QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <sabrinterpolatedsmilesection.hpp>
Public Member Functions | |
Constructors | |
SabrInterpolatedSmileSection (const Date &optionDate, Handle< Quote > forward, const std::vector< Rate > &strikes, bool hasFloatingStrikes, Handle< Quote > atmVolatility, const std::vector< Handle< Quote > > &volHandles, Real alpha, Real beta, Real nu, Real rho, bool isAlphaFixed=false, bool isBetaFixed=false, bool isNuFixed=false, bool isRhoFixed=false, bool vegaWeighted=true, ext::shared_ptr< EndCriteria > endCriteria=ext::shared_ptr< EndCriteria >(), ext::shared_ptr< OptimizationMethod > method=ext::shared_ptr< OptimizationMethod >(), const DayCounter &dc=Actual365Fixed(), Real shift=0.0) | |
all market data are quotes More... | |
SabrInterpolatedSmileSection (const Date &optionDate, const Rate &forward, const std::vector< Rate > &strikes, bool hasFloatingStrikes, const Volatility &atmVolatility, const std::vector< Volatility > &vols, Real alpha, Real beta, Real nu, Real rho, bool isAlphaFixed=false, bool isBetaFixed=false, bool isNuFixed=false, bool isRhoFixed=false, bool vegaWeighted=true, ext::shared_ptr< EndCriteria > endCriteria=ext::shared_ptr< EndCriteria >(), ext::shared_ptr< OptimizationMethod > method=ext::shared_ptr< OptimizationMethod >(), const DayCounter &dc=Actual365Fixed(), Real shift=0.0) | |
no quotes More... | |
LazyObject interface | |
void | performCalculations () const override |
void | update () override |
SmileSection interface | |
Real | minStrike () const override |
Real | maxStrike () const override |
Real | atmLevel () const override |
Real | varianceImpl (Rate strike) const override |
Volatility | volatilityImpl (Rate strike) const override |
Public Member Functions inherited from SmileSection | |
SmileSection (const Date &d, DayCounter dc=DayCounter(), const Date &referenceDate=Date(), VolatilityType type=ShiftedLognormal, Rate shift=0.0) | |
SmileSection (Time exerciseTime, DayCounter dc=DayCounter(), VolatilityType type=ShiftedLognormal, Rate shift=0.0) | |
SmileSection ()=default | |
~SmileSection () override=default | |
void | update () override |
virtual Real | minStrike () const =0 |
virtual Real | maxStrike () const =0 |
Real | variance (Rate strike) const |
Volatility | volatility (Rate strike) const |
virtual Real | atmLevel () const =0 |
virtual const Date & | exerciseDate () const |
virtual VolatilityType | volatilityType () const |
virtual Rate | shift () const |
virtual const Date & | referenceDate () const |
virtual Time | exerciseTime () const |
virtual const DayCounter & | dayCounter () const |
virtual Real | optionPrice (Rate strike, Option::Type type=Option::Call, Real discount=1.0) const |
virtual Real | digitalOptionPrice (Rate strike, Option::Type type=Option::Call, Real discount=1.0, Real gap=1.0e-5) const |
virtual Real | vega (Rate strike, Real discount=1.0) const |
virtual Real | density (Rate strike, Real discount=1.0, Real gap=1.0E-4) const |
Volatility | volatility (Rate strike, VolatilityType type, Real shift=0.0) const |
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 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 LazyObject | |
LazyObject () | |
~LazyObject () override=default | |
bool | isCalculated () const |
void | forwardFirstNotificationOnly () |
void | alwaysForwardNotifications () |
void | recalculate () |
void | freeze () |
void | unfreeze () |
Inspectors | |
ext::shared_ptr< SABRInterpolation > | sabrInterpolation_ |
const Handle< Quote > | forward_ |
Market data. More... | |
const Handle< Quote > | atmVolatility_ |
std::vector< Handle< Quote > > | volHandles_ |
std::vector< Rate > | strikes_ |
std::vector< Rate > | actualStrikes_ |
Only strikes corresponding to valid market data. More... | |
bool | hasFloatingStrikes_ |
Real | forwardValue_ |
std::vector< Volatility > | vols_ |
Real | alpha_ |
Sabr parameters. More... | |
Real | beta_ |
Real | nu_ |
Real | rho_ |
bool | isAlphaFixed_ |
Sabr interpolation settings. More... | |
bool | isBetaFixed_ |
bool | isNuFixed_ |
bool | isRhoFixed_ |
bool | vegaWeighted_ |
const ext::shared_ptr< EndCriteria > | endCriteria_ |
const ext::shared_ptr< OptimizationMethod > | method_ |
Date | evaluationDate_ |
Real | alpha () const |
Real | beta () const |
Real | nu () const |
Real | rho () const |
Real | rmsError () const |
Real | maxError () const |
EndCriteria::Type | endCriteria () const |
void | createInterpolation () const |
Creates the mutable SABRInterpolation. More... | |
Additional Inherited Members | |
Public Types inherited from Observer | |
typedef set_type::iterator | iterator |
Protected Member Functions inherited from SmileSection | |
virtual void | initializeExerciseTime () const |
virtual Real | varianceImpl (Rate strike) const |
virtual Volatility | volatilityImpl (Rate strike) const =0 |
Protected Member Functions inherited from LazyObject | |
virtual void | calculate () const |
Protected Attributes inherited from LazyObject | |
bool | calculated_ = false |
bool | frozen_ = false |
bool | alwaysForward_ |
Definition at line 38 of file sabrinterpolatedsmilesection.hpp.
SabrInterpolatedSmileSection | ( | const Date & | optionDate, |
Handle< Quote > | forward, | ||
const std::vector< Rate > & | strikes, | ||
bool | hasFloatingStrikes, | ||
Handle< Quote > | atmVolatility, | ||
const std::vector< Handle< Quote > > & | volHandles, | ||
Real | alpha, | ||
Real | beta, | ||
Real | nu, | ||
Real | rho, | ||
bool | isAlphaFixed = false , |
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bool | isBetaFixed = false , |
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bool | isNuFixed = false , |
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bool | isRhoFixed = false , |
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bool | vegaWeighted = true , |
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ext::shared_ptr< EndCriteria > | endCriteria = ext::shared_ptr<EndCriteria>() , |
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ext::shared_ptr< OptimizationMethod > | method = ext::shared_ptr<OptimizationMethod>() , |
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const DayCounter & | dc = Actual365Fixed() , |
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Real | shift = 0.0 |
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) |
all market data are quotes
Definition at line 29 of file sabrinterpolatedsmilesection.cpp.
SabrInterpolatedSmileSection | ( | const Date & | optionDate, |
const Rate & | forward, | ||
const std::vector< Rate > & | strikes, | ||
bool | hasFloatingStrikes, | ||
const Volatility & | atmVolatility, | ||
const std::vector< Volatility > & | vols, | ||
Real | alpha, | ||
Real | beta, | ||
Real | nu, | ||
Real | rho, | ||
bool | isAlphaFixed = false , |
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bool | isBetaFixed = false , |
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bool | isNuFixed = false , |
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bool | isRhoFixed = false , |
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bool | vegaWeighted = true , |
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ext::shared_ptr< EndCriteria > | endCriteria = ext::shared_ptr<EndCriteria>() , |
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ext::shared_ptr< OptimizationMethod > | method = ext::shared_ptr<OptimizationMethod>() , |
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const DayCounter & | dc = Actual365Fixed() , |
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Real | shift = 0.0 |
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) |
no quotes
Definition at line 63 of file sabrinterpolatedsmilesection.cpp.
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overridevirtual |
This method must implement any calculations which must be (re)done in order to calculate the desired results.
Implements LazyObject.
Definition at line 107 of file sabrinterpolatedsmilesection.cpp.
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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.
Reimplemented from LazyObject.
Definition at line 138 of file sabrinterpolatedsmilesection.hpp.
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overridevirtual |
Implements SmileSection.
Definition at line 183 of file sabrinterpolatedsmilesection.hpp.
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overridevirtual |
Implements SmileSection.
Definition at line 189 of file sabrinterpolatedsmilesection.hpp.
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overridevirtual |
Implements SmileSection.
Definition at line 194 of file sabrinterpolatedsmilesection.hpp.
Reimplemented from SmileSection.
Definition at line 129 of file sabrinterpolatedsmilesection.cpp.
Implements SmileSection.
Definition at line 143 of file sabrinterpolatedsmilesection.hpp.
Real alpha | ( | ) | const |
Definition at line 148 of file sabrinterpolatedsmilesection.hpp.
Real beta | ( | ) | const |
Definition at line 153 of file sabrinterpolatedsmilesection.hpp.
Real nu | ( | ) | const |
Definition at line 158 of file sabrinterpolatedsmilesection.hpp.
Real rho | ( | ) | const |
Definition at line 163 of file sabrinterpolatedsmilesection.hpp.
Real rmsError | ( | ) | const |
Definition at line 168 of file sabrinterpolatedsmilesection.hpp.
Real maxError | ( | ) | const |
Definition at line 173 of file sabrinterpolatedsmilesection.hpp.
EndCriteria::Type endCriteria | ( | ) | const |
Definition at line 178 of file sabrinterpolatedsmilesection.hpp.
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protected |
Creates the mutable SABRInterpolation.
Definition at line 97 of file sabrinterpolatedsmilesection.cpp.
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mutableprotected |
Definition at line 114 of file sabrinterpolatedsmilesection.hpp.
Market data.
Definition at line 117 of file sabrinterpolatedsmilesection.hpp.
Definition at line 118 of file sabrinterpolatedsmilesection.hpp.
Definition at line 119 of file sabrinterpolatedsmilesection.hpp.
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Definition at line 120 of file sabrinterpolatedsmilesection.hpp.
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mutableprotected |
Only strikes corresponding to valid market data.
Definition at line 122 of file sabrinterpolatedsmilesection.hpp.
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Definition at line 123 of file sabrinterpolatedsmilesection.hpp.
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mutableprotected |
Definition at line 125 of file sabrinterpolatedsmilesection.hpp.
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mutableprotected |
Definition at line 126 of file sabrinterpolatedsmilesection.hpp.
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Sabr parameters.
Definition at line 128 of file sabrinterpolatedsmilesection.hpp.
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Definition at line 128 of file sabrinterpolatedsmilesection.hpp.
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Definition at line 128 of file sabrinterpolatedsmilesection.hpp.
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Definition at line 128 of file sabrinterpolatedsmilesection.hpp.
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Sabr interpolation settings.
Definition at line 130 of file sabrinterpolatedsmilesection.hpp.
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Definition at line 130 of file sabrinterpolatedsmilesection.hpp.
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Definition at line 130 of file sabrinterpolatedsmilesection.hpp.
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Definition at line 130 of file sabrinterpolatedsmilesection.hpp.
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Definition at line 131 of file sabrinterpolatedsmilesection.hpp.
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Definition at line 132 of file sabrinterpolatedsmilesection.hpp.
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Definition at line 133 of file sabrinterpolatedsmilesection.hpp.
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mutableprotected |
Definition at line 135 of file sabrinterpolatedsmilesection.hpp.