#include <qle/termstructures/creditvolcurve.hpp>

Inheritance diagram for ProxyCreditVolCurve:

Collaboration diagram for ProxyCreditVolCurve:

Public Member Functions
	ProxyCreditVolCurve (const QuantLib::Handle< CreditVolCurve > &source, const std::vector< QuantLib::Period > &terms={}, const std::vector< QuantLib::Handle< CreditCurve > > &termCurves={})

QuantLib::Real	volatility (const QuantLib::Date &exerciseDate, const QuantLib::Real underlyingLength, const QuantLib::Real strike, const Type &targetType) const override

const QuantLib::Date &	referenceDate () const override

Public Member Functions inherited from CreditVolCurve
	CreditVolCurve (QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dc, const std::vector< QuantLib::Period > &terms, const std::vector< QuantLib::Handle< CreditCurve > > &termCurves, const Type &type)

	CreditVolCurve (const QuantLib::Natural settlementDays, const QuantLib::Calendar &cal, QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dc, const std::vector< QuantLib::Period > &terms, const std::vector< QuantLib::Handle< CreditCurve > > &termCurves, const Type &type)

	CreditVolCurve (const QuantLib::Date &referenceDate, const QuantLib::Calendar &cal, QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dc, const std::vector< QuantLib::Period > &terms, const std::vector< QuantLib::Handle< CreditCurve > > &termCurves, const Type &type)

QuantLib::Real	volatility (const QuantLib::Date &exerciseDate, const QuantLib::Period &underlyingTerm, const QuantLib::Real strike, const Type &targetType) const

virtual QuantLib::Real	volatility (const QuantLib::Date &exerciseDate, const QuantLib::Real underlyingLength, const QuantLib::Real strike, const Type &targetType) const =0

QuantLib::Real	volatility (const QuantLib::Real exerciseTime, const QuantLib::Real underlyingLength, const QuantLib::Real strike, const Type &targetType) const

virtual const std::vector< QuantLib::Period > &	terms () const

virtual const std::vector< QuantLib::Handle< CreditCurve > > &	termCurves () const

const Type &	type () const

QuantLib::Real	atmStrike (const QuantLib::Date &expiry, const QuantLib::Period &term) const

QuantLib::Real	atmStrike (const QuantLib::Date &expiry, const QuantLib::Real underlyingLength) const

QuantLib::Real	minStrike () const override

QuantLib::Real	maxStrike () const override

QuantLib::Date	maxDate () const override

Private Attributes
QuantLib::Handle< CreditVolCurve >	source_

Additional Inherited Members
Public Types inherited from CreditVolCurve
enum class	Type { Price , Spread }

Protected Member Functions inherited from CreditVolCurve
void	init ()

void	update () override

void	performCalculations () const override

QuantLib::Real	moneyness (const QuantLib::Real strike, const QuantLib::Real atmStrike) const

QuantLib::Real	strike (const QuantLib::Real moneyness, const QuantLib::Real atmStrike) const

Protected Attributes inherited from CreditVolCurve
std::vector< QuantLib::Period >	terms_

std::vector< QuantLib::Handle< CreditCurve > >	termCurves_

Type	type_

std::map< std::pair< QuantLib::Date, double >, double >	atmStrikeCache_

Detailed Description

Definition at line 128 of file creditvolcurve.hpp.

Constructor & Destructor Documentation

◆ ProxyCreditVolCurve()

ProxyCreditVolCurve	(	const QuantLib::Handle< CreditVolCurve > &	source,
		const std::vector< QuantLib::Period > &	terms = `{}`,
		const std::vector< QuantLib::Handle< CreditCurve > > &	termCurves = `{}`
	)

Definition at line 537 of file creditvolcurve.cpp.

    : CreditVolCurve(source->businessDayConvention(), source->dayCounter(), terms.empty() ? source->terms() : terms,
                     termCurves.empty() ? source->termCurves() : termCurves, source->type()),
      source_(source) {
    // check inputs to ctor for consistency
    QL_REQUIRE(terms.size() == termCurves.size(), "ProxyCreditVolCurve: given terms (" << terms.size()
                                                                                       << ") do not match term curves ("
                                                                                       << termCurves.size() << ")");
    registerWith(source);
}

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Member Function Documentation

◆ volatility()

QuantLib::Real volatility	(	const QuantLib::Date &	exerciseDate,
		const QuantLib::Real	underlyingLength,
		const QuantLib::Real	strike,
		const Type &	targetType
	)		const

overridevirtual

Implements CreditVolCurve.

Definition at line 550 of file creditvolcurve.cpp.

                                                                             {
 
    // we read the vol from the source surface keeping the moneyness constant (if meaningful)
 
    Real effectiveStrike = strike;
    if (!this->terms().empty() && !source_->terms().empty()) {
        effectiveStrike = this->strike(this->moneyness(strike, this->atmStrike(exerciseDate, underlyingLength)),
                                       source_->atmStrike(exerciseDate, underlyingLength));
    }
    return source_->volatility(exerciseDate, underlyingLength, effectiveStrike, type());
}

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◆ referenceDate()

const Date & referenceDate ( ) const

override

Definition at line 564 of file creditvolcurve.cpp.

564{ return source_->referenceDate(); }

Member Data Documentation

◆ source_

QuantLib::Handle<CreditVolCurve> source_

private

Definition at line 139 of file creditvolcurve.hpp.

Public Member Functions

Private Attributes

Additional Inherited Members