OptionPriceSurface Class Reference

#include <qle/termstructures/optionpricesurface.hpp>

Inheritance diagram for OptionPriceSurface:

Collaboration diagram for OptionPriceSurface:

Public Member Functions
	OptionPriceSurface (const QuantLib::Date &referenceDate, const std::vector< QuantLib::Date > &dates, const std::vector< QuantLib::Real > &strikes, const std::vector< QuantLib::Real > &prices, const QuantLib::DayCounter &dayCounter, const QuantLib::Calendar &calendar=QuantLib::NullCalendar())
TermStructure interface
QuantLib::Date	maxDate () const override
const QuantLib::Date &	referenceDate () const override
QuantLib::DayCounter	dayCounter () const override
QuantLib::Real	price (QuantLib::Time t, QuantLib::Real strike) const
QuantLib::Real	price (QuantLib::Date d, QuantLib::Real strike) const
Public Member Functions inherited from OptionInterpolator2d< QuantLib::Linear, QuantLib::Linear >
	OptionInterpolator2d (const QuantLib::Date &referenceDate, const QuantLib::DayCounter &dayCounter, bool lowerStrikeConstExtrap=true, bool upperStrikeConstExtrap=true, const QuantLib::Linear &interpolatorStrike=QuantLib::Linear(), const QuantLib::Linear &interpolatorExpiry=QuantLib::Linear(), const QuantLib::Date &baseDate=QuantLib::Date())
	OptionInterpolator2d default Constructor. More...
	OptionInterpolator2d (const QuantLib::Date &referenceDate, const QuantLib::DayCounter &dayCounter, const std::vector< QuantLib::Date > &dates, const std::vector< QuantLib::Real > &strikes, const std::vector< QuantLib::Real > &values, bool lowerStrikeConstExtrap=true, bool upperStrikeConstExtrap=true, const QuantLib::Linear &interpolatorStrike=QuantLib::Linear(), const QuantLib::Linear &interpolatorExpiry=QuantLib::Linear(), const QuantLib::Date &baseDate=QuantLib::Date())
	OptionInterpolator2d Constructor with dates. More...
	OptionInterpolator2d (const QuantLib::Date &referenceDate, const QuantLib::Calendar &calendar, const QuantLib::BusinessDayConvention &bdc, const QuantLib::DayCounter &dayCounter, const std::vector< QuantLib::Period > &tenors, const std::vector< QuantLib::Real > &strikes, const std::vector< QuantLib::Real > &values, bool lowerStrikeConstExtrap=true, bool upperStrikeConstExtrap=true, const QuantLib::Linear &interpolatorStrike=QuantLib::Linear(), const QuantLib::Linear &interpolatorExpiry=QuantLib::Linear(), const QuantLib::Date &baseDate=QuantLib::Date())
	OptionInterpolator2d Constructor with Tenors. More...
	OptionInterpolator2d (const OptionInterpolator2d &)=delete
OptionInterpolator2d &	operator= (const OptionInterpolator2d &)=delete
void	initialise (const std::vector< QuantLib::Date > &dates, const std::vector< QuantLib::Real > &strikes, const std::vector< QuantLib::Real > &values)
	Initialise. More...
void	initialise (const std::vector< QuantLib::Period > &tenors, const std::vector< QuantLib::Real > &strikes, const std::vector< QuantLib::Real > &values, const QuantLib::Calendar &calendar, const QuantLib::BusinessDayConvention &bdc)
std::vector< QuantLib::Time >	times () const
std::vector< QuantLib::Date >	expiries () const
std::vector< std::vector< QuantLib::Real > >	strikes () const
std::vector< std::vector< QuantLib::Real > >	values () const
QuantLib::DayCounter	dayCounter () const
QuantLib::Real	getValue (QuantLib::Time t, QuantLib::Real strike) const override
	virtual access methods More...
QuantLib::Real	getValue (QuantLib::Date d, QuantLib::Real strike) const override
Public Member Functions inherited from OptionInterpolatorBase
virtual	~OptionInterpolatorBase ()
	OptionInterpolatorBase (const QuantLib::Date &referenceDate)
virtual QuantLib::Real	getValue (QuantLib::Time t, QuantLib::Real strike) const =0
	virtual access methods More...
virtual QuantLib::Real	getValue (QuantLib::Date d, QuantLib::Real strike) const =0
const QuantLib::Date &	referenceDate () const
std::vector< QuantLib::Time >	times () const
std::vector< QuantLib::Date >	expiries () const
std::vector< std::vector< QuantLib::Real > >	strikes () const
std::vector< std::vector< QuantLib::Real > >	values () const

Additional Inherited Members
Protected Attributes inherited from OptionInterpolator2d< QuantLib::Linear, QuantLib::Linear >
std::vector< QuantLib::Interpolation >	interpolations_
Protected Attributes inherited from OptionInterpolatorBase
std::vector< QuantLib::Date >	expiries_
std::vector< QuantLib::Time >	times_
std::vector< std::vector< QuantLib::Real > >	strikes_
std::vector< std::vector< QuantLib::Real > >	values_
QuantLib::Date	referenceDate_

Detailed Description

Option Price Surface based on sparse matrix.

Definition at line 35 of file optionpricesurface.hpp.

Constructor & Destructor Documentation

OptionPriceSurface()

OptionPriceSurface	(	const QuantLib::Date &	referenceDate,
		const std::vector< QuantLib::Date > &	dates,
		const std::vector< QuantLib::Real > &	strikes,
		const std::vector< QuantLib::Real > &	prices,
		const QuantLib::DayCounter &	dayCounter,
		const QuantLib::Calendar &	calendar = QuantLib::NullCalendar()
	)

Definition at line 39 of file optionpricesurface.hpp.

        : QuantLib::TermStructure(referenceDate, calendar, dayCounter),
          OptionInterpolator2d<QuantLib::Linear, QuantLib::Linear>(referenceDate, dayCounter, dates, strikes, prices){};

Member Function Documentation

maxDate()

QuantLib::Date maxDate ( ) const

override

Definition at line 48 of file optionpricesurface.hpp.

{ return QuantLib::Date::maxDate(); }

referenceDate()

const QuantLib::Date & referenceDate ( ) const

override

Definition at line 49 of file optionpricesurface.hpp.

{ return OptionInterpolator2d::referenceDate(); }

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dayCounter()

QuantLib::DayCounter dayCounter ( ) const

override

Definition at line 50 of file optionpricesurface.hpp.

{ return OptionInterpolator2d::dayCounter(); }

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price() [1/2]

QuantLib::Real price	(	QuantLib::Time	t,
		QuantLib::Real	strike
	)		const

Definition at line 53 of file optionpricesurface.hpp.

{ return getValue(t, strike); };

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price() [2/2]

QuantLib::Real price	(	QuantLib::Date	d,
		QuantLib::Real	strike
	)		const

Definition at line 54 of file optionpricesurface.hpp.

{ return getValue(d, strike); };

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