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fully annotated source code - version 1.34
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Classes | Public Member Functions | Protected Member Functions | Private Member Functions | Private Attributes | List of all members
KahaleSmileSection Class Reference

#include <kahalesmilesection.hpp>

+ Inheritance diagram for KahaleSmileSection:
+ Collaboration diagram for KahaleSmileSection:

Classes

struct  aHelper
 
struct  cFunction
 
struct  sHelper
 
struct  sHelper1
 

Public Member Functions

 KahaleSmileSection (const ext::shared_ptr< SmileSection > &source, Real atm=Null< Real >(), bool interpolate=false, bool exponentialExtrapolation=false, bool deleteArbitragePoints=false, const std::vector< Real > &moneynessGrid=std::vector< Real >(), Real gap=1.0E-5, int forcedLeftIndex=-1, int forcedRightIndex=QL_MAX_INTEGER)
 
Real minStrike () const override
 
Real maxStrike () const override
 
Real atmLevel () const override
 
const DateexerciseDate () const override
 
Time exerciseTime () const override
 
const DayCounterdayCounter () const override
 
const DatereferenceDate () const override
 
VolatilityType volatilityType () const override
 
Real shift () const override
 
Real leftCoreStrike () const
 
Real rightCoreStrike () const
 
std::pair< Size, SizecoreIndices () const
 
Real optionPrice (Rate strike, Option::Type type=Option::Call, Real discount=1.0) const override
 
- Public Member Functions inherited from SmileSection
 SmileSection (const Date &d, DayCounter dc=DayCounter(), const Date &referenceDate=Date(), VolatilityType type=ShiftedLognormal, Rate shift=0.0)
 
 SmileSection (Time exerciseTime, DayCounter dc=DayCounter(), VolatilityType type=ShiftedLognormal, Rate shift=0.0)
 
 SmileSection ()=default
 
 ~SmileSection () override=default
 
void update () override
 
virtual Real minStrike () const =0
 
virtual Real maxStrike () const =0
 
Real variance (Rate strike) const
 
Volatility volatility (Rate strike) const
 
virtual Real atmLevel () const =0
 
virtual const DateexerciseDate () const
 
virtual VolatilityType volatilityType () const
 
virtual Rate shift () const
 
virtual const DatereferenceDate () const
 
virtual Time exerciseTime () const
 
virtual const DayCounterdayCounter () const
 
virtual Real optionPrice (Rate strike, Option::Type type=Option::Call, Real discount=1.0) const
 
virtual Real digitalOptionPrice (Rate strike, Option::Type type=Option::Call, Real discount=1.0, Real gap=1.0e-5) const
 
virtual Real vega (Rate strike, Real discount=1.0) const
 
virtual Real density (Rate strike, Real discount=1.0, Real gap=1.0E-4) const
 
Volatility volatility (Rate strike, VolatilityType type, Real shift=0.0) const
 
- Public Member Functions inherited from Observable
 Observable ()
 
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (Observable &&)=delete
 
virtual ~Observable ()=default
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer ()=default
 
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (const ext::shared_ptr< Observable > &)
 
void registerWithObservables (const ext::shared_ptr< Observer > &)
 
Size unregisterWith (const ext::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
virtual void update ()=0
 
virtual void deepUpdate ()
 

Protected Member Functions

Volatility volatilityImpl (Rate strike) const override
 
- Protected Member Functions inherited from SmileSection
virtual void initializeExerciseTime () const
 
virtual Real varianceImpl (Rate strike) const
 
virtual Volatility volatilityImpl (Rate strike) const =0
 

Private Member Functions

Size index (Rate strike) const
 
void compute ()
 

Private Attributes

ext::shared_ptr< SmileSectionsource_
 
std::vector< RealmoneynessGrid_
 
std::vector< Realk_
 
std::vector< Realc_
 
Real f_
 
const Real gap_
 
Size leftIndex_
 
Size rightIndex_
 
std::vector< ext::shared_ptr< cFunction > > cFunctions_
 
const bool interpolate_
 
const bool exponentialExtrapolation_
 
int forcedLeftIndex_
 
int forcedRightIndex_
 
ext::shared_ptr< SmileSectionUtilsssutils_
 

Additional Inherited Members

- Public Types inherited from Observer
typedef set_type::iterator iterator
 

Detailed Description

Definition at line 53 of file kahalesmilesection.hpp.

Constructor & Destructor Documentation

◆ KahaleSmileSection()

KahaleSmileSection ( const ext::shared_ptr< SmileSection > &  source,
Real  atm = Null<Real>(),
bool  interpolate = false,
bool  exponentialExtrapolation = false,
bool  deleteArbitragePoints = false,
const std::vector< Real > &  moneynessGrid = std::vector<Real>(),
Real  gap = 1.0E-5,
int  forcedLeftIndex = -1,
int  forcedRightIndex = QL_MAX_INTEGER 
)

Definition at line 26 of file kahalesmilesection.cpp.

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Member Function Documentation

◆ minStrike()

Real minStrike ( ) const
overridevirtual

Implements SmileSection.

Definition at line 140 of file kahalesmilesection.hpp.

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◆ maxStrike()

Real maxStrike ( ) const
overridevirtual

Implements SmileSection.

Definition at line 141 of file kahalesmilesection.hpp.

◆ atmLevel()

Real atmLevel ( ) const
overridevirtual

Implements SmileSection.

Definition at line 142 of file kahalesmilesection.hpp.

◆ exerciseDate()

const Date & exerciseDate ( ) const
overridevirtual

Reimplemented from SmileSection.

Definition at line 143 of file kahalesmilesection.hpp.

◆ exerciseTime()

Time exerciseTime ( ) const
overridevirtual

Reimplemented from SmileSection.

Definition at line 144 of file kahalesmilesection.hpp.

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◆ dayCounter()

const DayCounter & dayCounter ( ) const
overridevirtual

Reimplemented from SmileSection.

Definition at line 145 of file kahalesmilesection.hpp.

◆ referenceDate()

const Date & referenceDate ( ) const
overridevirtual

Reimplemented from SmileSection.

Definition at line 146 of file kahalesmilesection.hpp.

◆ volatilityType()

VolatilityType volatilityType ( ) const
overridevirtual

Reimplemented from SmileSection.

Definition at line 147 of file kahalesmilesection.hpp.

◆ shift()

Real shift ( ) const
overridevirtual

Reimplemented from SmileSection.

Definition at line 148 of file kahalesmilesection.hpp.

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◆ leftCoreStrike()

Real leftCoreStrike ( ) const

Definition at line 150 of file kahalesmilesection.hpp.

◆ rightCoreStrike()

Real rightCoreStrike ( ) const

Definition at line 151 of file kahalesmilesection.hpp.

◆ coreIndices()

std::pair< Size, Size > coreIndices ( ) const

Definition at line 153 of file kahalesmilesection.hpp.

◆ optionPrice()

Real optionPrice ( Rate  strike,
Option::Type  type = Option::Call,
Real  discount = 1.0 
) const
overridevirtual

Reimplemented from SmileSection.

Definition at line 226 of file kahalesmilesection.cpp.

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◆ volatilityImpl()

Real volatilityImpl ( Rate  strike) const
overrideprotectedvirtual

Implements SmileSection.

Definition at line 243 of file kahalesmilesection.cpp.

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◆ index()

Size index ( Rate  strike) const
private

Definition at line 263 of file kahalesmilesection.cpp.

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◆ compute()

void compute ( )
private

Definition at line 64 of file kahalesmilesection.cpp.

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Member Data Documentation

◆ source_

ext::shared_ptr<SmileSection> source_
private

Definition at line 167 of file kahalesmilesection.hpp.

◆ moneynessGrid_

std::vector<Real> moneynessGrid_
private

Definition at line 168 of file kahalesmilesection.hpp.

◆ k_

std::vector<Real> k_
private

Definition at line 168 of file kahalesmilesection.hpp.

◆ c_

std::vector<Real> c_
private

Definition at line 168 of file kahalesmilesection.hpp.

◆ f_

Real f_
private

Definition at line 169 of file kahalesmilesection.hpp.

◆ gap_

const Real gap_
private

Definition at line 170 of file kahalesmilesection.hpp.

◆ leftIndex_

Size leftIndex_
private

Definition at line 171 of file kahalesmilesection.hpp.

◆ rightIndex_

Size rightIndex_
private

Definition at line 171 of file kahalesmilesection.hpp.

◆ cFunctions_

std::vector<ext::shared_ptr<cFunction> > cFunctions_
private

Definition at line 172 of file kahalesmilesection.hpp.

◆ interpolate_

const bool interpolate_
private

Definition at line 173 of file kahalesmilesection.hpp.

◆ exponentialExtrapolation_

const bool exponentialExtrapolation_
private

Definition at line 173 of file kahalesmilesection.hpp.

◆ forcedLeftIndex_

int forcedLeftIndex_
private

Definition at line 174 of file kahalesmilesection.hpp.

◆ forcedRightIndex_

int forcedRightIndex_
private

Definition at line 174 of file kahalesmilesection.hpp.

◆ ssutils_

ext::shared_ptr<SmileSectionUtils> ssutils_
private

Definition at line 175 of file kahalesmilesection.hpp.