CapFloorTermVolSurfaceSparse< InterpolatorStrike, InterpolatorExpiry > Class Template Reference

Cap/floor smile volatility surface sparse. More...

#include <qle/termstructures/capfloortermvolsurfacesparse.hpp>

Inheritance diagram for CapFloorTermVolSurfaceSparse< InterpolatorStrike, InterpolatorExpiry >:

Collaboration diagram for CapFloorTermVolSurfaceSparse< InterpolatorStrike, InterpolatorExpiry >:

Public Member Functions
	CapFloorTermVolSurfaceSparse (const QuantLib::Date &referenceDate, const QuantLib::Calendar &calendar, const QuantLib::BusinessDayConvention &bdc, const QuantLib::DayCounter &dc, const std::vector< QuantLib::Period > &tenors, const std::vector< QuantLib::Real > &strikes, const std::vector< QuantLib::Volatility > &volatilities, bool lowerStrikeConstExtrap=true, bool upperStrikeConstExtrap=true, bool timeFlatExtrapolation=false)
	fixed reference date, fixed market data More...
	CapFloorTermVolSurfaceSparse (QuantLib::Natural settlementDays, const QuantLib::Calendar &calendar, const QuantLib::BusinessDayConvention &bdc, const QuantLib::DayCounter &dc, const std::vector< QuantLib::Period > &tenors, const std::vector< QuantLib::Real > &strikes, const std::vector< QuantLib::Volatility > &volatilities, bool lowerStrikeConstExtrap=true, bool upperStrikeConstExtrap=true, bool timeFlatExtrapolation=false)
	floating reference date, fixed market data More...
TermStructure interface
QuantLib::Date	maxDate () const override
VolatilityTermStructure interface
QuantLib::Real	minStrike () const override
QuantLib::Real	maxStrike () const override
Public Member Functions inherited from CapFloorTermVolSurface
	CapFloorTermVolSurface (QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dc=QuantLib::DayCounter(), std::vector< QuantLib::Period > optionTenors={}, std::vector< QuantLib::Rate > strikes={})
	default constructor More...
	CapFloorTermVolSurface (const QuantLib::Date &referenceDate, const QuantLib::Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=QuantLib::DayCounter(), std::vector< QuantLib::Period > optionTenors={}, std::vector< QuantLib::Rate > strikes={})
	initialize with a fixed reference date More...
	CapFloorTermVolSurface (QuantLib::Natural settlementDays, const QuantLib::Calendar &cal, QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dc=QuantLib::DayCounter(), std::vector< QuantLib::Period > optionTenors={}, std::vector< QuantLib::Rate > strikes={})
	calculate the reference date based on the global evaluation date More...
const std::vector< QuantLib::Period > &	optionTenors () const
const std::vector< QuantLib::Rate > &	strikes () const
void	update () override
void	performCalculations () const override

LazyObject interface
QuantLib::ext::shared_ptr< OptionInterpolator2d< InterpolatorStrike, InterpolatorExpiry > >	optionInterpolator_
std::vector< QuantLib::Period >	allTenors_
std::vector< QuantLib::Real >	allStrikes_
std::vector< QuantLib::Volatility >	allVols_
bool	lowerStrikeConstExtrap_
bool	upperStrikeConstExtrap_
void	performCalculations () const override
QuantLib::Volatility	volatilityImpl (Time t, Rate strike) const override
void	initialiseStrikesTenors ()

Additional Inherited Members
Protected Attributes inherited from CapFloorTermVolSurface
std::vector< QuantLib::Period >	optionTenors_
std::vector< QuantLib::Rate >	strikes_

Detailed Description

template<class InterpolatorStrike, class InterpolatorExpiry>
class QuantExt::CapFloorTermVolSurfaceSparse< InterpolatorStrike, InterpolatorExpiry >

Cap/floor smile volatility surface sparse.

This class provides the volatility for a given cap/floor interpolating a volatility surface whose elements are the market term volatilities of a set of caps/floors.

Definition at line 45 of file capfloortermvolsurfacesparse.hpp.

Constructor & Destructor Documentation

CapFloorTermVolSurfaceSparse() [1/2]

CapFloorTermVolSurfaceSparse	(	const QuantLib::Date &	referenceDate,
		const QuantLib::Calendar &	calendar,
		const QuantLib::BusinessDayConvention &	bdc,
		const QuantLib::DayCounter &	dc,
		const std::vector< QuantLib::Period > &	tenors,
		const std::vector< QuantLib::Real > &	strikes,
		const std::vector< QuantLib::Volatility > &	volatilities,
		bool	lowerStrikeConstExtrap = true,
		bool	upperStrikeConstExtrap = true,
		bool	timeFlatExtrapolation = false
	)

fixed reference date, fixed market data

Definition at line 90 of file capfloortermvolsurfacesparse.hpp.

    : CapFloorTermVolSurface(referenceDate, calendar, bdc, dc), allTenors_(tenors), allStrikes_(strikes), allVols_(volatilities),
    lowerStrikeConstExtrap_(lowerStrikeConstExtrap), upperStrikeConstExtrap_(upperStrikeConstExtrap) {
 
    initialiseStrikesTenors();
}

Here is the call graph for this function:

CapFloorTermVolSurfaceSparse() [2/2]

CapFloorTermVolSurfaceSparse	(	QuantLib::Natural	settlementDays,
		const QuantLib::Calendar &	calendar,
		const QuantLib::BusinessDayConvention &	bdc,
		const QuantLib::DayCounter &	dc,
		const std::vector< QuantLib::Period > &	tenors,
		const std::vector< QuantLib::Real > &	strikes,
		const std::vector< QuantLib::Volatility > &	volatilities,
		bool	lowerStrikeConstExtrap = true,
		bool	upperStrikeConstExtrap = true,
		bool	timeFlatExtrapolation = false
	)

floating reference date, fixed market data

Definition at line 101 of file capfloortermvolsurfacesparse.hpp.

    : CapFloorTermVolSurface(settlementDays, calendar, bdc, dc), allTenors_(tenors), allStrikes_(strikes), allVols_(volatilities),
    lowerStrikeConstExtrap_(lowerStrikeConstExtrap), upperStrikeConstExtrap_(upperStrikeConstExtrap) {
 
    initialiseStrikesTenors();
}

Here is the call graph for this function:

Member Function Documentation

maxDate()

QuantLib::Date maxDate

override

Definition at line 139 of file capfloortermvolsurfacesparse.hpp.

                                                                 {
    return optionDateFromTenor(optionTenors().back());
}

minStrike()

QuantLib::Real minStrike

override

Definition at line 144 of file capfloortermvolsurfacesparse.hpp.

{ return strikes().front(); }

maxStrike()

QuantLib::Real maxStrike

override

Definition at line 147 of file capfloortermvolsurfacesparse.hpp.

{ return strikes().back(); }

performCalculations()

void performCalculations

override

Definition at line 155 of file capfloortermvolsurfacesparse.hpp.

                                                                     {
    optionInterpolator_ = QuantLib::ext::make_shared<OptionInterpolator2d<IS, IE>>(referenceDate(), calendar(), businessDayConvention(), dayCounter(), 
        allTenors_, allStrikes_, allVols_, lowerStrikeConstExtrap_, upperStrikeConstExtrap_);
}

volatilityImpl()

QuantLib::Volatility volatilityImpl ( Time  t, Rate  strike  ) const

overrideprotected

Definition at line 150 of file capfloortermvolsurfacesparse.hpp.

                                                                                                 {
    return optionInterpolator_->getValue(t, strike);
}

initialiseStrikesTenors()

void initialiseStrikesTenors

private

Definition at line 112 of file capfloortermvolsurfacesparse.hpp.

                                                                   {
    
    for (auto t : allTenors_) {
        // add to the unique list of option tenors
        auto fnd = find(optionTenors_.begin(), optionTenors_.end(), t);
        if (fnd == optionTenors_.end()) {
            optionTenors_.push_back(t);
        }
    }
    // sort the tenors
    std::sort(optionTenors_.begin(), optionTenors_.end());
 
    for (auto s : allStrikes_) {
        std::vector<Real>::iterator fnd =
            find_if(strikes_.begin(), strikes_.end(), CloseEnoughComparator(s));
        if (fnd == strikes_.end()) {
            strikes_.push_back(s);
        }
    }
    // sort the strikes
    std::sort(strikes_.begin(), strikes_.end());
 
    // create the option interpolator
    performCalculations();
}

Here is the caller graph for this function:

Member Data Documentation

optionInterpolator_

QuantLib::ext::shared_ptr<OptionInterpolator2d<InterpolatorStrike, InterpolatorExpiry> > optionInterpolator_

mutableprivate

Definition at line 79 of file capfloortermvolsurfacesparse.hpp.

allTenors_

std::vector<QuantLib::Period> allTenors_

private

Definition at line 80 of file capfloortermvolsurfacesparse.hpp.

allStrikes_

std::vector<QuantLib::Real> allStrikes_

private

Definition at line 81 of file capfloortermvolsurfacesparse.hpp.

allVols_

std::vector<QuantLib::Volatility> allVols_

private

Definition at line 82 of file capfloortermvolsurfacesparse.hpp.

lowerStrikeConstExtrap_

bool lowerStrikeConstExtrap_

private

Definition at line 83 of file capfloortermvolsurfacesparse.hpp.

upperStrikeConstExtrap_

bool upperStrikeConstExtrap_

private

Definition at line 84 of file capfloortermvolsurfacesparse.hpp.