BlackVolatilityWithATM Class Reference

Wrapper class for a BlackVolTermStructure that easily exposes ATM vols. More...

#include <qle/termstructures/blackvolsurfacewithatm.hpp>

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Public Member Functions
	BlackVolatilityWithATM (const QuantLib::ext::shared_ptr< BlackVolTermStructure > &surface, const Handle< Quote > &spot, const Handle< YieldTermStructure > &yield1=Handle< YieldTermStructure >(), const Handle< YieldTermStructure > &yield2=Handle< YieldTermStructure >())
	Constructor. This is a floating term structure (settlement days is zero) More...
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
Rate	minStrike () const override
Rate	maxStrike () const override

Inspectors
QuantLib::ext::shared_ptr< BlackVolTermStructure >	surface_
Handle< Quote >	spot_
Handle< YieldTermStructure >	yield1_
Handle< YieldTermStructure >	yield2_
QuantLib::ext::shared_ptr< BlackVolTermStructure >	surface () const
Handle< Quote >	spot () const
Handle< YieldTermStructure >	yield1 () const
Handle< YieldTermStructure >	yield2 () const
Volatility	blackVolImpl (Time t, Real strike) const override

Detailed Description

Wrapper class for a BlackVolTermStructure that easily exposes ATM vols.

This class implements BlackVolatilityTermStructure and takes a surface (well, any BlackVolTermStructure) as an input. If asked for a volatility with strike=Null<Real>() or 0 it will calculate the forward value and use this as the strike, this makes it easy to access ATMF values.

The forward value is calculated using the input spot and yield curves, so can be used for both FX and Equity vols.

For FX markets, one should set the spot to be the FX spot rate, yield1 to be the base discount curve and yield2 to be the reference discount curve (e.g. EURUSD, yield1 = EUR).

For Equity markets, one should set the spot to be the equity price, yield1 to be the discount curve and yield2 to be the dividend curve.

Definition at line 50 of file blackvolsurfacewithatm.hpp.

Constructor & Destructor Documentation

BlackVolatilityWithATM()

BlackVolatilityWithATM	(	const QuantLib::ext::shared_ptr< BlackVolTermStructure > &	surface,
		const Handle< Quote > &	spot,
		const Handle< YieldTermStructure > &	yield1 = Handle<YieldTermStructure>(),
		const Handle< YieldTermStructure > &	yield2 = Handle<YieldTermStructure>()
	)

Constructor. This is a floating term structure (settlement days is zero)

Definition at line 23 of file blackvolsurfacewithatm.cpp.

    : BlackVolatilityTermStructure(0, surface->calendar(), surface->businessDayConvention(), surface->dayCounter()),
      surface_(surface), spot_(spot), yield1_(yield1), yield2_(yield2) {
 
    QL_REQUIRE(!spot.empty(), "No spot handle provided");
 
    if (surface->allowsExtrapolation())
        this->enableExtrapolation();
 
    registerWith(surface);
    registerWith(spot);
    registerWith(yield1);
    registerWith(yield2);
}

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Member Function Documentation

dayCounter()

DayCounter dayCounter ( ) const

override

Definition at line 59 of file blackvolsurfacewithatm.hpp.

{ return surface_->dayCounter(); }

maxDate()

Date maxDate ( ) const

override

Definition at line 60 of file blackvolsurfacewithatm.hpp.

{ return surface_->maxDate(); }

maxTime()

Time maxTime ( ) const

override

Definition at line 61 of file blackvolsurfacewithatm.hpp.

{ return surface_->maxTime(); }

referenceDate()

const Date & referenceDate ( ) const

override

Definition at line 62 of file blackvolsurfacewithatm.hpp.

{ return surface_->referenceDate(); }

calendar()

Calendar calendar ( ) const

override

Definition at line 63 of file blackvolsurfacewithatm.hpp.

{ return surface_->calendar(); }

settlementDays()

Natural settlementDays ( ) const

override

Definition at line 64 of file blackvolsurfacewithatm.hpp.

{ return surface_->settlementDays(); }

minStrike()

Rate minStrike ( ) const

override

Definition at line 69 of file blackvolsurfacewithatm.hpp.

{ return surface_->minStrike(); }

maxStrike()

Rate maxStrike ( ) const

override

Definition at line 70 of file blackvolsurfacewithatm.hpp.

{ return surface_->maxStrike(); }

surface()

QuantLib::ext::shared_ptr< BlackVolTermStructure > surface

(

)

const

Definition at line 75 of file blackvolsurfacewithatm.hpp.

{ return surface_; }

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spot()

Handle< Quote > spot

(

)

const

Definition at line 76 of file blackvolsurfacewithatm.hpp.

{ return spot_; }

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yield1()

Handle< YieldTermStructure > yield1

(

)

const

Definition at line 77 of file blackvolsurfacewithatm.hpp.

{ return yield1_; }

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yield2()

Handle< YieldTermStructure > yield2

(

)

const

Definition at line 78 of file blackvolsurfacewithatm.hpp.

{ return yield2_; }

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blackVolImpl()

Volatility blackVolImpl ( Time  t, Real  strike  ) const

overrideprotected

Definition at line 40 of file blackvolsurfacewithatm.cpp.

                                                                         {
    if (strike == Null<Real>() || strike == 0) {
        // calculate fwd(t)
        strike = spot_->value();
        if (!yield1_.empty() && !yield2_.empty())
            strike *= yield2_->discount(t, true) / yield1_->discount(t, true);
    }
    return surface_->blackVol(t, strike);
}

Member Data Documentation

surface_

QuantLib::ext::shared_ptr<BlackVolTermStructure> surface_

private

Definition at line 86 of file blackvolsurfacewithatm.hpp.

spot_

Handle<Quote> spot_

private

Definition at line 87 of file blackvolsurfacewithatm.hpp.

yield1_

Handle<YieldTermStructure> yield1_

private

Definition at line 88 of file blackvolsurfacewithatm.hpp.

yield2_

Handle<YieldTermStructure> yield2_

private

Definition at line 88 of file blackvolsurfacewithatm.hpp.