Converts OptionletVolatilityStructure with fixed reference date into a floating reference date term structure. More...

#include <qle/termstructures/dynamicoptionletvolatilitystructure.hpp>

Inheritance diagram for DynamicOptionletVolatilityStructure:

Collaboration diagram for DynamicOptionletVolatilityStructure:

Public Member Functions
	DynamicOptionletVolatilityStructure (const QuantLib::ext::shared_ptr< OptionletVolatilityStructure > &source, Natural settlementDays, const Calendar &calendar, ReactionToTimeDecay decayMode=ConstantVariance)

Protected Member Functions
OptionletVolatilityStructure interface
QuantLib::ext::shared_ptr< SmileSection >	smileSectionImpl (Time optionTime) const override

Volatility	volatilityImpl (Time optionTime, Rate strike) const override

VolatilityTermStructure interface
Rate	minStrike () const override

Rate	maxStrike () const override

Date	maxDate () const override

Observer interface
const QuantLib::ext::shared_ptr< OptionletVolatilityStructure >	source_

ReactionToTimeDecay	decayMode_

const Date	originalReferenceDate_

const VolatilityType	volatilityType_

const Real	displacement_

void	update () override

VolatilityType	volatilityType () const override
	Override the default implementations in OptionletVolatilityStructure. More...

Real	displacement () const override

Detailed Description

Converts OptionletVolatilityStructure with fixed reference date into a floating reference date term structure.

Different ways of reacting to time decay can be specified.

Warning:: No checks are performed that the supplied OptionletVolatilityStructure has a fixed reference date

\ingroup termstructures

Definition at line 43 of file dynamicoptionletvolatilitystructure.hpp.

Constructor & Destructor Documentation

◆ DynamicOptionletVolatilityStructure()

DynamicOptionletVolatilityStructure	(	const QuantLib::ext::shared_ptr< OptionletVolatilityStructure > &	source,
		Natural	settlementDays,
		const Calendar &	calendar,
		ReactionToTimeDecay	decayMode = `ConstantVariance`
	)

Definition at line 22 of file dynamicoptionletvolatilitystructure.cpp.

    : OptionletVolatilityStructure(settlementDays, calendar, source->businessDayConvention(), source->dayCounter()),
      source_(source), decayMode_(decayMode), originalReferenceDate_(source->referenceDate()),
      volatilityType_(source->volatilityType()), displacement_(source->displacement()) {
    QL_REQUIRE(decayMode_ != ForwardForwardVariance,
               "ForwardVariance not yet supported for DynamicOptionletVolatilityStructure");
    enableExtrapolation(source->allowsExtrapolation());
}

Member Function Documentation

◆ smileSectionImpl()

QuantLib::ext::shared_ptr< SmileSection > smileSectionImpl ( Time optionTime ) const

overrideprotected

Definition at line 53 of file dynamicoptionletvolatilitystructure.cpp.

                                                                                                               {
    return source_->smileSection(optionTime);
}

◆ volatilityImpl()

Volatility volatilityImpl	(	Time	optionTime,
		Rate	strike
	)		const

overrideprotected

Definition at line 57 of file dynamicoptionletvolatilitystructure.cpp.

                                                                                                 {
    return source_->volatility(optionTime, strike);
    // tentative ForwardForwardVariance implementation:
    // if (decayMode_ == ForwardForwardVariance) {
    //     Real timeToRef = source_->timeFromReference(referenceDate());
    //     Real varToRef = source_->blackVariance(timeToRef, strike);
    //     Real varToOptTime = source_->blackVariance(timeToRef + optionTime, strike);
    //     return std::sqrt((varToOptTime - varToRef) / optionTime);
    // }
}

◆ minStrike()

Rate minStrike ( ) const

overrideprotected

Definition at line 33 of file dynamicoptionletvolatilitystructure.cpp.

33{ return source_->minStrike(); }

◆ maxStrike()

Rate maxStrike ( ) const

overrideprotected

Definition at line 35 of file dynamicoptionletvolatilitystructure.cpp.

35{ return source_->maxStrike(); }

◆ maxDate()

Date maxDate ( ) const

overrideprotected

Definition at line 37 of file dynamicoptionletvolatilitystructure.cpp.

                                                        {
    if (decayMode_ == ForwardForwardVariance) {
        return source_->maxDate();
    }
 
    if (decayMode_ == ConstantVariance) {
        return Date(std::min(Date::maxDate().serialNumber(), referenceDate().serialNumber() -
                                                                 originalReferenceDate_.serialNumber() +
                                                                 source_->maxDate().serialNumber()));
    }
 
    QL_FAIL("unexpected decay mode (" << decayMode_ << ")");
}