SpreadedSmileSection2 Class Reference

#include <qle/termstructures/spreadedsmilesection2.hpp>

Inheritance diagram for SpreadedSmileSection2:

Collaboration diagram for SpreadedSmileSection2:

Public Member Functions
	SpreadedSmileSection2 (const QuantLib::ext::shared_ptr< SmileSection > &base, const std::vector< Real > &volSpreads, const std::vector< Real > &strikes, const bool strikesRelativeToAtm=false, const Real baseAtmLevel=Null< Real >(), const Real simulatedAtmLevel=Null< Real >(), const bool stickyAbsMoney=false)
Rate	minStrike () const override
Rate	maxStrike () const override
Rate	atmLevel () const override

Protected Member Functions
Volatility	volatilityImpl (Rate strike) const override

Private Attributes
QuantLib::ext::shared_ptr< SmileSection >	base_
std::vector< Real >	volSpreads_
std::vector< Real >	strikes_
bool	strikesRelativeToAtm_
Real	baseAtmLevel_
Real	simulatedAtmLevel_
bool	stickyAbsMoney_
Interpolation	volSpreadInterpolation_

Detailed Description

Definition at line 35 of file spreadedsmilesection2.hpp.

Constructor & Destructor Documentation

SpreadedSmileSection2()

SpreadedSmileSection2	(	const QuantLib::ext::shared_ptr< SmileSection > &	base,
		const std::vector< Real > &	volSpreads,
		const std::vector< Real > &	strikes,
		const bool	strikesRelativeToAtm = false,
		const Real	baseAtmLevel = Null<Real>(),
		const Real	simulatedAtmLevel = Null<Real>(),
		const bool	stickyAbsMoney = false
	)

• If stickyAbsMoney = true or if strikes are relative to atm and more than one strike is giv en, the base smile section must provide an ATM level that does not react to changes in the rate levels. Alternatively, baseAtmLevel can be provided.
• If stickyAbsMoney = true, simulatedAtmLevel must be provided and represent the ATM level that does react to changes in the rate levels.

Definition at line 27 of file spreadedsmilesection2.cpp.

    : SmileSection(base->exerciseTime(), base->dayCounter(), base->volatilityType(),
                   base->volatilityType() == ShiftedLognormal ? base->shift() : 0.0),
      base_(base), volSpreads_(volSpreads), strikes_(strikes), strikesRelativeToAtm_(strikesRelativeToAtm),
      baseAtmLevel_(baseAtmLevel), simulatedAtmLevel_(simulatedAtmLevel), stickyAbsMoney_(stickyAbsMoney) {
    registerWith(base_);
    QL_REQUIRE(!strikes_.empty(), "SpreadedSmileSection2: strikes empty");
    QL_REQUIRE(strikes_.size() == volSpreads_.size(), "SpreadedSmileSection2: strike spreads ("
                                                          << strikes_.size() << ") inconsistent with vol spreads ("
                                                          << volSpreads_.size() << ")");
    if ((strikesRelativeToAtm_ && strikes.size() > 1) || stickyAbsMoney) {
        QL_REQUIRE(baseAtmLevel_ != Null<Real>() || base_->atmLevel() != Null<Real>(),
                   "SpreadedSmileSection2: if strikeRelativeToATM is true and more than one strike is given, or if "
                   "stickyAbsMoney is true, the base atm level must be given.");
    }
    if (stickyAbsMoney) {
        QL_REQUIRE(simulatedAtmLevel_ != Null<Real>(),
                   "SpreadedSmileSection2: if stickyAbsMoney is true, the simulatedAtmLevel must be given");
    }
    if (volSpreads_.size() > 1) {
        volSpreadInterpolation_ = LinearFlat().interpolate(strikes_.begin(), strikes_.end(), volSpreads_.begin());
        volSpreadInterpolation_.enableExtrapolation();
    }
}

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Member Function Documentation

minStrike()

Rate minStrike ( ) const

override

Definition at line 55 of file spreadedsmilesection2.cpp.

{ return base_->minStrike(); }

maxStrike()

Rate maxStrike ( ) const

override

Definition at line 56 of file spreadedsmilesection2.cpp.

{ return base_->maxStrike(); }

atmLevel()

Rate atmLevel ( ) const

override

Definition at line 57 of file spreadedsmilesection2.cpp.

                                           {
    return baseAtmLevel_ != Null<Real>() ? baseAtmLevel_ : base_->atmLevel();
}

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volatilityImpl()

Volatility volatilityImpl ( Rate  strike ) const

overrideprotected

Definition at line 61 of file spreadedsmilesection2.cpp.

                                                                  {
    Real effStrike;
    if (stickyAbsMoney_) {
        effStrike = strike - (simulatedAtmLevel_ - atmLevel());
    } else {
        effStrike = strike;
    }
    if (volSpreads_.size() == 1)
        return base_->volatility(effStrike) + volSpreads_.front();
    else if (strikesRelativeToAtm_) {
        Real f = atmLevel();
        QL_REQUIRE(f != Null<Real>(), "SpreadedSmileSection2: atm level required");
        return base_->volatility(effStrike) + volSpreadInterpolation_(strike - f);
    } else {
        return base_->volatility(effStrike) + volSpreadInterpolation_(effStrike);
    }
}

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Member Data Documentation

base_

QuantLib::ext::shared_ptr<SmileSection> base_

private

Definition at line 54 of file spreadedsmilesection2.hpp.

volSpreads_

std::vector<Real> volSpreads_

private

Definition at line 55 of file spreadedsmilesection2.hpp.

strikes_

std::vector<Real> strikes_

private

Definition at line 56 of file spreadedsmilesection2.hpp.

strikesRelativeToAtm_

bool strikesRelativeToAtm_

private

Definition at line 57 of file spreadedsmilesection2.hpp.

baseAtmLevel_

Real baseAtmLevel_

private

Definition at line 58 of file spreadedsmilesection2.hpp.

simulatedAtmLevel_

Real simulatedAtmLevel_

private

Definition at line 59 of file spreadedsmilesection2.hpp.

stickyAbsMoney_

bool stickyAbsMoney_

private

Definition at line 60 of file spreadedsmilesection2.hpp.

volSpreadInterpolation_

Interpolation volSpreadInterpolation_

private

Definition at line 61 of file spreadedsmilesection2.hpp.