CreditVolCurve Class Reference

#include <qle/termstructures/creditvolcurve.hpp>

Inheritance diagram for CreditVolCurve:

Collaboration diagram for CreditVolCurve:

Public Types
enum class	Type { Price , Spread }

Public Member Functions
	CreditVolCurve (QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dc, const std::vector< QuantLib::Period > &terms, const std::vector< QuantLib::Handle< CreditCurve > > &termCurves, const Type &type)
	CreditVolCurve (const QuantLib::Natural settlementDays, const QuantLib::Calendar &cal, QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dc, const std::vector< QuantLib::Period > &terms, const std::vector< QuantLib::Handle< CreditCurve > > &termCurves, const Type &type)
	CreditVolCurve (const QuantLib::Date &referenceDate, const QuantLib::Calendar &cal, QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dc, const std::vector< QuantLib::Period > &terms, const std::vector< QuantLib::Handle< CreditCurve > > &termCurves, const Type &type)
QuantLib::Real	volatility (const QuantLib::Date &exerciseDate, const QuantLib::Period &underlyingTerm, const QuantLib::Real strike, const Type &targetType) const
virtual QuantLib::Real	volatility (const QuantLib::Date &exerciseDate, const QuantLib::Real underlyingLength, const QuantLib::Real strike, const Type &targetType) const =0
QuantLib::Real	volatility (const QuantLib::Real exerciseTime, const QuantLib::Real underlyingLength, const QuantLib::Real strike, const Type &targetType) const
virtual const std::vector< QuantLib::Period > &	terms () const
virtual const std::vector< QuantLib::Handle< CreditCurve > > &	termCurves () const
const Type &	type () const
QuantLib::Real	atmStrike (const QuantLib::Date &expiry, const QuantLib::Period &term) const
QuantLib::Real	atmStrike (const QuantLib::Date &expiry, const QuantLib::Real underlyingLength) const
QuantLib::Real	minStrike () const override
QuantLib::Real	maxStrike () const override
QuantLib::Date	maxDate () const override

Protected Member Functions
void	init ()
void	update () override
void	performCalculations () const override
QuantLib::Real	moneyness (const QuantLib::Real strike, const QuantLib::Real atmStrike) const
QuantLib::Real	strike (const QuantLib::Real moneyness, const QuantLib::Real atmStrike) const

Protected Attributes
std::vector< QuantLib::Period >	terms_
std::vector< QuantLib::Handle< CreditCurve > >	termCurves_
Type	type_
std::map< std::pair< QuantLib::Date, double >, double >	atmStrikeCache_

Detailed Description

Definition at line 37 of file creditvolcurve.hpp.

Member Enumeration Documentation

Type

enum class Type

strong

Enumerator
Price
Spread

Definition at line 39 of file creditvolcurve.hpp.

{ Price, Spread };

Constructor & Destructor Documentation

CreditVolCurve() [1/3]

CreditVolCurve	(	QuantLib::BusinessDayConvention	bdc,
		const QuantLib::DayCounter &	dc,
		const std::vector< QuantLib::Period > &	terms,
		const std::vector< QuantLib::Handle< CreditCurve > > &	termCurves,
		const Type &	type
	)

CreditVolCurve() [2/3]

CreditVolCurve	(	const QuantLib::Natural	settlementDays,
		const QuantLib::Calendar &	cal,
		QuantLib::BusinessDayConvention	bdc,
		const QuantLib::DayCounter &	dc,
		const std::vector< QuantLib::Period > &	terms,
		const std::vector< QuantLib::Handle< CreditCurve > > &	termCurves,
		const Type &	type
	)

CreditVolCurve() [3/3]

CreditVolCurve	(	const QuantLib::Date &	referenceDate,
		const QuantLib::Calendar &	cal,
		QuantLib::BusinessDayConvention	bdc,
		const QuantLib::DayCounter &	dc,
		const std::vector< QuantLib::Period > &	terms,
		const std::vector< QuantLib::Handle< CreditCurve > > &	termCurves,
		const Type &	type
	)

Member Function Documentation

volatility() [1/3]

QuantLib::Real volatility	(	const QuantLib::Date &	exerciseDate,
		const QuantLib::Period &	underlyingTerm,
		const QuantLib::Real	strike,
		const Type &	targetType
	)		const

volatility() [2/3]

virtual QuantLib::Real volatility ( const QuantLib::Date &  exerciseDate, const QuantLib::Real  underlyingLength, const QuantLib::Real  strike, const Type &  targetType  ) const

pure virtual

Implemented in InterpolatingCreditVolCurve, ProxyCreditVolCurve, SpreadedCreditVolCurve, and CreditVolCurveWrapper.

volatility() [3/3]

QuantLib::Real volatility	(	const QuantLib::Real	exerciseTime,
		const QuantLib::Real	underlyingLength,
		const QuantLib::Real	strike,
		const Type &	targetType
	)		const

terms()

const std::vector< Period > & terms ( ) const

virtual

Definition at line 92 of file creditvolcurve.cpp.

{ return terms_; }

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termCurves()

const std::vector< Handle< CreditCurve > > & termCurves ( ) const

virtual

Definition at line 94 of file creditvolcurve.cpp.

{ return termCurves_; }

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type()

const CreditVolCurve::Type & type

(

)

const

Definition at line 96 of file creditvolcurve.cpp.

{ return type_; }

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atmStrike() [1/2]

QuantLib::Real atmStrike	(	const QuantLib::Date &	expiry,
		const QuantLib::Period &	term
	)		const

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atmStrike() [2/2]

QuantLib::Real atmStrike	(	const QuantLib::Date &	expiry,
		const QuantLib::Real	underlyingLength
	)		const

minStrike()

Real minStrike ( ) const

override

Definition at line 100 of file creditvolcurve.cpp.

{ return -QL_MAX_REAL; }

maxStrike()

Real maxStrike ( ) const

override

Definition at line 102 of file creditvolcurve.cpp.

{ return QL_MAX_REAL; }

maxDate()

Date maxDate ( ) const

override

Definition at line 98 of file creditvolcurve.cpp.

{ return Date::maxDate(); }

init()

void init ( )

protected

Definition at line 51 of file creditvolcurve.cpp.

                          {
    QL_REQUIRE(terms_.size() == termCurves_.size(), "CreditVolCurve: terms size (" << terms_.size()
                                                                                   << ") must match termCurves size ("
                                                                                   << termCurves_.size());
    // sort terms and curves
 
    std::vector<Size> p(terms_.size());
    std::iota(p.begin(), p.end(), 0);
    std::sort(p.begin(), p.end(), [this](Size i, Size j) { return this->terms_[i] < this->terms_[j]; });
 
    std::vector<Period> sortedTerms(terms_.size());
    std::vector<Handle<CreditCurve>> sortedCurves(terms_.size());
    std::transform(p.begin(), p.end(), sortedTerms.begin(), [this](Size i) { return this->terms_[i]; });
    std::transform(p.begin(), p.end(), sortedCurves.begin(), [this](Size i) { return this->termCurves_[i]; });
 
    terms_ = sortedTerms;
    termCurves_ = sortedCurves;
 
    // register with curves
 
    for (const auto& c : termCurves_)
        registerWith(c);
}

update()

void update ( )

overrideprotected

Definition at line 75 of file creditvolcurve.hpp.

{ LazyObject::update(); }

performCalculations()

void performCalculations ( ) const

overrideprotected

Definition at line 261 of file creditvolcurve.cpp.

{ atmStrikeCache_.clear(); }

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moneyness()

Real moneyness ( const QuantLib::Real  strike, const QuantLib::Real  atmStrike  ) const

protected

Definition at line 104 of file creditvolcurve.cpp.

                                                                            {
    if (strike == Null<Real>())
        return 0.0;
    if (type() == Type::Spread) {
        return strike - atmStrike;
    } else if (type() == Type::Price) {
        return std::log(strike / atmStrike);
    } else {
        QL_FAIL("InterpolatingCreditVolCurve::moneyness(): internal error, type not handled");
    }
}

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strike()

Real strike ( const QuantLib::Real  moneyness, const QuantLib::Real  atmStrike  ) const

protected

Definition at line 116 of file creditvolcurve.cpp.

                                                                            {
    if (type() == Type::Spread) {
        return atmStrike + moneyness;
    } else if (type() == Type::Price) {
        return atmStrike * std::exp(moneyness);
    } else {
        QL_FAIL("InterpolatingCreditVolCurve::strike(): internal error, type not handled");
    }
}

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Member Data Documentation

terms_

std::vector<QuantLib::Period> terms_

protected

Definition at line 80 of file creditvolcurve.hpp.

termCurves_

std::vector<QuantLib::Handle<CreditCurve> > termCurves_

protected

Definition at line 81 of file creditvolcurve.hpp.

type_

Type type_

protected

Definition at line 82 of file creditvolcurve.hpp.

atmStrikeCache_

std::map<std::pair<QuantLib::Date, double>, double> atmStrikeCache_

mutableprotected

Definition at line 84 of file creditvolcurve.hpp.