FxBlackVolatilitySurface Class Reference

Fx Black volatility surface. More...

#include <qle/termstructures/fxblackvolsurface.hpp>

Inheritance diagram for FxBlackVolatilitySurface:

Collaboration diagram for FxBlackVolatilitySurface:

Public Member Functions
	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)
TermStructure interface
DayCounter	dayCounter () const override
Date	maxDate () const override
VolatilityTermStructure interface
Real	minStrike () const override
Real	maxStrike () const override

Visitability
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_
virtual void	accept (AcyclicVisitor &) override
QuantLib::ext::shared_ptr< FxSmileSection >	blackVolSmile (Time t) const
	Return an FxSmile for the time t. More...
virtual Volatility	blackVolImpl (Time t, Real strike) const override
virtual QuantLib::ext::shared_ptr< FxSmileSection >	blackVolSmileImpl (Real spot, Real rd, Real rf, Time t, Volatility atm, Volatility rr, Volatility bf) const =0
	this must be implemented. More...

Detailed Description

Fx Black volatility surface.

This class calculates time/strike dependent Black volatilities

Definition at line 41 of file fxblackvolsurface.hpp.

Constructor & Destructor Documentation

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
	)

Definition at line 28 of file fxblackvolsurface.cpp.

    : BlackVolatilityTermStructure(referenceDate, cal), times_(dates.size()), dayCounter_(dayCounter), fxSpot_(fxSpot),
      domesticTS_(domesticTS), foreignTS_(foreignTS),
      atmCurve_(referenceDate, dates, atmVols, dayCounter, requireMonotoneVariance), rr_(rr), bf_(bf),
      atmType_(atmType), deltaType_(deltaType), delta_(delta), switchTenor_(switchTenor),
      longTermAtmType_(longTermAtmType), longTermDeltaType_(longTermDeltaType) {
 
    QL_REQUIRE(dates.size() >= 1, "at least 1 date required");
    maxDate_ = dates.back();
 
    QL_REQUIRE(dates.size() == rr.size(), "mismatch between date vector and RR vector");
    QL_REQUIRE(dates.size() == bf.size(), "mismatch between date vector and BF vector");
 
    // this has already been done for dates
    for (Size i = 0; i < dates.size(); i++) {
        QL_REQUIRE(referenceDate < dates[i], "Dates must be greater than reference date");
        times_[i] = timeFromReference(dates[i]);
        if (i > 0) {
            QL_REQUIRE(times_[i] > times_[i - 1], "dates must be sorted unique!");
        }
    }
 
    // set up the 3 interpolators
    if (dates.size() > 1) {
        rrCurve_ = LinearInterpolation(times_.begin(), times_.end(), rr_.begin());
        bfCurve_ = LinearInterpolation(times_.begin(), times_.end(), bf_.begin());
    } else {
        rrCurve_ = BackwardFlatInterpolation(times_.begin(), times_.end(), rr_.begin());
        bfCurve_ = BackwardFlatInterpolation(times_.begin(), times_.end(), bf_.begin());
    }
 
    atmCurve_.enableExtrapolation();
 
    registerWith(domesticTS_);
    registerWith(foreignTS_);
    registerWith(fxSpot_);
}

Member Function Documentation

dayCounter()

DayCounter dayCounter ( ) const

override

Definition at line 56 of file fxblackvolsurface.hpp.

{ return dayCounter_; }

maxDate()

Date maxDate ( ) const

override

Definition at line 57 of file fxblackvolsurface.hpp.

{ return maxDate_; }

minStrike()

Real minStrike ( ) const

override

Definition at line 61 of file fxblackvolsurface.hpp.

{ return 0; } // we allow 0 for ATM vols

maxStrike()

Real maxStrike ( ) const

override

Definition at line 62 of file fxblackvolsurface.hpp.

{ return QL_MAX_REAL; }

accept()

void accept ( AcyclicVisitor &  v )

overridevirtual

Definition at line 101 of file fxblackvolsurface.hpp.

                                                              {
    Visitor<FxBlackVolatilitySurface>* v1 = dynamic_cast<Visitor<FxBlackVolatilitySurface>*>(&v);
    if (v1 != 0)
        v1->visit(*this);
    else
        BlackVolatilityTermStructure::accept(v);
}

blackVolSmile()

QuantLib::ext::shared_ptr< FxSmileSection > blackVolSmile

(

Time

t

)

const

Return an FxSmile for the time t.

Note the smile does not observe the spot or YTS handles, it will not update when they change

Definition at line 72 of file fxblackvolsurface.cpp.

                                                                                          {
    // we interpolate on the 3 curves independently
    Volatility atm = atmCurve_.blackVol(t, 0); // blackVol returns atm vol when strike is 0
 
    // Flat extrapolation for RR + BF.
    Volatility rr, bf;
    if (t < times_.front()) {
        // flat RR + BF
        rr = rrCurve_(times_.front());
        bf = bfCurve_(times_.front());
 
        // we account cases where the FxSmileSection requires t > 0 by using the first pillar point
        QL_REQUIRE(t >= 0, "FxBlackVolatilitySurface::blackVolSmileImpl(): non-negative expiry time expected");
        t = times_.front();
    } else if (t < times_.back()) {
        rr = rrCurve_(t, true);
        bf = bfCurve_(t, true);
    } else {
        // flat RR + BF
        rr = rrCurve_(times_.back());
        bf = bfCurve_(times_.back());
    }
 
    Real rd = domesticTS_->zeroRate(t, Continuous);
    Real rf = foreignTS_->zeroRate(t, Continuous);
 
    return blackVolSmileImpl(fxSpot_->value(), rd, rf, t, atm, rr, bf);
}

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blackVolImpl()

Volatility blackVolImpl ( Time  t, Real  strike  ) const

overrideprotectedvirtual

Definition at line 101 of file fxblackvolsurface.cpp.

                                                                           {
    // If asked for strike == 0, just return the ATM value.
    if (strike == 0 || strike == Null<Real>())
        return atmCurve_.blackVol(t, 0);
    else
        return blackVolSmile(t)->volatility(strike);
}

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blackVolSmileImpl()

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

protectedpure virtual

this must be implemented.

Implemented in FxBlackVannaVolgaVolatilitySurface.

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Member Data Documentation

times_

std::vector<Time> times_

protected

Definition at line 81 of file fxblackvolsurface.hpp.

dayCounter_

DayCounter dayCounter_

protected

Definition at line 82 of file fxblackvolsurface.hpp.

fxSpot_

Handle<Quote> fxSpot_

protected

Definition at line 83 of file fxblackvolsurface.hpp.

domesticTS_

Handle<YieldTermStructure> domesticTS_

protected

Definition at line 84 of file fxblackvolsurface.hpp.

foreignTS_

Handle<YieldTermStructure> foreignTS_

protected

Definition at line 85 of file fxblackvolsurface.hpp.

atmCurve_

BlackVarianceCurve atmCurve_

protected

Definition at line 86 of file fxblackvolsurface.hpp.

rr_

std::vector<Volatility> rr_

protected

Definition at line 87 of file fxblackvolsurface.hpp.

bf_

std::vector<Volatility> bf_

protected

Definition at line 88 of file fxblackvolsurface.hpp.

atmType_

DeltaVolQuote::AtmType atmType_

protected

Definition at line 89 of file fxblackvolsurface.hpp.

deltaType_

DeltaVolQuote::DeltaType deltaType_

protected

Definition at line 90 of file fxblackvolsurface.hpp.

delta_

Real delta_

protected

Definition at line 91 of file fxblackvolsurface.hpp.

switchTenor_

Period switchTenor_

protected

Definition at line 92 of file fxblackvolsurface.hpp.

longTermAtmType_

DeltaVolQuote::AtmType longTermAtmType_

protected

Definition at line 93 of file fxblackvolsurface.hpp.

longTermDeltaType_

DeltaVolQuote::DeltaType longTermDeltaType_

protected

Definition at line 94 of file fxblackvolsurface.hpp.

rrCurve_

Interpolation rrCurve_

protected

Definition at line 95 of file fxblackvolsurface.hpp.

bfCurve_

Interpolation bfCurve_

protected

Definition at line 96 of file fxblackvolsurface.hpp.

maxDate_

Date maxDate_

protected

Definition at line 97 of file fxblackvolsurface.hpp.