#include <qle/termstructures/blackvolsurfaceabsolute.hpp>

Inheritance diagram for BlackVolatilitySurfaceAbsolute:

Collaboration diagram for BlackVolatilitySurfaceAbsolute:

Public Types
enum class	SmileInterpolation { Linear , Cubic }

Public Member Functions
	BlackVolatilitySurfaceAbsolute (Date referenceDate, const std::vector< Date > &dates, const std::vector< std::vector< Real > > &strikes, const std::vector< std::vector< Real > > &strikeQuotes, const DayCounter &dayCounter, const Calendar &calendar, const Handle< Quote > &spot, const Size spotDays, const Calendar spotCalendar, const Handle< YieldTermStructure > &domesticTS, const Handle< YieldTermStructure > &foreignTS, const DeltaVolQuote::DeltaType dt=DeltaVolQuote::DeltaType::Spot, const DeltaVolQuote::AtmType at=DeltaVolQuote::AtmType::AtmDeltaNeutral, const Period &switchTenor=2 *Years, const DeltaVolQuote::DeltaType ltdt=DeltaVolQuote::DeltaType::Fwd, const DeltaVolQuote::AtmType ltat=DeltaVolQuote::AtmType::AtmDeltaNeutral, const SmileInterpolation smileInterpolation=SmileInterpolation::Cubic, const bool flatExtrapolation=true)

Date	maxDate () const override

Real	minStrike () const override

Real	maxStrike () const override

const std::vector< QuantLib::Date > &	dates () const

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

const std::vector< std::vector< Real > > &	strikeQuotes () const

const Handle< Quote > &	spot () const

const Handle< YieldTermStructure > &	domesticTS () const

const Handle< YieldTermStructure > &	foreignTS () const

DeltaVolQuote::DeltaType	deltaType () const

DeltaVolQuote::AtmType	atmType () const

const Period &	switchTenor () const

DeltaVolQuote::DeltaType	longTermDeltaType () const

DeltaVolQuote::AtmType	longTermAtmType () const

SmileInterpolation	smileInterpolation () const

Private Member Functions
Volatility	blackVolImpl (Time t, Real strike) const override

void	update () override

Private Attributes
std::vector< Date >	dates_

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

std::vector< std::vector< Real > >	strikeQuotes_

Handle< Quote >	spot_

Size	spotDays_

Calendar	spotCalendar_

Handle< YieldTermStructure >	domesticTS_

Handle< YieldTermStructure >	foreignTS_

DeltaVolQuote::DeltaType	dt_

DeltaVolQuote::AtmType	at_

Period	switchTenor_

DeltaVolQuote::DeltaType	ltdt_

DeltaVolQuote::AtmType	ltat_

SmileInterpolation	smileInterpolation_

std::vector< QuantLib::ext::shared_ptr< Interpolation > >	interpolation_

bool	flatExtrapolation_

std::vector< Real >	expiryTimes_

std::vector< Date >	settlementDates_

std::map< std::pair< Real, Real >, Real >	cachedInterpolatedVols_

Detailed Description

Definition at line 37 of file blackvolsurfaceabsolute.hpp.

Member Enumeration Documentation

◆ SmileInterpolation

enum class SmileInterpolation

strong

Enumerator
Linear
Cubic

Definition at line 39 of file blackvolsurfaceabsolute.hpp.

39{ Linear, Cubic };

QuantExt::BlackVolatilitySurfaceAbsolute::SmileInterpolation::Linear

@ Linear

QuantExt::BlackVolatilitySurfaceAbsolute::SmileInterpolation::Cubic

@ Cubic

Constructor & Destructor Documentation

◆ BlackVolatilitySurfaceAbsolute()

BlackVolatilitySurfaceAbsolute	(	Date	referenceDate,
		const std::vector< Date > &	dates,
		const std::vector< std::vector< Real > > &	strikes,
		const std::vector< std::vector< Real > > &	strikeQuotes,
		const DayCounter &	dayCounter,
		const Calendar &	calendar,
		const Handle< Quote > &	spot,
		const Size	spotDays,
		const Calendar	spotCalendar,
		const Handle< YieldTermStructure > &	domesticTS,
		const Handle< YieldTermStructure > &	foreignTS,
		const DeltaVolQuote::DeltaType	dt = `DeltaVolQuote::DeltaType::Spot`,
		const DeltaVolQuote::AtmType	at = `DeltaVolQuote::AtmType::AtmDeltaNeutral`,
		const Period &	switchTenor = `2 * Years`,
		const DeltaVolQuote::DeltaType	ltdt = `DeltaVolQuote::DeltaType::Fwd`,
		const DeltaVolQuote::AtmType	ltat = `DeltaVolQuote::AtmType::AtmDeltaNeutral`,
		const SmileInterpolation	smileInterpolation = `SmileInterpolation::Cubic`,
		const bool	flatExtrapolation = `true`
	)

Definition at line 31 of file blackvolsurfaceabsolute.cpp.

    : BlackVolatilityTermStructure(referenceDate, calendar, Following, dayCounter), dates_(dates), strikes_(strikes),
      strikeQuotes_(strikeQuotes), spot_(spot), spotDays_(spotDays), spotCalendar_(spotCalendar),
      domesticTS_(domesticTS), foreignTS_(foreignTS), dt_(dt), at_(at), switchTenor_(switchTenor), ltdt_(ltdt),
      ltat_(ltat), smileInterpolation_(smileInterpolation), flatExtrapolation_(flatExtrapolation) {
 
    // checks
 
    QL_REQUIRE(!dates_.empty(), "BlackVolatilitySurfaceAbsolute: no expiry dates given");
    QL_REQUIRE(!strikes_.empty(), "BlackVolatilitySurfaceAbsolute: no strikes given");
 
    for (Size i = 0; i < strikes_.size(); ++i) {
        if (strikes_[i].size() > 1) {
            for (Size j = 0; j < strikes_[i].size() - 1; ++j) {
                QL_REQUIRE(strikes_[i][j + 1] > strikes_[i][j] && !close_enough(strikes_[i][j + 1], strikes_[i][j]),
                           "BlackVolatilitySurfaceAbsolute: strikes are not strictly ascending at index "
                               << i << ", " << j
                               << ": " << strikes_[i][j] << ", " << strikes_[i][j + 1]);
            }
        }
    }
 
    QL_REQUIRE(strikeQuotes_.size() == dates_.size(), "BlackVolatilitySurfaceAbsolute: strikeQuotes ("
                                                      << strikeQuotes_.size() << ") mismatch with expiry dates ("
                                                      << dates_.size() << ")");
    QL_REQUIRE(strikeQuotes_.size() == strikes_.size(), "BlackVolatilitySurfaceAbsolute: strikeQuotes ("
                                                      << strikeQuotes_.size() << ") mismatch with number of dates in strikes ("
                                                      << strikes_.size() << ")");
    for (Size i = 0; i < strikes_.size(); ++i) {
        QL_REQUIRE(strikeQuotes_[i].size() == strikes_[i].size(), "BlackVolatilitySurfaceAbsolute: strikeQuotes inner vector ("
                       << strikeQuotes_[i].size() << ") mismatch with strikes (" << strikes_[i].size() << ")");
    }
 
    // calculate times associated to expiry dates
 
    expiryTimes_.clear();
    settlementDates_.clear();
    for (auto const& d : dates_) {
        expiryTimes_.push_back(timeFromReference(d));
        settlementDates_.push_back(spotCalendar_.advance(d, spotDays_ * Days));
    }
 
    // generate interpolator
    interpolation_.resize(strikeQuotes_.size());
    for (Size i = 0; i < strikeQuotes_.size(); ++i) {
        if (strikes_[i].size() > 1) {
            if (smileInterpolation_ == BlackVolatilitySurfaceAbsolute::SmileInterpolation::Linear) {
                interpolation_[i] = QuantLib::ext::make_shared<LinearInterpolation>(strikes_[i].begin(), strikes_[i].end(),
                                                                            strikeQuotes_[i].begin());
                interpolation_[i]->enableExtrapolation();
            } else if (smileInterpolation_ == BlackVolatilitySurfaceAbsolute::SmileInterpolation::Cubic) {
                interpolation_[i] = QuantLib::ext::make_shared<CubicInterpolation>(strikes_[i].begin(), strikes_[i].end(), strikeQuotes_[i].begin(), CubicInterpolation::Spline, false,
                    CubicInterpolation::SecondDerivative, 0.0, CubicInterpolation::SecondDerivative, 0.0);
                interpolation_[i]->enableExtrapolation();
            } else {
                QL_FAIL("BlackVolatilitySurfaceAbsolute: Invalid interpolation type.");
            }
        }
        if (flatExtrapolation_) {
            interpolation_[i] = QuantLib::ext::make_shared<FlatExtrapolation>(interpolation_[i]);
            interpolation_[i]->enableExtrapolation();
        }
    }
 
    // register with observables
 
    registerWith(spot_);
    registerWith(domesticTS_);
    registerWith(foreignTS_);
}

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Member Function Documentation

◆ maxDate()

Date maxDate ( ) const

override

Definition at line 51 of file blackvolsurfaceabsolute.hpp.

51{ return Date::maxDate(); }

◆ minStrike()

Real minStrike ( ) const

override

Definition at line 52 of file blackvolsurfaceabsolute.hpp.

52{ return 0; }

◆ maxStrike()

Real maxStrike ( ) const

override

Definition at line 53 of file blackvolsurfaceabsolute.hpp.

53{ return QL_MAX_REAL; }

◆ dates()

const std::vector< QuantLib::Date > & dates ( ) const

Definition at line 55 of file blackvolsurfaceabsolute.hpp.

55{ return dates_; }

◆ strikes()

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

Definition at line 56 of file blackvolsurfaceabsolute.hpp.

56{ return strikes_; }

◆ strikeQuotes()

const std::vector< std::vector< Real > > & strikeQuotes ( ) const

Definition at line 57 of file blackvolsurfaceabsolute.hpp.

57{ return strikeQuotes_; }

◆ spot()

const Handle< Quote > & spot ( ) const

Definition at line 58 of file blackvolsurfaceabsolute.hpp.

58{ return spot_; }

◆ domesticTS()

const Handle< YieldTermStructure > & domesticTS ( ) const

Definition at line 59 of file blackvolsurfaceabsolute.hpp.

59{ return domesticTS_; }

◆ foreignTS()

const Handle< YieldTermStructure > & foreignTS ( ) const

Definition at line 60 of file blackvolsurfaceabsolute.hpp.

60{ return foreignTS_; }

◆ deltaType()

DeltaVolQuote::DeltaType deltaType ( ) const

Definition at line 61 of file blackvolsurfaceabsolute.hpp.

61{ return dt_; }

◆ atmType()

DeltaVolQuote::AtmType atmType ( ) const

Definition at line 62 of file blackvolsurfaceabsolute.hpp.

62{ return at_; }

◆ switchTenor()

const Period & switchTenor ( ) const

Definition at line 63 of file blackvolsurfaceabsolute.hpp.

63{ return switchTenor_; }

◆ longTermDeltaType()

DeltaVolQuote::DeltaType longTermDeltaType ( ) const

Definition at line 64 of file blackvolsurfaceabsolute.hpp.

64{ return ltdt_; }

◆ longTermAtmType()

DeltaVolQuote::AtmType longTermAtmType ( ) const

Definition at line 65 of file blackvolsurfaceabsolute.hpp.

65{ return ltat_; }

◆ smileInterpolation()

SmileInterpolation smileInterpolation ( ) const

Definition at line 66 of file blackvolsurfaceabsolute.hpp.

66{ return smileInterpolation_; }

◆ blackVolImpl()

Volatility blackVolImpl	(	Time	t,
		Real	strike
	)		const

overrideprivate

Definition at line 113 of file blackvolsurfaceabsolute.cpp.

                                                                                 {
 
    /* minimum supported time is 1D, i.e. if t is smaller, we return the vol at 1D */
 
    t = std::max(t, 1.0 / 365.0);
 
    t = t <= expiryTimes_.back() ? t : expiryTimes_.back();
 
    /* if we have cached the interpolated smile at t, we use that */
 
    auto s = cachedInterpolatedVols_.find(std::make_pair(t, strike));
    if (s != cachedInterpolatedVols_.end()) {
        return s->second;
    }
 
    /* find the indices ip and im such that t_im <= t  < t_ip, im will be null if t < first expiry,
       ip will be null if t >= last expiry */
 
    Size index_p = std::upper_bound(expiryTimes_.begin(), expiryTimes_.end(), t) - expiryTimes_.begin();
    Size index_m = index_p == 0 ? Null<Size>() : index_p - 1;
    if (index_p == expiryTimes_.size())
        index_p = Null<Size>();
 
    /* build the smiles on the indices, if we do not have them yet */
    Volatility vol_p = 0, vol_m = 0;
    if (index_p != Null<Size>()) {
        if (strikeQuotes_[index_p].size() == 1) {
            vol_p = strikeQuotes_[index_p][0];
        } else {
            vol_p = (*interpolation_[index_p])(strike);
        }
    }
    if (index_m != Null<Size>()) {
        if (strikeQuotes_[index_m].size() == 1) {
            vol_m = strikeQuotes_[index_m][0];
        } else {
            vol_m = (*interpolation_[index_m])(strike);
        }
    }
 
    /* find the interpolated vols */
 
    Real vol;
 
    if (index_p == Null<Size>()) {
        vol = vol_m;
    } else if (index_m == Null<Size>()) {
        vol = vol_p;
    } else {
        // interpolate between two expiries
        Real a = (t - expiryTimes_[index_m]) / (expiryTimes_[index_p] - expiryTimes_[index_m]);
        vol = (1.0 - a) * vol_m + a * vol_p;
    }
 
    /* store the new smile in the cache */
 
    cachedInterpolatedVols_[std::make_pair(t, strike)] = vol;
 
    return vol;
}

◆ update()

void update ( )

overrideprivate

Definition at line 109 of file blackvolsurfaceabsolute.cpp.

                                            {
    BlackVolatilityTermStructure::update();
}

Member Data Documentation

◆ dates_

std::vector<Date> dates_

private

Definition at line 72 of file blackvolsurfaceabsolute.hpp.

◆ strikes_

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

private

Definition at line 73 of file blackvolsurfaceabsolute.hpp.

◆ strikeQuotes_

std::vector<std::vector<Real> > strikeQuotes_

private

Definition at line 74 of file blackvolsurfaceabsolute.hpp.

◆ spot_

Handle<Quote> spot_

private

Definition at line 75 of file blackvolsurfaceabsolute.hpp.

◆ spotDays_

Size spotDays_

private

Definition at line 76 of file blackvolsurfaceabsolute.hpp.

◆ spotCalendar_

Calendar spotCalendar_

private

Definition at line 77 of file blackvolsurfaceabsolute.hpp.

◆ domesticTS_

Handle<YieldTermStructure> domesticTS_

private

Definition at line 78 of file blackvolsurfaceabsolute.hpp.

◆ foreignTS_

Handle<YieldTermStructure> foreignTS_

private

Definition at line 79 of file blackvolsurfaceabsolute.hpp.

◆ dt_

DeltaVolQuote::DeltaType dt_

private

Definition at line 80 of file blackvolsurfaceabsolute.hpp.

◆ at_

DeltaVolQuote::AtmType at_

private

Definition at line 81 of file blackvolsurfaceabsolute.hpp.

◆ switchTenor_

Period switchTenor_

private

Definition at line 82 of file blackvolsurfaceabsolute.hpp.

◆ ltdt_

DeltaVolQuote::DeltaType ltdt_

private

Definition at line 83 of file blackvolsurfaceabsolute.hpp.

◆ ltat_

DeltaVolQuote::AtmType ltat_

private

Definition at line 84 of file blackvolsurfaceabsolute.hpp.

◆ smileInterpolation_

SmileInterpolation smileInterpolation_

private

Definition at line 85 of file blackvolsurfaceabsolute.hpp.

◆ interpolation_

std::vector<QuantLib::ext::shared_ptr<Interpolation> > interpolation_

private

Definition at line 86 of file blackvolsurfaceabsolute.hpp.

◆ flatExtrapolation_

bool flatExtrapolation_

private

Definition at line 87 of file blackvolsurfaceabsolute.hpp.

◆ expiryTimes_

std::vector<Real> expiryTimes_

mutableprivate

Definition at line 89 of file blackvolsurfaceabsolute.hpp.

◆ settlementDates_

std::vector<Date> settlementDates_

mutableprivate

Definition at line 90 of file blackvolsurfaceabsolute.hpp.

◆ cachedInterpolatedVols_

std::map<std::pair<Real, Real>, Real> cachedInterpolatedVols_

mutableprivate

Definition at line 91 of file blackvolsurfaceabsolute.hpp.

Public Types

Public Member Functions

Private Member Functions

Private Attributes

Detailed Description

Member Enumeration Documentation

◆ SmileInterpolation

Constructor & Destructor Documentation

◆ BlackVolatilitySurfaceAbsolute()

Member Function Documentation

◆ maxDate()

◆ minStrike()

◆ maxStrike()

◆ dates()

◆ strikes()

◆ strikeQuotes()

◆ spot()

◆ domesticTS()

◆ foreignTS()

◆ deltaType()

◆ atmType()

◆ switchTenor()

◆ longTermDeltaType()

◆ longTermAtmType()

◆ smileInterpolation()

◆ blackVolImpl()

◆ update()

Member Data Documentation

◆ dates_

◆ strikes_

◆ strikeQuotes_

◆ spot_

◆ spotDays_

◆ spotCalendar_

◆ domesticTS_

◆ foreignTS_

◆ dt_

◆ at_

◆ switchTenor_

◆ ltdt_

◆ ltat_

◆ smileInterpolation_

◆ interpolation_

◆ flatExtrapolation_

◆ expiryTimes_

◆ settlementDates_

◆ cachedInterpolatedVols_