#include <qle/termstructures/eqcommoptionsurfacestripper.hpp>

Inheritance diagram for CommodityOptionSurfaceStripper:

Collaboration diagram for CommodityOptionSurfaceStripper:

Public Member Functions
	CommodityOptionSurfaceStripper (const QuantLib::Handle< QuantExt::PriceTermStructure > &priceCurve, const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve, const QuantLib::ext::shared_ptr< OptionInterpolatorBase > &callSurface, const QuantLib::ext::shared_ptr< OptionInterpolatorBase > &putSurface, const QuantLib::Calendar &calendar, const QuantLib::DayCounter &dayCounter, QuantLib::Exercise::Type type=QuantLib::Exercise::European, bool lowerStrikeConstExtrap=true, bool upperStrikeConstExtrap=true, bool timeFlatExtrapolation=false, bool preferOutOfTheMoney=false, Solver1DOptions solverOptions={})

Public Member Functions inherited from OptionSurfaceStripper
	OptionSurfaceStripper (const QuantLib::ext::shared_ptr< OptionInterpolatorBase > &callSurface, const QuantLib::ext::shared_ptr< OptionInterpolatorBase > &putSurface, const QuantLib::Calendar &calendar, const QuantLib::DayCounter &dayCounter, QuantLib::Exercise::Type type=QuantLib::Exercise::European, bool lowerStrikeConstExtrap=true, bool upperStrikeConstExtrap=true, bool timeFlatExtrapolation=false, bool preferOutOfTheMoney=false, Solver1DOptions solverOptions={})

void	performCalculations () const override

QuantLib::ext::shared_ptr< QuantLib::BlackVolTermStructure >	volSurface ()
	Return the stripped volatility structure. More...

OptionSurfaceStripper interface
QuantLib::Handle< QuantExt::PriceTermStructure >	priceCurve_

QuantLib::Handle< QuantLib::YieldTermStructure >	discountCurve_

QuantLib::ext::shared_ptr< QuantLib::GeneralizedBlackScholesProcess >	process (const QuantLib::ext::shared_ptr< QuantLib::SimpleQuote > &volatilityQuote) const override
	Generate the relevant Black Scholes process for the underlying. More...

QuantLib::Real	forward (const QuantLib::Date &date) const override
	Return the forward price at a given date. More...

Additional Inherited Members
Protected Member Functions inherited from OptionSurfaceStripper
Protected Attributes inherited from OptionSurfaceStripper
QuantLib::ext::shared_ptr< OptionInterpolatorBase >	callSurface_

QuantLib::ext::shared_ptr< OptionInterpolatorBase >	putSurface_

const QuantLib::Calendar &	calendar_

const QuantLib::DayCounter &	dayCounter_

QuantLib::Exercise::Type	type_

bool	lowerStrikeConstExtrap_

bool	upperStrikeConstExtrap_

bool	timeFlatExtrapolation_

bool	preferOutOfTheMoney_

Detailed Description

Definition at line 178 of file eqcommoptionsurfacestripper.hpp.

Constructor & Destructor Documentation

◆ CommodityOptionSurfaceStripper()

CommodityOptionSurfaceStripper	(	const QuantLib::Handle< QuantExt::PriceTermStructure > &	priceCurve,
		const QuantLib::Handle< QuantLib::YieldTermStructure > &	discountCurve,
		const QuantLib::ext::shared_ptr< OptionInterpolatorBase > &	callSurface,
		const QuantLib::ext::shared_ptr< OptionInterpolatorBase > &	putSurface,
		const QuantLib::Calendar &	calendar,
		const QuantLib::DayCounter &	dayCounter,
		QuantLib::Exercise::Type	type = `QuantLib::Exercise::European`,
		bool	lowerStrikeConstExtrap = `true`,
		bool	upperStrikeConstExtrap = `true`,
		bool	timeFlatExtrapolation = `false`,
		bool	preferOutOfTheMoney = `false`,
		Solver1DOptions	solverOptions = `{}`
	)

Definition at line 343 of file eqcommoptionsurfacestripper.cpp.

    : OptionSurfaceStripper(callSurface, putSurface, calendar, dayCounter, type, lowerStrikeConstExtrap,
        upperStrikeConstExtrap, timeFlatExtrapolation, preferOutOfTheMoney, solverOptions),
        priceCurve_(priceCurve), discountCurve_(discountCurve) {
    registerWith(priceCurve_);
    registerWith(discountCurve_);
}

Member Function Documentation

◆ process()

QuantLib::ext::shared_ptr< GeneralizedBlackScholesProcess > process ( const QuantLib::ext::shared_ptr< QuantLib::SimpleQuote > & volatilityQuote ) const

overrideprotectedvirtual

Generate the relevant Black Scholes process for the underlying.

Implements OptionSurfaceStripper.

Definition at line 363 of file eqcommoptionsurfacestripper.cpp.

                                                                             {
 
    QL_REQUIRE(!priceCurve_.empty(), "CommodityOptionSurfaceStripper: price curve is empty");
    QL_REQUIRE(!discountCurve_.empty(), "CommodityOptionSurfaceStripper: discount curve is empty");
 
    // Volatility term structure for the process
    Handle<BlackVolTermStructure> vts(QuantLib::ext::make_shared<BlackConstantVol>(
        callSurface_->referenceDate(), calendar_, Handle<Quote>(volatilityQuote), dayCounter_));
 
    // Generate "spot" and "yield" curve for the process.
    Handle<Quote> spot(QuantLib::ext::make_shared<DerivedPriceQuote>(priceCurve_));
    Handle<YieldTermStructure> yield(QuantLib::ext::make_shared<PriceTermStructureAdapter>(*priceCurve_, *discountCurve_));
    yield->enableExtrapolation();
 
    return QuantLib::ext::make_shared<QuantLib::GeneralizedBlackScholesProcess>(spot, yield, discountCurve_, vts);
}

◆ forward()

Real forward ( const QuantLib::Date & date ) const

overrideprotectedvirtual

Return the forward price at a given date.

Implements OptionSurfaceStripper.

Definition at line 381 of file eqcommoptionsurfacestripper.cpp.

                                                                   {
    QL_REQUIRE(!priceCurve_.empty(), "CommodityOptionSurfaceStripper: price curve is empty");
    return priceCurve_->price(date);
}

Member Data Documentation

◆ priceCurve_

QuantLib::Handle<QuantExt::PriceTermStructure> priceCurve_

private

Definition at line 205 of file eqcommoptionsurfacestripper.hpp.

◆ discountCurve_

QuantLib::Handle<QuantLib::YieldTermStructure> discountCurve_