AbcdAtmVolCurve Class Reference

Abcd-interpolated at-the-money (no-smile) volatility curve. More...

#include <abcdatmvolcurve.hpp>

Inheritance diagram for AbcdAtmVolCurve:

Collaboration diagram for AbcdAtmVolCurve:

Public Member Functions
	AbcdAtmVolCurve (Natural settlementDays, const Calendar &cal, const std::vector< Period > &optionTenors, const std::vector< Handle< Quote > > &volsHandles, std::vector< bool > inclusionInInterpolationFlag=std::vector< bool >(1, true), BusinessDayConvention bdc=Following, const DayCounter &dc=Actual365Fixed())
	floating reference date, floating market data More...
std::vector< Real >	k () const
	Returns k adjustment factors for option tenors used in interpolation. More...
Real	k (Time t) const
	Returns k adjustment factor at time t. More...
Real	a () const
Real	b () const
Real	c () const
Real	d () const
Real	rmsError () const
Real	maxError () const
EndCriteria::Type	endCriteria () const
TermStructure interface
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...
LazyObject interface
void	update () override
void	performCalculations () const override
some inspectors
const std::vector< Period > &	optionTenors () const
const std::vector< Period > &	optionTenorsInInterpolation () const
const std::vector< Date > &	optionDates () const
const std::vector< Time > &	optionTimes () const
Visitability
void	accept (AcyclicVisitor &) override
Public Member Functions inherited from BlackAtmVolCurve
	BlackAtmVolCurve (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
	default constructor More...
	BlackAtmVolCurve (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
	initialize with a fixed reference date More...
	BlackAtmVolCurve (Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
	calculate the reference date based on the global evaluation date More...
	~BlackAtmVolCurve () override=default
Volatility	atmVol (const Period &optionTenor, bool extrapolate=false) const
	spot at-the-money volatility More...
Volatility	atmVol (const Date &maturity, bool extrapolate=false) const
	spot at-the-money volatility More...
Volatility	atmVol (Time maturity, bool extrapolate=false) const
	spot at-the-money volatility More...
Real	atmVariance (const Period &optionTenor, bool extrapolate=false) const
	spot at-the-money variance More...
Real	atmVariance (const Date &maturity, bool extrapolate=false) const
	spot at-the-money variance More...
Real	atmVariance (Time maturity, bool extrapolate=false) const
	spot 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
virtual DayCounter	dayCounter () const
	the day counter used for date/time conversion More...
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...
Public Member Functions inherited from LazyObject
	LazyObject ()
	~LazyObject () override=default
void	update () override
bool	isCalculated () const
void	forwardFirstNotificationOnly ()
void	alwaysForwardNotifications ()
void	recalculate ()
void	freeze ()
void	unfreeze ()

BlackAtmVolCurve interface
Size	nOptionTenors_
std::vector< Period >	optionTenors_
std::vector< Period >	actualOptionTenors_
std::vector< Date >	optionDates_
std::vector< Time >	optionTimes_
std::vector< Time >	actualOptionTimes_
Date	evaluationDate_
std::vector< Handle< Quote > >	volHandles_
std::vector< Volatility >	vols_
std::vector< Volatility >	actualVols_
std::vector< bool >	inclusionInInterpolation_
ext::shared_ptr< AbcdInterpolation >	interpolation_
Real	atmVarianceImpl (Time t) const override
	spot at-the-money variance calculation (k adjusted) More...
Volatility	atmVolImpl (Time t) const override
	spot at-the-money volatility calculation (k adjusted) More...
void	checkInputs () const
void	initializeOptionDatesAndTimes () const
void	initializeVolatilities ()
void	registerWithMarketData ()
void	interpolate ()

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 Member Functions inherited from LazyObject
virtual void	calculate () const
Protected Attributes inherited from TermStructure
bool	moving_ = false
bool	updated_ = true
Calendar	calendar_
Protected Attributes inherited from LazyObject
bool	calculated_ = false
bool	frozen_ = false
bool	alwaysForward_

Detailed Description

Abcd-interpolated at-the-money (no-smile) volatility curve.

blah blah

Definition at line 40 of file abcdatmvolcurve.hpp.

Constructor & Destructor Documentation

AbcdAtmVolCurve()

AbcdAtmVolCurve	(	Natural	settlementDays,
		const Calendar &	cal,
		const std::vector< Period > &	optionTenors,
		const std::vector< Handle< Quote > > &	volsHandles,
		std::vector< bool >	inclusionInInterpolationFlag = std::vector<bool>(1, true),
		BusinessDayConvention	bdc = Following,
		const DayCounter &	dc = Actual365Fixed()
	)

floating reference date, floating market data

Definition at line 29 of file abcdatmvolcurve.cpp.

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Member Function Documentation

k() [1/2]

std::vector< Real > k

(

)

const

Returns k adjustment factors for option tenors used in interpolation.

Definition at line 163 of file abcdatmvolcurve.hpp.

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k() [2/2]

Real k

(

Time

t

)

const

Returns k adjustment factor at time t.

Definition at line 168 of file abcdatmvolcurve.hpp.

a()

Real a

(

)

const

Definition at line 172 of file abcdatmvolcurve.hpp.

b()

Real b

(

)

const

Definition at line 176 of file abcdatmvolcurve.hpp.

c()

Real c

(

)

const

Definition at line 180 of file abcdatmvolcurve.hpp.

d()

Real d

(

)

const

Definition at line 184 of file abcdatmvolcurve.hpp.

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rmsError()

Real rmsError

(

)

const

Definition at line 188 of file abcdatmvolcurve.hpp.

maxError()

Real maxError

(

)

const

Definition at line 191 of file abcdatmvolcurve.hpp.

endCriteria()

EndCriteria::Type endCriteria

(

)

const

Definition at line 195 of file abcdatmvolcurve.hpp.

maxDate()

Date maxDate ( ) const

overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

Definition at line 121 of file abcdatmvolcurve.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 126 of file abcdatmvolcurve.hpp.

maxStrike()

Real maxStrike ( ) const

overridevirtual

the maximum strike for which the term structure can return vols

Implements VolatilityTermStructure.

Definition at line 130 of file abcdatmvolcurve.hpp.

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.

Implements Observer.

Definition at line 96 of file abcdatmvolcurve.cpp.

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performCalculations()

void performCalculations ( ) const

overridevirtual

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.

Definition at line 137 of file abcdatmvolcurve.cpp.

optionTenors()

const std::vector< Period > & optionTenors

(

)

const

Definition at line 144 of file abcdatmvolcurve.hpp.

optionTenorsInInterpolation()

const std::vector< Period > & optionTenorsInInterpolation

(

)

const

Definition at line 148 of file abcdatmvolcurve.hpp.

optionDates()

const std::vector< Date > & optionDates

(

)

const

Definition at line 153 of file abcdatmvolcurve.hpp.

optionTimes()

const std::vector< Time > & optionTimes

(

)

const

Definition at line 158 of file abcdatmvolcurve.hpp.

accept()

void accept ( AcyclicVisitor &  v )

overridevirtual

Reimplemented from BlackAtmVolCurve.

Definition at line 88 of file abcdatmvolcurve.cpp.

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atmVarianceImpl()

Real atmVarianceImpl ( Time  t ) const

overrideprotectedvirtual

spot at-the-money variance calculation (k adjusted)

Implements BlackAtmVolCurve.

Definition at line 134 of file abcdatmvolcurve.hpp.

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atmVolImpl()

Volatility atmVolImpl ( Time  t ) const

overrideprotectedvirtual

spot at-the-money volatility calculation (k adjusted)

Implements BlackAtmVolCurve.

Definition at line 139 of file abcdatmvolcurve.hpp.

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checkInputs()

void checkInputs ( ) const

private

Definition at line 50 of file abcdatmvolcurve.cpp.

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initializeOptionDatesAndTimes()

void initializeOptionDatesAndTimes ( ) const

private

Definition at line 110 of file abcdatmvolcurve.cpp.

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initializeVolatilities()

void initializeVolatilities ( )

private

Definition at line 127 of file abcdatmvolcurve.cpp.

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registerWithMarketData()

void registerWithMarketData ( )

private

Definition at line 75 of file abcdatmvolcurve.cpp.

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interpolate()

void interpolate ( )

private

Definition at line 81 of file abcdatmvolcurve.cpp.

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Member Data Documentation

nOptionTenors_

Size nOptionTenors_

private

Definition at line 102 of file abcdatmvolcurve.hpp.

optionTenors_

std::vector<Period> optionTenors_

private

Definition at line 103 of file abcdatmvolcurve.hpp.

actualOptionTenors_

std::vector<Period> actualOptionTenors_

mutableprivate

Definition at line 104 of file abcdatmvolcurve.hpp.

optionDates_

std::vector<Date> optionDates_

mutableprivate

Definition at line 105 of file abcdatmvolcurve.hpp.

optionTimes_

std::vector<Time> optionTimes_

mutableprivate

Definition at line 106 of file abcdatmvolcurve.hpp.

actualOptionTimes_

std::vector<Time> actualOptionTimes_

mutableprivate

Definition at line 107 of file abcdatmvolcurve.hpp.

evaluationDate_

Date evaluationDate_

private

Definition at line 108 of file abcdatmvolcurve.hpp.

volHandles_

std::vector<Handle<Quote> > volHandles_

private

Definition at line 110 of file abcdatmvolcurve.hpp.

vols_

std::vector<Volatility> vols_

mutableprivate

Definition at line 111 of file abcdatmvolcurve.hpp.

actualVols_

std::vector<Volatility> actualVols_

mutableprivate

Definition at line 112 of file abcdatmvolcurve.hpp.

inclusionInInterpolation_

std::vector<bool> inclusionInInterpolation_

mutableprivate

Definition at line 114 of file abcdatmvolcurve.hpp.

interpolation_

ext::shared_ptr<AbcdInterpolation> interpolation_

private

Definition at line 116 of file abcdatmvolcurve.hpp.