SpreadedCreditVolCurve Class Reference

#include <qle/termstructures/creditvolcurve.hpp>

Inheritance diagram for SpreadedCreditVolCurve:

Collaboration diagram for SpreadedCreditVolCurve:

Public Member Functions
	SpreadedCreditVolCurve (const QuantLib::Handle< CreditVolCurve > baseCurve, const std::vector< QuantLib::Date > expiries, const std::vector< QuantLib::Handle< QuantLib::Quote > > spreads, const bool stickyMoneyness, 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 Member Functions
void	performCalculations () const override

Private Attributes
QuantLib::Handle< CreditVolCurve >	baseCurve_
std::vector< QuantLib::Date >	expiries_
std::vector< QuantLib::Handle< QuantLib::Quote > >	spreads_
const bool	stickyMoneyness_
std::vector< QuantLib::Real >	times_
std::vector< QuantLib::Real >	spreadValues_
QuantLib::ext::shared_ptr< QuantLib::Interpolation >	interpolatedSpreads_

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 142 of file creditvolcurve.hpp.

Constructor & Destructor Documentation

SpreadedCreditVolCurve()

SpreadedCreditVolCurve	(	const QuantLib::Handle< CreditVolCurve >	baseCurve,
		const std::vector< QuantLib::Date >	expiries,
		const std::vector< QuantLib::Handle< QuantLib::Quote > >	spreads,
		const bool	stickyMoneyness,
		const std::vector< QuantLib::Period > &	terms = {},
		const std::vector< QuantLib::Handle< CreditCurve > > &	termCurves = {}
	)

Definition at line 566 of file creditvolcurve.cpp.

    : CreditVolCurve(baseCurve->businessDayConvention(), baseCurve->dayCounter(), terms, termCurves, baseCurve->type()),
      baseCurve_(baseCurve), expiries_(expiries), spreads_(spreads), stickyMoneyness_(stickyMoneyness) {
    for (auto const& s : spreads)
        registerWith(s);
}

Member Function Documentation

volatility()

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

overridevirtual

Implements CreditVolCurve.

Definition at line 593 of file creditvolcurve.cpp.

                                                                      {
    calculate();
    Real effectiveStrike = strike;
    if (stickyMoneyness_ && !baseCurve_->terms().empty() && !this->terms().empty()) {
        effectiveStrike = this->strike(this->moneyness(strike, this->atmStrike(exerciseDate, underlyingLength)),
                                       baseCurve_->atmStrike(exerciseDate, underlyingLength));
    }
    Real base = baseCurve_->volatility(exerciseDate, underlyingLength, effectiveStrike, targetType);
    Real spread = interpolatedSpreads_->operator()(timeFromReference(exerciseDate));
    return base + spread;
}

Here is the call graph for this function:

referenceDate()

const Date & referenceDate ( ) const

override

Definition at line 576 of file creditvolcurve.cpp.

{ return baseCurve_->referenceDate(); }

performCalculations()

void performCalculations ( ) const

overrideprivate

Definition at line 578 of file creditvolcurve.cpp.

                                                       {
    CreditVolCurve::performCalculations();
    times_.clear();
    spreadValues_.clear();
    for (auto const& d : expiries_) {
        times_.push_back(timeFromReference(d));
    }
    for (auto const& s : spreads_) {
        spreadValues_.push_back(s->value());
    }
    interpolatedSpreads_ = QuantLib::ext::make_shared<FlatExtrapolation>(
        QuantLib::ext::make_shared<LinearInterpolation>(times_.begin(), times_.end(), spreadValues_.begin()));
    interpolatedSpreads_->enableExtrapolation();
}

Here is the call graph for this function:

Member Data Documentation

baseCurve_

QuantLib::Handle<CreditVolCurve> baseCurve_

private

Definition at line 159 of file creditvolcurve.hpp.

expiries_

std::vector<QuantLib::Date> expiries_

private

Definition at line 160 of file creditvolcurve.hpp.

spreads_

std::vector<QuantLib::Handle<QuantLib::Quote> > spreads_

private

Definition at line 161 of file creditvolcurve.hpp.

stickyMoneyness_

const bool stickyMoneyness_

private

Definition at line 162 of file creditvolcurve.hpp.

times_

std::vector<QuantLib::Real> times_

mutableprivate

Definition at line 164 of file creditvolcurve.hpp.

spreadValues_

std::vector<QuantLib::Real> spreadValues_

mutableprivate

Definition at line 165 of file creditvolcurve.hpp.

interpolatedSpreads_

QuantLib::ext::shared_ptr<QuantLib::Interpolation> interpolatedSpreads_

mutableprivate

Definition at line 166 of file creditvolcurve.hpp.