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

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

+ Inheritance diagram for AndreasenHugeLocalVolAdapter:
+ Collaboration diagram for AndreasenHugeLocalVolAdapter:

Public Member Functions

 AndreasenHugeLocalVolAdapter (ext::shared_ptr< AndreasenHugeVolatilityInterpl > localVol)
 
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...
 
Calendar calendar () const override
 the calendar used for reference and/or option date calculation More...
 
DayCounter dayCounter () const override
 the day counter used for date/time conversion More...
 
Natural settlementDays () const override
 the settlementDays used for reference date calculation More...
 
const DatereferenceDate () const override
 the date at which discount = 1.0 and/or variance = 0.0 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
 
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...
 
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

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...
 

Private Attributes

const ext::shared_ptr< AndreasenHugeVolatilityInterpllocalVol_
 

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 andreasenhugelocalvoladapter.hpp.

Constructor & Destructor Documentation

◆ AndreasenHugeLocalVolAdapter()

AndreasenHugeLocalVolAdapter ( ext::shared_ptr< AndreasenHugeVolatilityInterpl localVol)
explicit

Definition at line 28 of file andreasenhugelocalvoladapter.cpp.

Member Function Documentation

◆ maxDate()

Date maxDate ( ) const
overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

Definition at line 32 of file andreasenhugelocalvoladapter.cpp.

◆ minStrike()

Real minStrike ( ) const
overridevirtual

the minimum strike for which the term structure can return vols

Implements VolatilityTermStructure.

Definition at line 36 of file andreasenhugelocalvoladapter.cpp.

◆ maxStrike()

Real maxStrike ( ) const
overridevirtual

the maximum strike for which the term structure can return vols

Implements VolatilityTermStructure.

Definition at line 40 of file andreasenhugelocalvoladapter.cpp.

◆ calendar()

Calendar calendar ( ) const
overridevirtual

the calendar used for reference and/or option date calculation

Reimplemented from TermStructure.

Definition at line 51 of file andreasenhugelocalvoladapter.cpp.

◆ dayCounter()

DayCounter dayCounter ( ) const
overridevirtual

the day counter used for date/time conversion

Reimplemented from TermStructure.

Definition at line 54 of file andreasenhugelocalvoladapter.cpp.

◆ settlementDays()

Natural settlementDays ( ) const
overridevirtual

the settlementDays used for reference date calculation

Reimplemented from TermStructure.

Definition at line 60 of file andreasenhugelocalvoladapter.cpp.

◆ referenceDate()

const Date & referenceDate ( ) const
overridevirtual

the date at which discount = 1.0 and/or variance = 0.0

Reimplemented from TermStructure.

Definition at line 57 of file andreasenhugelocalvoladapter.cpp.

◆ localVolImpl()

Volatility localVolImpl ( Time  t,
Real  strike 
) const
overrideprotectedvirtual

local vol calculation

Implements LocalVolTermStructure.

Definition at line 45 of file andreasenhugelocalvoladapter.cpp.

Member Data Documentation

◆ localVol_

const ext::shared_ptr<AndreasenHugeVolatilityInterpl> localVol_
private

Definition at line 52 of file andreasenhugelocalvoladapter.hpp.