#include <gridmodellocalvolsurface.hpp>

Inheritance diagram for GridModelLocalVolSurface:

Collaboration diagram for GridModelLocalVolSurface:

Public Types
typedef FixedLocalVolSurface::Extrapolation	Extrapolation

Public Types inherited from Observer
typedef set_type::iterator	iterator

Public Member Functions
	GridModelLocalVolSurface (const Date &referenceDate, const std::vector< Date > &dates, const std::vector< ext::shared_ptr< std::vector< Real > > > &strikes, const DayCounter &dayCounter, Extrapolation lowerExtrapolation=FixedLocalVolSurface::ConstantExtrapolation, Extrapolation upperExtrapolation=FixedLocalVolSurface::ConstantExtrapolation)

void	update () override

Date	maxDate () const override
	the latest date for which the curve can return values More...

Time	maxTime () const override
	the latest time for which the curve can return values More...

Real	minStrike () const override
	the minimum strike for which the term structure can return vols More...

Real	maxStrike () const override
	the maximum strike for which the term structure can return vols More...

Public Member Functions inherited from LocalVolTermStructure
	LocalVolTermStructure (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
	default constructor More...

	LocalVolTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
	initialize with a fixed reference date More...

	LocalVolTermStructure (Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
	calculate the reference date based on the global evaluation date More...

	~LocalVolTermStructure () override=default

Volatility	localVol (const Date &d, Real underlyingLevel, bool extrapolate=false) const

Volatility	localVol (Time t, Real underlyingLevel, bool extrapolate=false) const

virtual void	accept (AcyclicVisitor &)

Public Member Functions inherited from VolatilityTermStructure
	VolatilityTermStructure (BusinessDayConvention bdc, const DayCounter &dc=DayCounter())

	VolatilityTermStructure (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
	initialize with a fixed reference date More...

	VolatilityTermStructure (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
	calculate the reference date based on the global evaluation date More...

virtual BusinessDayConvention	businessDayConvention () const
	the business day convention used in tenor to date conversion More...

Date	optionDateFromTenor (const Period &) const
	period/date conversion More...

Public Member Functions inherited from TermStructure
	TermStructure (DayCounter dc=DayCounter())
	default constructor More...

	TermStructure (const Date &referenceDate, Calendar calendar=Calendar(), DayCounter dc=DayCounter())
	initialize with a fixed reference date More...

	TermStructure (Natural settlementDays, Calendar, DayCounter dc=DayCounter())
	calculate the reference date based on the global evaluation date More...

	~TermStructure () override=default

virtual DayCounter	dayCounter () const
	the day counter used for date/time conversion More...

Time	timeFromReference (const Date &date) const
	date/time conversion More...

virtual const Date &	referenceDate () const
	the date at which discount = 1.0 and/or variance = 0.0 More...

virtual Calendar	calendar () const
	the calendar used for reference and/or option date calculation More...

virtual Natural	settlementDays () const
	the settlementDays used for reference date calculation More...

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 ()

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 Extrapolator
	Extrapolator ()=default

virtual	~Extrapolator ()=default

void	enableExtrapolation (bool b=true)
	enable extrapolation in subsequent calls More...

void	disableExtrapolation (bool b=true)
	disable extrapolation in subsequent calls More...

bool	allowsExtrapolation () const
	tells whether extrapolation is enabled More...

Public Member Functions inherited from CalibratedModel
	CalibratedModel (Size nArguments)

void	update () override

virtual void	calibrate (const std::vector< ext::shared_ptr< CalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >(), const std::vector< bool > &fixParameters=std::vector< bool >())
	Calibrate to a set of market instruments (usually caps/swaptions) More...

Real	value (const Array &params, const std::vector< ext::shared_ptr< CalibrationHelper > > &)

const ext::shared_ptr< Constraint > &	constraint () const

EndCriteria::Type	endCriteria () const
	Returns end criteria result. More...

const Array &	problemValues () const
	Returns the problem values. More...

Array	params () const
	Returns array of arguments on which calibration is done. More...

virtual void	setParams (const Array &params)

Integer	functionEvaluation () const

Protected Member Functions
void	generateArguments () override

Volatility	localVolImpl (Time t, Real strike) const override
	local vol calculation More...

Calculations
These methods must be implemented in derived classes to perform the actual volatility calculations. When they are called, range check has already been performed; therefore, they must assume that extrapolation is required.
Protected Member Functions inherited from VolatilityTermStructure
void	checkStrike (Rate strike, bool extrapolate) const
	strike-range check More...

Protected Member Functions inherited from TermStructure
void	checkRange (const Date &d, bool extrapolate) const
	date-range check More...

void	checkRange (Time t, bool extrapolate) const
	time-range check More...

virtual void	generateArguments ()

Protected Attributes
const Date	referenceDate_

std::vector< Time >	times_

const std::vector< ext::shared_ptr< std::vector< Real > > >	strikes_

const DayCounter	dayCounter_

Extrapolation	lowerExtrapolation_

Extrapolation	upperExtrapolation_

ext::shared_ptr< LocalVolTermStructure >	localVol_

Protected Attributes inherited from TermStructure
bool	moving_ = false

bool	updated_ = true

Calendar	calendar_

Protected Attributes inherited from CalibratedModel
std::vector< Parameter >	arguments_

ext::shared_ptr< Constraint >	constraint_

EndCriteria::Type	shortRateEndCriteria_ = EndCriteria::None

Array	problemValues_

Integer	functionEvaluation_

Detailed Description

Definition at line 32 of file gridmodellocalvolsurface.hpp.

Member Typedef Documentation

◆ Extrapolation

typedef FixedLocalVolSurface::Extrapolation Extrapolation

Definition at line 36 of file gridmodellocalvolsurface.hpp.

Constructor & Destructor Documentation

◆ GridModelLocalVolSurface()

GridModelLocalVolSurface	(	const Date &	referenceDate,
		const std::vector< Date > &	dates,
		const std::vector< ext::shared_ptr< std::vector< Real > > > &	strikes,
		const DayCounter &	dayCounter,
		Extrapolation	lowerExtrapolation = `FixedLocalVolSurface::ConstantExtrapolation`,
		Extrapolation	upperExtrapolation = `FixedLocalVolSurface::ConstantExtrapolation`
	)

Definition at line 30 of file gridmodellocalvolsurface.cpp.

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Member Function Documentation

◆ update()

void update ( )

overridevirtual

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Reimplemented from CalibratedModel.

Definition at line 62 of file gridmodellocalvolsurface.cpp.

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