SpreadedYoYVolatilitySurface Class Reference

#include <qle/termstructures/spreadedyoyvolsurface.hpp>

Inheritance diagram for SpreadedYoYVolatilitySurface:

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Public Member Functions
	SpreadedYoYVolatilitySurface (const Handle< YoYOptionletVolatilitySurface > &baseVol, const std::vector< Date > &optionDates, const std::vector< Real > &strikes, const std::vector< std::vector< Handle< Quote > > > &volSpreads)
Rate	minStrike () const override
Rate	maxStrike () const override
Date	maxDate () const override
Time	maxTime () const override
const Date &	referenceDate () const override
void	update () override
void	deepUpdate () override

Protected Member Functions
Volatility	volatilityImpl (Time length, Rate strike) const override
void	performCalculations () const override

Private Attributes
Handle< YoYOptionletVolatilitySurface >	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 36 of file spreadedyoyvolsurface.hpp.

Constructor & Destructor Documentation

SpreadedYoYVolatilitySurface()

SpreadedYoYVolatilitySurface	(	const Handle< YoYOptionletVolatilitySurface > &	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 spreadedyoyvolsurface.cpp.

    : YoYOptionletVolatilitySurface(baseVol->settlementDays(), baseVol->calendar(), baseVol->businessDayConvention(),
                                    baseVol->dayCounter(), baseVol->observationLag(), baseVol->frequency(),
                                    baseVol->indexIsInterpolated(), baseVol->volatilityType(), baseVol->displacement()),
      baseVol_(baseVol), optionDates_(optionDates), strikes_(strikes), volSpreads_(volSpreads) {
    registerWith(baseVol_);
    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

minStrike()

Rate minStrike ( ) const

override

Definition at line 46 of file spreadedyoyvolsurface.cpp.

{ return baseVol_->minStrike(); }

maxStrike()

Rate maxStrike ( ) const

override

Definition at line 47 of file spreadedyoyvolsurface.cpp.

{ return baseVol_->maxStrike(); }

maxDate()

Date maxDate ( ) const

override

Definition at line 43 of file spreadedyoyvolsurface.cpp.

{ return baseVol_->maxDate(); }

maxTime()

Time maxTime ( ) const

override

Definition at line 44 of file spreadedyoyvolsurface.cpp.

{ return baseVol_->maxTime(); }

referenceDate()

const Date & referenceDate ( ) const

override

Definition at line 45 of file spreadedyoyvolsurface.cpp.

{ return baseVol_->referenceDate(); }

update()

void update ( )

override

Definition at line 72 of file spreadedyoyvolsurface.cpp.

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

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deepUpdate()

void deepUpdate ( )

override

Definition at line 77 of file spreadedyoyvolsurface.cpp.

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

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volatilityImpl()

Volatility volatilityImpl ( Time  length, Rate  strike  ) const

overrideprotected

Definition at line 49 of file spreadedyoyvolsurface.cpp.

                                                                                      {
    calculate();
    return baseVol_->volatility(length, strike) + volSpreadInterpolation_(length, strike);
}

performCalculations()

void performCalculations ( ) const

overrideprotected

Definition at line 54 of file spreadedyoyvolsurface.cpp.

                                                             {
    for (Size i = 0; i < optionDates_.size(); ++i) {
        // we can not support a custom obsLag here
        if (indexIsInterpolated())
            optionTimes_[i] = timeFromReference(optionDates_[i] - observationLag());
        else
            optionTimes_[i] = timeFromReference(inflationPeriod(optionDates_[i] - observationLag(), frequency()).first);
    }
    for (Size k = 0; k < strikes_.size(); ++k) {
        for (Size i = 0; i < optionDates_.size(); ++i) {
            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<YoYOptionletVolatilitySurface> baseVol_

private

Definition at line 55 of file spreadedyoyvolsurface.hpp.

optionDates_

std::vector<Date> optionDates_

private

Definition at line 56 of file spreadedyoyvolsurface.hpp.

strikes_

std::vector<Real> strikes_

private

Definition at line 57 of file spreadedyoyvolsurface.hpp.

volSpreads_

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

private

Definition at line 58 of file spreadedyoyvolsurface.hpp.

optionTimes_

std::vector<Real> optionTimes_

mutableprivate

Definition at line 60 of file spreadedyoyvolsurface.hpp.

volSpreadValues_

Matrix volSpreadValues_

mutableprivate

Definition at line 61 of file spreadedyoyvolsurface.hpp.

volSpreadInterpolation_

Interpolation2D volSpreadInterpolation_

mutableprivate

Definition at line 62 of file spreadedyoyvolsurface.hpp.