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Public Types | Public Member Functions | Protected Member Functions | Protected Attributes | List of all members
GridModelLocalVolSurface Class Reference

#include <ql/termstructures/volatility/equityfx/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 DatereferenceDate () 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 &)
 
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 ()
 
- 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 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 ArrayproblemValues () 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< Timetimes_
 
const std::vector< ext::shared_ptr< std::vector< Real > > > strikes_
 
const DayCounter dayCounter_
 
Extrapolation lowerExtrapolation_
 
Extrapolation upperExtrapolation_
 
ext::shared_ptr< LocalVolTermStructurelocalVol_
 
- Protected Attributes inherited from TermStructure
bool moving_ = false
 
bool updated_ = true
 
Calendar calendar_
 
- Protected Attributes inherited from CalibratedModel
std::vector< Parameterarguments_
 
ext::shared_ptr< Constraintconstraint_
 
EndCriteria::Type shortRateEndCriteria_ = EndCriteria::None
 
Array problemValues_
 
Integer functionEvaluation_
 

Detailed Description

Definition at line 32 of file gridmodellocalvolsurface.hpp.

Member Typedef Documentation

◆ 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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◆ maxDate()

Date maxDate ( ) const
overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

Definition at line 67 of file gridmodellocalvolsurface.cpp.

◆ maxTime()

Time maxTime ( ) const
overridevirtual

the latest time for which the curve can return values

Reimplemented from TermStructure.

Definition at line 70 of file gridmodellocalvolsurface.cpp.

◆ minStrike()

Real minStrike ( ) const
overridevirtual

the minimum strike for which the term structure can return vols

Implements VolatilityTermStructure.

Definition at line 73 of file gridmodellocalvolsurface.cpp.

◆ maxStrike()

Real maxStrike ( ) const
overridevirtual

the maximum strike for which the term structure can return vols

Implements VolatilityTermStructure.

Definition at line 76 of file gridmodellocalvolsurface.cpp.

◆ generateArguments()

void generateArguments ( )
overrideprotectedvirtual

Reimplemented from CalibratedModel.

Definition at line 85 of file gridmodellocalvolsurface.cpp.

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◆ localVolImpl()

Volatility localVolImpl ( Time  t,
Real  strike 
) const
overrideprotectedvirtual

local vol calculation

Implements LocalVolTermStructure.

Definition at line 80 of file gridmodellocalvolsurface.cpp.

Member Data Documentation

◆ referenceDate_

const Date referenceDate_
protected

Definition at line 59 of file gridmodellocalvolsurface.hpp.

◆ times_

std::vector<Time> times_
protected

Definition at line 60 of file gridmodellocalvolsurface.hpp.

◆ strikes_

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

Definition at line 61 of file gridmodellocalvolsurface.hpp.

◆ dayCounter_

const DayCounter dayCounter_
protected

Definition at line 62 of file gridmodellocalvolsurface.hpp.

◆ lowerExtrapolation_

Extrapolation lowerExtrapolation_
protected

Definition at line 63 of file gridmodellocalvolsurface.hpp.

◆ upperExtrapolation_

Extrapolation upperExtrapolation_
protected

Definition at line 63 of file gridmodellocalvolsurface.hpp.

◆ localVol_

ext::shared_ptr<LocalVolTermStructure> localVol_
protected

Definition at line 65 of file gridmodellocalvolsurface.hpp.