SpreadedOptionletVolatility2 Class Reference

#include <qle/termstructures/spreadedoptionletvolatility2.hpp>

Inheritance diagram for SpreadedOptionletVolatility2:

Collaboration diagram for SpreadedOptionletVolatility2:

Public Member Functions
	SpreadedOptionletVolatility2 (const Handle< OptionletVolatilityStructure > &baseVol, const std::vector< Date > &optionDates, const std::vector< Real > &strikes, const std::vector< std::vector< Handle< Quote > > > &volSpreads)
BusinessDayConvention	businessDayConvention () const override
Rate	minStrike () const override
Rate	maxStrike () const override
DayCounter	dayCounter () const override
Date	maxDate () const override
Time	maxTime () const override
const Date &	referenceDate () const override
Calendar	calendar () const override
Natural	settlementDays () const override
VolatilityType	volatilityType () const override
Real	displacement () const override
void	update () override
void	deepUpdate () override

Protected Member Functions
QuantLib::ext::shared_ptr< SmileSection >	smileSectionImpl (Time optionTime) const override
Volatility	volatilityImpl (Time optionTime, Rate strike) const override
void	performCalculations () const override

Private Attributes
Handle< OptionletVolatilityStructure >	baseVol_
std::vector< Date >	optionDates_
std::vector< Real >	strikes_
std::vector< std::vector< Handle< Quote > > >	volSpreads_
std::vector< Real >	optionTimes_
Matrix	volSpreadValues_
Interpolation2D	volSpreadInterpolation_

Detailed Description

Definition at line 35 of file spreadedoptionletvolatility2.hpp.

Constructor & Destructor Documentation

SpreadedOptionletVolatility2()

SpreadedOptionletVolatility2	(	const Handle< OptionletVolatilityStructure > &	baseVol,
		const std::vector< Date > &	optionDates,
		const std::vector< Real > &	strikes,
		const std::vector< std::vector< Handle< Quote > > > &	volSpreads
	)

Definition at line 27 of file spreadedoptionletvolatility2.cpp.

    : baseVol_(baseVol), optionDates_(optionDates), strikes_(strikes), volSpreads_(volSpreads) {
    registerWith(baseVol_);
 
    QL_REQUIRE(!optionDates_.empty(), "SpreadedOptionletVolatility2(): optionDates are empty");
    QL_REQUIRE(!strikes_.empty(), "SpreadedOptionletVolatility2(): strikes are empty");
 
    // add an artificial option date if we only have one to ensure the interpolation is working
    if (optionDates_.size() == 1) {
        optionDates_.push_back(optionDates_.back() + 1);
        volSpreads_.push_back(volSpreads_.back());
    }
 
    // add an artificial strike if we only have one to ensure the interpolation is working
    if (strikes_.size() == 1) {
        strikes_.push_back(strikes_.back() + 0.01);
        for (auto& v : volSpreads_)
            v.push_back(v.back());
    }
 
    optionTimes_.resize(optionDates_.size());
    volSpreadValues_ = Matrix(strikes_.size(), optionDates_.size());
    for (auto const& v : volSpreads_)
        for (auto const& q : v)
            registerWith(q);
}

Member Function Documentation

businessDayConvention()

BusinessDayConvention businessDayConvention ( ) const

override

Definition at line 63 of file spreadedoptionletvolatility2.cpp.

                                                                                {
    return baseVol_->businessDayConvention();
}

minStrike()

Rate minStrike ( ) const

override

Definition at line 66 of file spreadedoptionletvolatility2.cpp.

{ return baseVol_->minStrike(); }

maxStrike()

Rate maxStrike ( ) const

override

Definition at line 67 of file spreadedoptionletvolatility2.cpp.

{ return baseVol_->maxStrike(); }

dayCounter()

DayCounter dayCounter ( ) const

override

Definition at line 57 of file spreadedoptionletvolatility2.cpp.

{ return baseVol_->dayCounter(); }

maxDate()

Date maxDate ( ) const

override

Definition at line 58 of file spreadedoptionletvolatility2.cpp.

{ return baseVol_->maxDate(); }

maxTime()

Time maxTime ( ) const

override

Definition at line 59 of file spreadedoptionletvolatility2.cpp.

{ return baseVol_->maxTime(); }

referenceDate()

const Date & referenceDate ( ) const

override

Definition at line 60 of file spreadedoptionletvolatility2.cpp.

{ return baseVol_->referenceDate(); }

calendar()

Calendar calendar ( ) const

override

Definition at line 61 of file spreadedoptionletvolatility2.cpp.

{ return baseVol_->calendar(); }

settlementDays()

Natural settlementDays ( ) const

override

Definition at line 62 of file spreadedoptionletvolatility2.cpp.

{ return baseVol_->settlementDays(); }

volatilityType()

VolatilityType volatilityType ( ) const

override

Definition at line 68 of file spreadedoptionletvolatility2.cpp.

{ return baseVol_->volatilityType(); }

displacement()

Real displacement ( ) const

override

Definition at line 69 of file spreadedoptionletvolatility2.cpp.

{ return baseVol_->displacement(); }

update()

void update ( )

override

Definition at line 99 of file spreadedoptionletvolatility2.cpp.

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

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deepUpdate()

void deepUpdate ( )

override

Definition at line 104 of file spreadedoptionletvolatility2.cpp.

                                              {
    baseVol_->update();
    update();
}

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smileSectionImpl()

QuantLib::ext::shared_ptr< SmileSection > smileSectionImpl ( Time  optionTime ) const

overrideprotected

Definition at line 71 of file spreadedoptionletvolatility2.cpp.

                                                                                                        {
    calculate();
    std::vector<Real> volSpreads(strikes_.size());
    for (Size k = 0; k < strikes_.size(); ++k) {
        volSpreads[k] = volSpreadInterpolation_(optionTime, strikes_[k]);
    }
    return QuantLib::ext::make_shared<SpreadedSmileSection2>(baseVol_->smileSection(optionTime), volSpreads, strikes_);
}

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volatilityImpl()

Volatility volatilityImpl ( Time  optionTime, Rate  strike  ) const

overrideprotected

Definition at line 80 of file spreadedoptionletvolatility2.cpp.

                                                                                          {
    return smileSectionImpl(optionTime)->volatility(strike);
}

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performCalculations()

void performCalculations ( ) const

overrideprotected

Definition at line 84 of file spreadedoptionletvolatility2.cpp.

                                                             {
    for (Size i = 0; i < optionDates_.size(); ++i)
        optionTimes_[i] = timeFromReference(optionDates_[i]);
    for (Size k = 0; k < strikes_.size(); ++k) {
        for (Size i = 0; i < optionDates_.size(); ++i) {
            QL_REQUIRE(!volSpreads_[i][k].empty(), "SpreadedOptionletVolatility2::performCalculations(): volSpread at "
                                                       << i << ", " << k << " is empty");
            volSpreadValues_(k, i) = volSpreads_[i][k]->value();
        }
    }
    volSpreadInterpolation_ = FlatExtrapolator2D(QuantLib::ext::make_shared<BilinearInterpolation>(
        optionTimes_.begin(), optionTimes_.end(), strikes_.begin(), strikes_.end(), volSpreadValues_));
    volSpreadInterpolation_.enableExtrapolation();
}

Member Data Documentation

baseVol_

Handle<OptionletVolatilityStructure> baseVol_

private

Definition at line 60 of file spreadedoptionletvolatility2.hpp.

optionDates_

std::vector<Date> optionDates_

private

Definition at line 61 of file spreadedoptionletvolatility2.hpp.

strikes_

std::vector<Real> strikes_

private

Definition at line 62 of file spreadedoptionletvolatility2.hpp.

volSpreads_

std::vector<std::vector<Handle<Quote> > > volSpreads_

private

Definition at line 63 of file spreadedoptionletvolatility2.hpp.

optionTimes_

std::vector<Real> optionTimes_

mutableprivate

Definition at line 65 of file spreadedoptionletvolatility2.hpp.

volSpreadValues_

Matrix volSpreadValues_

mutableprivate

Definition at line 66 of file spreadedoptionletvolatility2.hpp.

volSpreadInterpolation_

Interpolation2D volSpreadInterpolation_

mutableprivate

Definition at line 67 of file spreadedoptionletvolatility2.hpp.