SpreadedBlackVolatilityCurve Class Reference

Spreaded Black volatility curve modeled as variance curve. More...

#include <qle/termstructures/spreadedblackvolatilitycurve.hpp>

Inheritance diagram for SpreadedBlackVolatilityCurve:

Collaboration diagram for SpreadedBlackVolatilityCurve:

Public Member Functions
	SpreadedBlackVolatilityCurve (const Handle< BlackVolTermStructure > &referenceVol, const std::vector< Time > &times, const std::vector< Handle< Quote > > &volSpreads, const bool useAtmReferenceVolsOnly=false)
Date	maxDate () const override
const Date &	referenceDate () const override
Calendar	calendar () const override
Natural	settlementDays () const override
Real	minStrike () const override
Real	maxStrike () const override
void	update () override

Private Member Functions
void	performCalculations () const override
Real	blackVolImpl (Time t, Real) const override

Private Attributes
Handle< BlackVolTermStructure >	referenceVol_
std::vector< Time >	times_
std::vector< Handle< Quote > >	volSpreads_
bool	useAtmReferenceVolsOnly_
std::vector< Real >	data_
QuantLib::ext::shared_ptr< Interpolation >	interpolation_

Detailed Description

Spreaded Black volatility curve modeled as variance curve.

Definition at line 35 of file spreadedblackvolatilitycurve.hpp.

Constructor & Destructor Documentation

SpreadedBlackVolatilityCurve()

SpreadedBlackVolatilityCurve	(	const Handle< BlackVolTermStructure > &	referenceVol,
		const std::vector< Time > &	times,
		const std::vector< Handle< Quote > > &	volSpreads,
		const bool	useAtmReferenceVolsOnly = false
	)

• times should be consistent with reference ts day counter
• if useAtmReferenceVolsOnly, only vols with strike Null<Real>() are read from the referenceVol, otherwise the full reference vol surface (if it is one) is used

Definition at line 25 of file spreadedblackvolatilitycurve.cpp.

    : BlackVolatilityTermStructure(referenceVol->businessDayConvention(), referenceVol->dayCounter()),
      referenceVol_(referenceVol), times_(times), volSpreads_(volSpreads),
      useAtmReferenceVolsOnly_(useAtmReferenceVolsOnly), data_(times.size(), 0.0) {
    registerWith(referenceVol_);
    QL_REQUIRE(times_.size() >= 2, "at least two times required");
    QL_REQUIRE(times_.size() == volSpreads_.size(), "size of time and quote vectors do not match");
    for (Size i = 0; i < volSpreads_.size(); ++i)
        registerWith(volSpreads_[i]);
    interpolation_ = QuantLib::ext::make_shared<FlatExtrapolation>(
        QuantLib::ext::make_shared<LinearInterpolation>(times_.begin(), times_.end(), data_.begin()));
    interpolation_->enableExtrapolation();
}

Member Function Documentation

maxDate()

Date maxDate ( ) const

override

Definition at line 42 of file spreadedblackvolatilitycurve.cpp.

{ return referenceVol_->maxDate(); }

referenceDate()

const Date & referenceDate ( ) const

override

Definition at line 44 of file spreadedblackvolatilitycurve.cpp.

{ return referenceVol_->referenceDate(); }

calendar()

Calendar calendar ( ) const

override

Definition at line 46 of file spreadedblackvolatilitycurve.cpp.

{ return referenceVol_->calendar(); }

settlementDays()

Natural settlementDays ( ) const

override

Definition at line 48 of file spreadedblackvolatilitycurve.cpp.

{ return referenceVol_->settlementDays(); }

minStrike()

Real minStrike ( ) const

override

Definition at line 50 of file spreadedblackvolatilitycurve.cpp.

{ return referenceVol_->minStrike(); }

maxStrike()

Real maxStrike ( ) const

override

Definition at line 52 of file spreadedblackvolatilitycurve.cpp.

{ return referenceVol_->maxStrike(); }

update()

void update ( )

override

Definition at line 54 of file spreadedblackvolatilitycurve.cpp.

                                          {
    LazyObject::update();
    BlackVolatilityTermStructure::update();
}

performCalculations()

void performCalculations ( ) const

overrideprivate

Definition at line 59 of file spreadedblackvolatilitycurve.cpp.

                                                             {
    for (Size i = 0; i < times_.size(); ++i) {
        QL_REQUIRE(!volSpreads_[i].empty(), "SpreadedBlackVolatilityCurve: empty quote at index " << (i - 1));
        data_[i] = volSpreads_[i]->value();
    }
    interpolation_->update();
}

blackVolImpl()

Real blackVolImpl ( Time  t, Real  k  ) const

overrideprivate

Definition at line 67 of file spreadedblackvolatilitycurve.cpp.

                                                                    {
    calculate();
    return referenceVol_->blackVol(t, useAtmReferenceVolsOnly_ ? Null<Real>() : k) + (*interpolation_)(t);
}

Member Data Documentation

referenceVol_

Handle<BlackVolTermStructure> referenceVol_

private

Definition at line 56 of file spreadedblackvolatilitycurve.hpp.

times_

std::vector<Time> times_

private

Definition at line 57 of file spreadedblackvolatilitycurve.hpp.

volSpreads_

std::vector<Handle<Quote> > volSpreads_

private

Definition at line 58 of file spreadedblackvolatilitycurve.hpp.

useAtmReferenceVolsOnly_

bool useAtmReferenceVolsOnly_

private

Definition at line 59 of file spreadedblackvolatilitycurve.hpp.

data_

std::vector<Real> data_

mutableprivate

Definition at line 60 of file spreadedblackvolatilitycurve.hpp.

interpolation_

QuantLib::ext::shared_ptr<Interpolation> interpolation_

private

Definition at line 61 of file spreadedblackvolatilitycurve.hpp.