Fx Black vanna volga volatility surface. More...

#include <qle/termstructures/fxblackvolsurface.hpp>

Inheritance diagram for FxBlackVannaVolgaVolatilitySurface:

Collaboration diagram for FxBlackVannaVolgaVolatilitySurface:

Public Member Functions
	FxBlackVannaVolgaVolatilitySurface (const Date &refDate, const std::vector< Date > &dates, const std::vector< Volatility > &atmVols, const std::vector< Volatility > &rr, const std::vector< Volatility > &bf, const DayCounter &dc, const Calendar &cal, const Handle< Quote > &fx, const Handle< YieldTermStructure > &dom, const Handle< YieldTermStructure > &fore, bool requireMonotoneVariance=true, const bool firstApprox=false, const DeltaVolQuote::AtmType atmType=DeltaVolQuote::AtmType::AtmDeltaNeutral, const DeltaVolQuote::DeltaType deltaType=DeltaVolQuote::DeltaType::Spot, const Real delta=0.25, const Period &switchTenor=0 *Days, const DeltaVolQuote::AtmType longTermAtmType=DeltaVolQuote::AtmType::AtmDeltaNeutral, const DeltaVolQuote::DeltaType longTermDeltaType=DeltaVolQuote::DeltaType::Spot)

Public Member Functions inherited from FxBlackVolatilitySurface
	FxBlackVolatilitySurface (const Date &referenceDate, const std::vector< Date > &dates, const std::vector< Volatility > &atmVols, const std::vector< Volatility > &rr, const std::vector< Volatility > &bf, const DayCounter &dayCounter, const Calendar &cal, const Handle< Quote > &fxSpot, const Handle< YieldTermStructure > &domesticTS, const Handle< YieldTermStructure > &foreignTS, bool requireMonotoneVariance=true, const DeltaVolQuote::AtmType atmType=DeltaVolQuote::AtmType::AtmDeltaNeutral, const DeltaVolQuote::DeltaType deltaType=DeltaVolQuote::DeltaType::Spot, const Real delta=0.25, const Period &switchTenor=0 *Days, const DeltaVolQuote::AtmType longTermAtmType=DeltaVolQuote::AtmType::AtmDeltaNeutral, const DeltaVolQuote::DeltaType longTermDeltaType=DeltaVolQuote::DeltaType::Spot)

DayCounter	dayCounter () const override

Date	maxDate () const override

Real	minStrike () const override

Real	maxStrike () const override

virtual void	accept (AcyclicVisitor &) override

QuantLib::ext::shared_ptr< FxSmileSection >	blackVolSmile (Time t) const
	Return an FxSmile for the time t. More...

Protected Member Functions
virtual QuantLib::ext::shared_ptr< FxSmileSection >	blackVolSmileImpl (Real spot, Real rd, Real rf, Time t, Volatility atm, Volatility rr, Volatility bf) const override
	this must be implemented. More...

Protected Member Functions inherited from FxBlackVolatilitySurface
virtual Volatility	blackVolImpl (Time t, Real strike) const override

Protected Attributes
bool	firstApprox_

Protected Attributes inherited from FxBlackVolatilitySurface
std::vector< Time >	times_

DayCounter	dayCounter_

Handle< Quote >	fxSpot_

Handle< YieldTermStructure >	domesticTS_

Handle< YieldTermStructure >	foreignTS_

BlackVarianceCurve	atmCurve_

std::vector< Volatility >	rr_

std::vector< Volatility >	bf_

DeltaVolQuote::AtmType	atmType_

DeltaVolQuote::DeltaType	deltaType_

Real	delta_

Period	switchTenor_

DeltaVolQuote::AtmType	longTermAtmType_

DeltaVolQuote::DeltaType	longTermDeltaType_

Interpolation	rrCurve_

Interpolation	bfCurve_

Date	maxDate_

Detailed Description

Fx Black vanna volga volatility surface.

This class calculates time/strike dependent Black volatilities

Definition at line 113 of file fxblackvolsurface.hpp.

Constructor & Destructor Documentation

◆ FxBlackVannaVolgaVolatilitySurface()

FxBlackVannaVolgaVolatilitySurface	(	const Date &	refDate,
		const std::vector< Date > &	dates,
		const std::vector< Volatility > &	atmVols,
		const std::vector< Volatility > &	rr,
		const std::vector< Volatility > &	bf,
		const DayCounter &	dc,
		const Calendar &	cal,
		const Handle< Quote > &	fx,
		const Handle< YieldTermStructure > &	dom,
		const Handle< YieldTermStructure > &	fore,
		bool	requireMonotoneVariance = `true`,
		const bool	firstApprox = `false`,
		const DeltaVolQuote::AtmType	atmType = `DeltaVolQuote::AtmType::AtmDeltaNeutral`,
		const DeltaVolQuote::DeltaType	deltaType = `DeltaVolQuote::DeltaType::Spot`,
		const Real	delta = `0.25`,
		const Period &	switchTenor = `0 * Days`,
		const DeltaVolQuote::AtmType	longTermAtmType = `DeltaVolQuote::AtmType::AtmDeltaNeutral`,
		const DeltaVolQuote::DeltaType	longTermDeltaType = `DeltaVolQuote::DeltaType::Spot`
	)

Definition at line 115 of file fxblackvolsurface.hpp.

        : FxBlackVolatilitySurface(refDate, dates, atmVols, rr, bf, dc, cal, fx, dom, fore, requireMonotoneVariance,
                                   atmType, deltaType, delta, switchTenor, longTermAtmType, longTermDeltaType),
          firstApprox_(firstApprox) {}

Member Function Documentation

◆ blackVolSmileImpl()

QuantLib::ext::shared_ptr< FxSmileSection > blackVolSmileImpl	(	Real	spot,
		Real	rd,
		Real	rf,
		Time	t,
		Volatility	atm,
		Volatility	rr,
		Volatility	bf
	)		const

overrideprotectedvirtual

this must be implemented.

Implements FxBlackVolatilitySurface.

Definition at line 109 of file fxblackvolsurface.cpp.

                                                                                                             {
    QL_REQUIRE(t > 0, "FxBlackVannaVolgaVolatilitySurface::blackVolSmileImpl(): positive expiry time expected");
    Real switchTime = switchTenor_ == 0 * Days ? QL_MAX_REAL : timeFromReference(optionDateFromTenor(switchTenor_));
    DeltaVolQuote::AtmType at;
    DeltaVolQuote::DeltaType dt;
    if (t < switchTime && !close_enough(t, switchTime)) {
        at = atmType_;
        dt = deltaType_;
    } else {
        at = longTermAtmType_;
        dt = longTermDeltaType_;
    }
    return QuantLib::ext::make_shared<VannaVolgaSmileSection>(spot, rd, rf, t, atm, rr, bf, firstApprox_, at, dt, delta_);
}

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Member Data Documentation

◆ firstApprox_

bool firstApprox_

protected

Definition at line 130 of file fxblackvolsurface.hpp.

Public Member Functions

Protected Member Functions