DynamicYoYOptionletVolatilitySurface Class Reference

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

#include <qle/termstructures/dynamicyoyoptionletvolatilitystructure.hpp>

Inheritance diagram for DynamicYoYOptionletVolatilitySurface:

Collaboration diagram for DynamicYoYOptionletVolatilitySurface:

Public Member Functions
	DynamicYoYOptionletVolatilitySurface (const QuantLib::ext::shared_ptr< YoYOptionletVolatilitySurface > &source, ReactionToTimeDecay decayMode=ConstantVariance)

Protected Member Functions
Volatility	volatilityImpl (Time optionTime, Rate strike) const override
Rate	minStrike () const override
Rate	maxStrike () const override
Date	maxDate () const override

Private Attributes
const QuantLib::ext::shared_ptr< YoYOptionletVolatilitySurface >	source_
ReactionToTimeDecay	decayMode_
const Date	originalReferenceDate_

Detailed Description

Converts YoYOptionletVolatilitySurface 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 YoYOptionletVolatilitySurface has a fixed reference date

Definition at line 42 of file dynamicyoyoptionletvolatilitystructure.hpp.

Constructor & Destructor Documentation

DynamicYoYOptionletVolatilitySurface()

DynamicYoYOptionletVolatilitySurface	(	const QuantLib::ext::shared_ptr< YoYOptionletVolatilitySurface > &	source,
		ReactionToTimeDecay	decayMode = ConstantVariance
	)

Definition at line 22 of file dynamicyoyoptionletvolatilitystructure.cpp.

    : YoYOptionletVolatilitySurface(source->settlementDays(), source->calendar(), source->businessDayConvention(),
                                    source->dayCounter(), source->observationLag(), source->frequency(),
                                    source->indexIsInterpolated(), source->volatilityType(), source->displacement()),
      source_(source), decayMode_(decayMode), originalReferenceDate_(source->referenceDate()) {
    // Set extrapolation to source's extrapolation initially
    enableExtrapolation(source->allowsExtrapolation());
}

Member Function Documentation

volatilityImpl()

Volatility volatilityImpl ( Time  optionTime, Rate  strike  ) const

overrideprotected

Definition at line 50 of file dynamicyoyoptionletvolatilitystructure.cpp.

                                                                                                  {
    if (decayMode_ == ConstantVariance) {
        return source_->volatility(optionTime, strike);
    }
 
    // TODO: check validity of ForwardVariance option before using it.
    QL_REQUIRE(decayMode_ != ForwardForwardVariance,
               "ForwardVariance not yet supported for DynamicYoYOptionletVolatilityStructure");
    if (decayMode_ == ForwardForwardVariance) {
        // FIXME
        Real t0 = timeFromBase(referenceDate());
        Volatility varToRef = source_->volatility(t0, strike) * source_->volatility(t0, strike) * t0;
        Volatility varToOptTime =
            source_->volatility(optionTime, strike) * source_->volatility(optionTime, strike) * optionTime;
        return std::sqrt((varToOptTime - varToRef) / (optionTime - t0));
    }
 
    QL_FAIL("Unexpected decay mode (" << decayMode_ << ")");
}

minStrike()

Rate minStrike ( ) const

overrideprotected

Definition at line 32 of file dynamicyoyoptionletvolatilitystructure.cpp.

{ return source_->minStrike(); }

maxStrike()

Rate maxStrike ( ) const

overrideprotected

Definition at line 34 of file dynamicyoyoptionletvolatilitystructure.cpp.

{ return source_->maxStrike(); }

maxDate()

Date maxDate ( ) const

overrideprotected

Definition at line 36 of file dynamicyoyoptionletvolatilitystructure.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_ << ")");
}

Member Data Documentation

source_

const QuantLib::ext::shared_ptr<YoYOptionletVolatilitySurface> source_

private

Definition at line 54 of file dynamicyoyoptionletvolatilitystructure.hpp.

decayMode_

ReactionToTimeDecay decayMode_

private

Definition at line 55 of file dynamicyoyoptionletvolatilitystructure.hpp.

originalReferenceDate_

const Date originalReferenceDate_

private

Definition at line 56 of file dynamicyoyoptionletvolatilitystructure.hpp.