Black volatility surface modelled as variance surface. More...

#include <blackvariancesurface.hpp>

Inheritance diagram for BlackVarianceSurface:

Collaboration diagram for BlackVarianceSurface:

Public Types
enum	Extrapolation { ConstantExtrapolation , InterpolatorDefaultExtrapolation }

Public Types inherited from Observer
typedef set_type::iterator	iterator

Public Member Functions
	BlackVarianceSurface (const Date &referenceDate, const Calendar &cal, const std::vector< Date > &dates, std::vector< Real > strikes, const Matrix &blackVolMatrix, DayCounter dayCounter, Extrapolation lowerExtrapolation=InterpolatorDefaultExtrapolation, Extrapolation upperExtrapolation=InterpolatorDefaultExtrapolation)

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...

Modifiers
template<class Interpolator >
void	setInterpolation (const Interpolator &i=Interpolator())

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

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

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

void	accept (AcyclicVisitor &) override

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...

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
DayCounter	dayCounter_

Date	maxDate_

std::vector< Real >	strikes_

std::vector< Time >	times_

Matrix	variances_

Interpolation2D	varianceSurface_

Extrapolation	lowerExtrapolation_

Extrapolation	upperExtrapolation_

void	accept (AcyclicVisitor &) override

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

Additional Inherited Members
Protected Member Functions inherited from BlackVarianceTermStructure
Volatility	blackVolImpl (Time t, Real strike) const override

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

Black volatility surface modelled as variance surface.

This class calculates time/strike dependent Black volatilities using as input a matrix of Black volatilities observed in the market.

The calculation is performed interpolating on the variance surface. Bilinear interpolation is used as default; this can be changed by the setInterpolation() method.

Definition at line 47 of file blackvariancesurface.hpp.

Member Enumeration Documentation

◆ Extrapolation

enum Extrapolation

Enumerator
ConstantExtrapolation
InterpolatorDefaultExtrapolation

Definition at line 49 of file blackvariancesurface.hpp.

Constructor & Destructor Documentation

◆ BlackVarianceSurface()

BlackVarianceSurface	(	const Date &	referenceDate,
		const Calendar &	cal,
		const std::vector< Date > &	dates,
		std::vector< Real >	strikes,
		const Matrix &	blackVolMatrix,
		DayCounter	dayCounter,
		BlackVarianceSurface::Extrapolation	lowerEx = `InterpolatorDefaultExtrapolation`,
		BlackVarianceSurface::Extrapolation	upperEx = `InterpolatorDefaultExtrapolation`
	)

Definition at line 27 of file blackvariancesurface.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 61 of file blackvariancesurface.hpp.

◆ maxDate()

Date maxDate ( ) const

overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

Definition at line 62 of file blackvariancesurface.hpp.

◆ minStrike()

Real minStrike ( ) const

overridevirtual

the minimum strike for which the term structure can return vols

Implements VolatilityTermStructure.

Definition at line 66 of file blackvariancesurface.hpp.

◆ maxStrike()

Real maxStrike ( ) const

overridevirtual

the maximum strike for which the term structure can return vols

Implements VolatilityTermStructure.

Definition at line 67 of file blackvariancesurface.hpp.

◆ setInterpolation()

void setInterpolation ( const Interpolator & i = Interpolator() )

Definition at line 72 of file blackvariancesurface.hpp.

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◆ accept()

void accept ( AcyclicVisitor & v )

overridevirtual

Reimplemented from BlackVolTermStructure.

Definition at line 100 of file blackvariancesurface.hpp.

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◆ blackVarianceImpl()

Real blackVarianceImpl	(	Time	t,
		Real	strike
	)		const

overrideprotectedvirtual

Black variance calculation.

Implements BlackVolTermStructure.

Definition at line 67 of file blackvariancesurface.cpp.

Member Data Documentation

◆ dayCounter_

DayCounter dayCounter_

private

Definition at line 88 of file blackvariancesurface.hpp.

◆ maxDate_

Date maxDate_

private

Definition at line 89 of file blackvariancesurface.hpp.

◆ strikes_

std::vector<Real> strikes_

private

Definition at line 90 of file blackvariancesurface.hpp.

◆ times_

std::vector<Time> times_

private

Definition at line 91 of file blackvariancesurface.hpp.

◆ variances_

Matrix variances_

private

Definition at line 92 of file blackvariancesurface.hpp.

◆ varianceSurface_

Interpolation2D varianceSurface_

private

Definition at line 93 of file blackvariancesurface.hpp.

◆ lowerExtrapolation_

Extrapolation lowerExtrapolation_

private

Definition at line 94 of file blackvariancesurface.hpp.

◆ upperExtrapolation_

Extrapolation upperExtrapolation_

private

Definition at line 94 of file blackvariancesurface.hpp.

Public Types

Public Member Functions

Visitability

Additional Inherited Members

Detailed Description

Member Enumeration Documentation

◆ Extrapolation

Constructor & Destructor Documentation

◆ BlackVarianceSurface()

Member Function Documentation

◆ dayCounter()

◆ maxDate()

◆ minStrike()

◆ maxStrike()

◆ setInterpolation()

◆ accept()

◆ blackVarianceImpl()

Member Data Documentation

◆ dayCounter_

◆ maxDate_

◆ strikes_

◆ times_

◆ variances_

◆ varianceSurface_

◆ lowerExtrapolation_

◆ upperExtrapolation_