EquityOptionSurfaceStripper Class Reference

#include <qle/termstructures/eqcommoptionsurfacestripper.hpp>

Inheritance diagram for EquityOptionSurfaceStripper:

Collaboration diagram for EquityOptionSurfaceStripper:

Public Member Functions
	EquityOptionSurfaceStripper (const QuantLib::Handle< QuantExt::EquityIndex2 > &equityIndex, 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::EquityIndex2 >	equityIndex_
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 150 of file eqcommoptionsurfacestripper.hpp.

Constructor & Destructor Documentation

EquityOptionSurfaceStripper()

EquityOptionSurfaceStripper	(	const QuantLib::Handle< QuantExt::EquityIndex2 > &	equityIndex,
		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 312 of file eqcommoptionsurfacestripper.cpp.

    : OptionSurfaceStripper(callSurface, putSurface, calendar, dayCounter, type, lowerStrikeConstExtrap,
        upperStrikeConstExtrap, timeFlatExtrapolation, preferOutOfTheMoney, solverOptions), equityIndex_(equityIndex) {
    registerWith(equityIndex_);
}

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 329 of file eqcommoptionsurfacestripper.cpp.

                                                                             {
 
    Handle<BlackVolTermStructure> vts(QuantLib::ext::make_shared<BlackConstantVol>(
        callSurface_->referenceDate(), calendar_, Handle<Quote>(volatilityQuote), dayCounter_));
 
    return QuantLib::ext::make_shared<BlackScholesMertonProcess>(equityIndex_->equitySpot(),
        equityIndex_->equityDividendCurve(), equityIndex_->equityForecastCurve(), vts);
}

forward()

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

overrideprotectedvirtual

Return the forward price at a given date.

Implements OptionSurfaceStripper.

Definition at line 339 of file eqcommoptionsurfacestripper.cpp.

                                                                {
    return equityIndex_->forecastFixing(date);
}

Member Data Documentation

equityIndex_

QuantLib::Handle<QuantExt::EquityIndex2> equityIndex_

private

Definition at line 175 of file eqcommoptionsurfacestripper.hpp.