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Public Member Functions | Protected Member Functions | Private Attributes | List of all members
HestonBlackVolSurface Class Reference

#include <ql/termstructures/volatility/equityfx/hestonblackvolsurface.hpp>

+ Inheritance diagram for HestonBlackVolSurface:
+ Collaboration diagram for HestonBlackVolSurface:

Public Member Functions

 HestonBlackVolSurface (const Handle< HestonModel > &hestonModel, AnalyticHestonEngine::ComplexLogFormula cpxLogFormula=AnalyticHestonEngine::Gatheral, AnalyticHestonEngine::Integration integration=AnalyticHestonEngine::Integration::gaussLaguerre(164))
 
DayCounter dayCounter () const override
 the day counter used for date/time conversion More...
 
Date maxDate () const override
 the latest date 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 BlackVolTermStructure
 BlackVolTermStructure (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
 default constructor More...
 
 BlackVolTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
 initialize with a fixed reference date More...
 
 BlackVolTermStructure (Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
 calculate the reference date based on the global evaluation date More...
 
 ~BlackVolTermStructure () override=default
 
Volatility blackVol (const Date &maturity, Real strike, bool extrapolate=false) const
 spot volatility More...
 
Volatility blackVol (Time maturity, Real strike, bool extrapolate=false) const
 spot volatility More...
 
Real blackVariance (const Date &maturity, Real strike, bool extrapolate=false) const
 spot variance More...
 
Real blackVariance (Time maturity, Real strike, bool extrapolate=false) const
 spot variance More...
 
Volatility blackForwardVol (const Date &date1, const Date &date2, Real strike, bool extrapolate=false) const
 forward (at-the-money) volatility More...
 
Volatility blackForwardVol (Time time1, Time time2, Real strike, bool extrapolate=false) const
 forward (at-the-money) volatility More...
 
Real blackForwardVariance (const Date &date1, const Date &date2, Real strike, bool extrapolate=false) const
 forward (at-the-money) variance More...
 
Real blackForwardVariance (Time time1, Time time2, Real strike, bool extrapolate=false) const
 forward (at-the-money) variance More...
 
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
 
Time timeFromReference (const Date &date) const
 date/time conversion More...
 
virtual Time maxTime () const
 the latest time for which the curve can return values 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...
 
void update () override
 
- 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...
 

Protected Member Functions

Real blackVarianceImpl (Time t, Real strike) const override
 Black variance calculation. More...
 
Volatility blackVolImpl (Time t, Real strike) const override
 Black volatility 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...
 

Private Attributes

const Handle< HestonModelhestonModel_
 
const AnalyticHestonEngine::ComplexLogFormula cpxLogFormula_
 
const AnalyticHestonEngine::Integration integration_
 

Additional Inherited Members

- Public Types inherited from Observer
typedef set_type::iterator iterator
 
- Protected Attributes inherited from TermStructure
bool moving_ = false
 
bool updated_ = true
 
Calendar calendar_
 

Detailed Description

Definition at line 34 of file hestonblackvolsurface.hpp.

Constructor & Destructor Documentation

◆ HestonBlackVolSurface()

Definition at line 46 of file hestonblackvolsurface.cpp.

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Member Function Documentation

◆ dayCounter()

DayCounter dayCounter ( ) const
overridevirtual

the day counter used for date/time conversion

Reimplemented from TermStructure.

Definition at line 59 of file hestonblackvolsurface.cpp.

◆ maxDate()

Date maxDate ( ) const
overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

Definition at line 62 of file hestonblackvolsurface.cpp.

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◆ minStrike()

Real minStrike ( ) const
overridevirtual

the minimum strike for which the term structure can return vols

Implements VolatilityTermStructure.

Definition at line 65 of file hestonblackvolsurface.cpp.

◆ maxStrike()

Real maxStrike ( ) const
overridevirtual

the maximum strike for which the term structure can return vols

Implements VolatilityTermStructure.

Definition at line 68 of file hestonblackvolsurface.cpp.

◆ blackVarianceImpl()

Real blackVarianceImpl ( Time  t,
Real  strike 
) const
overrideprotectedvirtual

Black variance calculation.

Implements BlackVolTermStructure.

Definition at line 72 of file hestonblackvolsurface.cpp.

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◆ blackVolImpl()

Volatility blackVolImpl ( Time  t,
Real  strike 
) const
overrideprotectedvirtual

Black volatility calculation.

Implements BlackVolTermStructure.

Definition at line 76 of file hestonblackvolsurface.cpp.

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Member Data Documentation

◆ hestonModel_

const Handle<HestonModel> hestonModel_
private

Definition at line 52 of file hestonblackvolsurface.hpp.

◆ cpxLogFormula_

const AnalyticHestonEngine::ComplexLogFormula cpxLogFormula_
private

Definition at line 53 of file hestonblackvolsurface.hpp.

◆ integration_

const AnalyticHestonEngine::Integration integration_
private

Definition at line 54 of file hestonblackvolsurface.hpp.