays () const override

VolatilityTermStructure interface
Handle< BlackVolTermStructure >	atm_
Handle< BlackVolTermStructure >	surface_
Rate	minStrike () const override
Rate	maxStrike () const override
void	deepUpdate () override
Volatility	blackVolImpl (Time t, Rate strike) const override
Real	blackVarianceImpl (Time t, Real strike) const override

Detailed Description

Cube that combines an ATM matrix and vol spreads from a cube.

Notice that the TS has a floating reference date and accesses the source TS only via their time-based volatility methods.

Warning:

the given atm vol structure should be strike independent, this is not checked

Definition at line 41 of file blackvolconstantspread.hpp.

Constructor & Destructor Documentation

BlackVolatilityConstantSpread()

BlackVolatilityConstantSpread	(	const Handle< BlackVolTermStructure > &	atm,
		const Handle< BlackVolTermStructure > &	surface
	)

Definition at line 25 of file blackvolconstantspread.cpp.

    : BlackVolTermStructure(0, atm->calendar(), atm->businessDayConvention(), atm->dayCounter()), atm_(atm),
      surface_(surface) {
    enableExtrapolation(atm->allowsExtrapolation());
    registerWith(atm);
    registerWith(surface);
}

Member Function Documentation

dayCounter()

DayCounter dayCounter ( ) const

override

Definition at line 34 of file blackvolconstantspread.cpp.

                                                           { 
    return atm_->dayCounter(); 
}

maxDate()

Date maxDate ( ) const

override

Definition at line 38 of file blackvolconstantspread.cpp.

                                                  { 
    return atm_->maxDate(); 
}

maxTime()

Time maxTime ( ) const

override

Definition at line 42 of file blackvolconstantspread.cpp.

                                                  { 
    return atm_->maxTime(); 
}

referenceDate()

const Date & referenceDate ( ) const

override

Definition at line 46 of file blackvolconstantspread.cpp.

                                                               { 
    return atm_->referenceDate(); 
}

calendar()

Calendar calendar ( ) const

override

Definition at line 50 of file blackvolconstantspread.cpp.

                                                       { 
    return atm_->calendar(); 
}

settlementDays()

Natural settlementDays ( ) const

override

Definition at line 54 of file blackvolconstantspread.cpp.

                                                            { 
    return atm_->settlementDays(); 
}

minStrike()

Rate minStrike ( ) const

override

Definition at line 58 of file blackvolconstantspread.cpp.

                                                    { 
    return surface_->minStrike(); 
}

maxStrike()

Rate maxStrike ( ) const

override

Definition at line 62 of file blackvolconstantspread.cpp.

                                                    { 
    return surface_->maxStrike(); 
}

deepUpdate()

void deepUpdate ( )

override

Definition at line 66 of file blackvolconstantspread.cpp.

                                               {
    atm_->update();
    update();
}

blackVolImpl()

Volatility blackVolImpl ( Time  t, Rate  strike  ) const

overrideprotected

Definition at line 71 of file blackvolconstantspread.cpp.

                                                                                {
    Real s = surface_->blackVol(t, strike, true) - surface_->blackVol(t, Null<Real>(), true);
    Real v = atm_->blackVol(t, Null<Real>(), true);
    return v + s;
}

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blackVarianceImpl()

Real blackVarianceImpl ( Time  t, Real  strike  ) const

overrideprotected

Definition at line 77 of file blackvolconstantspread.cpp.

                                                                               {
    Real vol = blackVolImpl(t, strike);
    return vol * vol * t;
}

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Member Data Documentation

atm_

Handle<BlackVolTermStructure> atm_

private

Definition at line 69 of file blackvolconstantspread.hpp.

surface_

Handle<BlackVolTermStructure> surface_

private

Definition at line 69 of file blackvolconstantspread.hpp.