LocalConstantVol Class Reference

Constant local volatility, no time-strike dependence. More...

#include <localconstantvol.hpp>

Inheritance diagram for LocalConstantVol:

Collaboration diagram for LocalConstantVol:

Public Member Functions
	LocalConstantVol (const Date &referenceDate, Volatility volatility, DayCounter dayCounter)
	LocalConstantVol (const Date &referenceDate, Handle< Quote > volatility, DayCounter dayCounter)
	LocalConstantVol (Natural settlementDays, const Calendar &, Volatility volatility, DayCounter dayCounter)
	LocalConstantVol (Natural settlementDays, const Calendar &, Handle< Quote > volatility, DayCounter dayCounter)
TermStructure interface
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...
VolatilityTermStructure interface
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
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 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...
void	update () override
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...

Visitability
Handle< Quote >	volatility_
DayCounter	dayCounter_
void	accept (AcyclicVisitor &) override
Volatility	localVolImpl (Time, Real) const override
	local vol calculation More...

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

Detailed Description

Constant local volatility, no time-strike dependence.

This class implements the LocalVolatilityTermStructure interface for a constant local volatility (no time/asset dependence). Local volatility and Black volatility are the same when volatility is at most time dependent, so this class is basically a proxy for BlackVolatilityTermStructure.

Definition at line 40 of file localconstantvol.hpp.

Constructor & Destructor Documentation

LocalConstantVol() [1/4]

LocalConstantVol	(	const Date &	referenceDate,
		Volatility	volatility,
		DayCounter	dayCounter
	)

Definition at line 76 of file localconstantvol.hpp.

LocalConstantVol() [2/4]

LocalConstantVol	(	const Date &	referenceDate,
		Handle< Quote >	volatility,
		DayCounter	dayCounter
	)

Definition at line 83 of file localconstantvol.hpp.

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LocalConstantVol() [3/4]

LocalConstantVol	(	Natural	settlementDays,
		const Calendar &	calendar,
		Volatility	volatility,
		DayCounter	dayCounter
	)

Definition at line 91 of file localconstantvol.hpp.

LocalConstantVol() [4/4]

LocalConstantVol	(	Natural	settlementDays,
		const Calendar &	calendar,
		Handle< Quote >	volatility,
		DayCounter	dayCounter
	)

Definition at line 99 of file localconstantvol.hpp.

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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 56 of file localconstantvol.hpp.

maxDate()

Date maxDate ( ) const

overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

Definition at line 57 of file localconstantvol.hpp.

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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 61 of file localconstantvol.hpp.

maxStrike()

Real maxStrike ( ) const

overridevirtual

the maximum strike for which the term structure can return vols

Implements VolatilityTermStructure.

Definition at line 62 of file localconstantvol.hpp.

accept()

void accept ( AcyclicVisitor &  v )

overridevirtual

Reimplemented from LocalVolTermStructure.

Definition at line 108 of file localconstantvol.hpp.

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localVolImpl()

Volatility localVolImpl ( Time  t, Real  strike  ) const

overrideprivatevirtual

local vol calculation

Implements LocalVolTermStructure.

Definition at line 116 of file localconstantvol.hpp.

Member Data Documentation

volatility_

Handle<Quote> volatility_

private

Definition at line 70 of file localconstantvol.hpp.

dayCounter_

DayCounter dayCounter_

private

Definition at line 71 of file localconstantvol.hpp.