spreadedblackvolatilitycurve.hpp

Go to the documentation of this file.

/*
 Copyright (C) 2020 Quaternion Risk Management Ltd
 All rights reserved.
 
 This file is part of ORE, a free-software/open-source library
 for transparent pricing and risk analysis - http://opensourcerisk.org
 
 ORE is free software: you can redistribute it and/or modify it
 under the terms of the Modified BSD License.  You should have received a
 copy of the license along with this program.
 The license is also available online at <http://opensourcerisk.org>
 
 This program is distributed on the basis that it will form a useful
 contribution to risk analytics and model standardisation, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
*/
 
/*! \file spreadedblackvolatilitycurve.hpp
    \brief Spreaded Black volatility curve
    \ingroup termstructures
*/
 
#pragma once
 
#include <ql/math/interpolation.hpp>
#include <ql/patterns/lazyobject.hpp>
#include <ql/quote.hpp>
#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
 
namespace QuantExt {
using namespace QuantLib;
 
//! Spreaded Black volatility curve modeled as variance curve
class SpreadedBlackVolatilityCurve : public LazyObject, public BlackVolatilityTermStructure {
public:
    /*! - 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
     */
    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:
    void performCalculations() const override;
    Real blackVolImpl(Time t, Real) const override;
 
    Handle<BlackVolTermStructure> referenceVol_;
    std::vector<Time> times_;
    std::vector<Handle<Quote>> volSpreads_;
    bool useAtmReferenceVolsOnly_;
    mutable std::vector<Real> data_;
    QuantLib::ext::shared_ptr<Interpolation> interpolation_;
};
 
} // namespace QuantExt