CreditVolCurveWrapper Class Reference

#include <qle/termstructures/creditvolcurve.hpp>

Inheritance diagram for CreditVolCurveWrapper:

Collaboration diagram for CreditVolCurveWrapper:

Public Member Functions
	CreditVolCurveWrapper (const QuantLib::Handle< QuantLib::BlackVolTermStructure > &vol)
QuantLib::Real	volatility (const QuantLib::Date &exerciseDate, const QuantLib::Real underlyingLength, const QuantLib::Real strike, const Type &targetType) const override
const QuantLib::Date &	referenceDate () const override
Public Member Functions inherited from CreditVolCurve
	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

Private Attributes
QuantLib::Handle< QuantLib::BlackVolTermStructure >	vol_

Additional Inherited Members
Public Types inherited from CreditVolCurve
enum class	Type { Price , Spread }
Protected Member Functions inherited from CreditVolCurve
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 inherited from CreditVolCurve
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 169 of file creditvolcurve.hpp.

Constructor & Destructor Documentation

CreditVolCurveWrapper()

CreditVolCurveWrapper ( const QuantLib::Handle< QuantLib::BlackVolTermStructure > &  vol )

explicit

Definition at line 606 of file creditvolcurve.cpp.

    : CreditVolCurve(vol->businessDayConvention(), vol->dayCounter(), {}, {}, Type::Spread), vol_(vol) {
    registerWith(vol_);
}

Member Function Documentation

volatility()

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

overridevirtual

Implements CreditVolCurve.

Definition at line 611 of file creditvolcurve.cpp.

                                                                     {
    return vol_->blackVol(exerciseDate, strike, true);
}

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referenceDate()

const Date & referenceDate ( ) const

override

Definition at line 616 of file creditvolcurve.cpp.

{ return vol_->referenceDate(); }

Member Data Documentation

vol_

QuantLib::Handle<QuantLib::BlackVolTermStructure> vol_

private

Definition at line 179 of file creditvolcurve.hpp.