InterpolatedSmileSection Class Reference

#include <qle/termstructures/blackvolsurfacedelta.hpp>

Inheritance diagram for InterpolatedSmileSection:

Collaboration diagram for InterpolatedSmileSection:

Public Types
enum class	InterpolationMethod { Linear , NaturalCubic , FinancialCubic , CubicSpline }
	Supported interpolation methods. More...

Public Member Functions
	InterpolatedSmileSection (Real spot, Real rd, Real rf, Time t, const std::vector< Real > &strikes, const std::vector< Volatility > &vols, InterpolationMethod method, bool flatExtrapolation=false)
	ctor More...
Volatility	volatility (Real strike) const override
Public Member Functions inherited from FxSmileSection
	FxSmileSection ()
	FxSmileSection (Real spot, Real rd, Real rf, Time t)
virtual	~FxSmileSection ()
virtual Volatility	volatility (Real strike) const =0
DiscountFactor	domesticDiscount () const
DiscountFactor	foreignDiscount () const

Inspectors
Interpolation	interpolator_
std::vector< Real >	strikes_
std::vector< Volatility >	vols_
bool	flatExtrapolation_
const std::vector< Real > &	strikes () const
const std::vector< Volatility > &	volatilities () const

Additional Inherited Members
Protected Attributes inherited from FxSmileSection
Real	spot_
Real	rd_
Real	rf_
Time	t_

Detailed Description

Definition at line 41 of file blackvolsurfacedelta.hpp.

Member Enumeration Documentation

InterpolationMethod

enum class InterpolationMethod

strong

Supported interpolation methods.

Enumerator
Linear
NaturalCubic
FinancialCubic
CubicSpline

Definition at line 44 of file blackvolsurfacedelta.hpp.

{ Linear, NaturalCubic, FinancialCubic, CubicSpline };

Constructor & Destructor Documentation

InterpolatedSmileSection()

InterpolatedSmileSection	(	Real	spot,
		Real	rd,
		Real	rf,
		Time	t,
		const std::vector< Real > &	strikes,
		const std::vector< Volatility > &	vols,
		InterpolationMethod	method,
		bool	flatExtrapolation = false
	)

ctor

Definition at line 31 of file blackvolsurfacedelta.cpp.

    : FxSmileSection(spot, rd, rf, t), strikes_(strikes), vols_(vols), flatExtrapolation_(flatExtrapolation) {
 
    if (method == InterpolationMethod::Linear)
        interpolator_ = Linear().interpolate(strikes_.begin(), strikes_.end(), vols_.begin());
    else if (method == InterpolationMethod::NaturalCubic)
        interpolator_ =
            Cubic(CubicInterpolation::Kruger, true).interpolate(strikes_.begin(), strikes_.end(), vols_.begin());
    else if (method == InterpolationMethod::FinancialCubic)
        interpolator_ = Cubic(CubicInterpolation::Kruger, true, CubicInterpolation::SecondDerivative, 0.0,
                              CubicInterpolation::FirstDerivative)
                            .interpolate(strikes_.begin(), strikes_.end(), vols_.begin());
    else if (method == InterpolationMethod::CubicSpline)
        interpolator_ = CubicNaturalSpline(strikes_.begin(), strikes_.end(), vols_.begin());
    else {
        QL_FAIL("Invalid method " << (int)method);
    }
}

Member Function Documentation

volatility()

Volatility volatility ( Real  strike ) const

overridevirtual

Implements FxSmileSection.

Definition at line 53 of file blackvolsurfacedelta.cpp.

                                                                 {
    if (flatExtrapolation_) {
        if (strike < strikes_.front())
            return vols_.front();
        else if (strike > strikes_.back())
            return vols_.back();
    }
    // and then call the interpolator with extrapolation on
    return interpolator_(strike, true);
}

strikes()

const std::vector< Real > & strikes

(

)

const

Definition at line 55 of file blackvolsurfacedelta.hpp.

{ return strikes_; }

volatilities()

const std::vector< Volatility > & volatilities

(

)

const

Definition at line 56 of file blackvolsurfacedelta.hpp.

{ return vols_; }

Member Data Documentation

interpolator_

Interpolation interpolator_

private

Definition at line 60 of file blackvolsurfacedelta.hpp.

strikes_

std::vector<Real> strikes_

private

Definition at line 61 of file blackvolsurfacedelta.hpp.

vols_

std::vector<Volatility> vols_

private

Definition at line 62 of file blackvolsurfacedelta.hpp.

flatExtrapolation_

bool flatExtrapolation_

private

Definition at line 63 of file blackvolsurfacedelta.hpp.