SabrSmileSection Class Reference

#include <sabrsmilesection.hpp>

Inheritance diagram for SabrSmileSection:

Collaboration diagram for SabrSmileSection:

Public Member Functions
	SabrSmileSection (Time timeToExpiry, Rate forward, const std::vector< Real > &sabrParameters, Real shift=0.0, VolatilityType volatilityType=VolatilityType::ShiftedLognormal)
	SabrSmileSection (const Date &d, Rate forward, const std::vector< Real > &sabrParameters, const Date &referenceDate=Date(), const DayCounter &dc=Actual365Fixed(), Real shift=0.0, VolatilityType volatilityType=VolatilityType::ShiftedLognormal)
Real	minStrike () const override
Real	maxStrike () const override
Real	atmLevel () const override
Real	alpha () const
Real	beta () const
Real	nu () const
Real	rho () const
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 Date &	exerciseDate () const
virtual VolatilityType	volatilityType () const
virtual Rate	shift () const
virtual const Date &	referenceDate () const
virtual Time	exerciseTime () const
virtual const DayCounter &	dayCounter () 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 &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
virtual	~Observable ()=default
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer ()=default
	Observer (const Observer &)
Observer &	operator= (const Observer &)
virtual	~Observer ()
std::pair< iterator, bool >	registerWith (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
Real	varianceImpl (Rate strike) const override
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
void	initialise (const std::vector< Real > &sabrParameters)

Private Attributes
Real	alpha_
Real	beta_
Real	nu_
Real	rho_
Real	forward_
Real	shift_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Detailed Description

Definition at line 34 of file sabrsmilesection.hpp.

Constructor & Destructor Documentation

SabrSmileSection() [1/2]

SabrSmileSection	(	Time	timeToExpiry,
		Rate	forward,
		const std::vector< Real > &	sabrParameters,
		Real	shift = 0.0,
		VolatilityType	volatilityType = VolatilityType::ShiftedLognormal
	)

Definition at line 27 of file sabrsmilesection.cpp.

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SabrSmileSection() [2/2]

SabrSmileSection	(	const Date &	d,
		Rate	forward,
		const std::vector< Real > &	sabrParameters,
		const Date &	referenceDate = Date(),
		const DayCounter &	dc = Actual365Fixed(),
		Real	shift = 0.0,
		VolatilityType	volatilityType = VolatilityType::ShiftedLognormal
	)

Definition at line 38 of file sabrsmilesection.cpp.

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Member Function Documentation

minStrike()

Real minStrike ( ) const

overridevirtual

Implements SmileSection.

Definition at line 49 of file sabrsmilesection.hpp.

maxStrike()

Real maxStrike ( ) const

overridevirtual

Implements SmileSection.

Definition at line 50 of file sabrsmilesection.hpp.

atmLevel()

Real atmLevel ( ) const

overridevirtual

Implements SmileSection.

Definition at line 51 of file sabrsmilesection.hpp.

alpha()

Real alpha

(

)

const

Definition at line 52 of file sabrsmilesection.hpp.

beta()

Real beta

(

)

const

Definition at line 53 of file sabrsmilesection.hpp.

nu()

Real nu

(

)

const

Definition at line 54 of file sabrsmilesection.hpp.

rho()

Real rho

(

)

const

Definition at line 55 of file sabrsmilesection.hpp.

varianceImpl()

Real varianceImpl ( Rate  strike ) const

overrideprotectedvirtual

Reimplemented from SmileSection.

Definition at line 65 of file sabrsmilesection.cpp.

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volatilityImpl()

Real volatilityImpl ( Rate  strike ) const

overrideprotectedvirtual

Implements SmileSection.

Definition at line 72 of file sabrsmilesection.cpp.

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initialise()

void initialise ( const std::vector< Real > &  sabrParameters )

private

Definition at line 50 of file sabrsmilesection.cpp.

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Member Data Documentation

alpha_

Real alpha_

private

Definition at line 61 of file sabrsmilesection.hpp.

beta_

Real beta_

private

Definition at line 61 of file sabrsmilesection.hpp.

nu_

Real nu_

private

Definition at line 61 of file sabrsmilesection.hpp.

rho_

Real rho_

private

Definition at line 61 of file sabrsmilesection.hpp.

forward_

Real forward_

private

Definition at line 61 of file sabrsmilesection.hpp.

shift_

Real shift_

private

Definition at line 61 of file sabrsmilesection.hpp.