#include <noexceptlocalvolsurface.hpp>
Inheritance diagram for NoExceptLocalVolSurface:
Collaboration diagram for NoExceptLocalVolSurface:
Public Member Functions | |
| NoExceptLocalVolSurface (const Handle< BlackVolTermStructure > &blackTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< YieldTermStructure > ÷ndTS, const Handle< Quote > &underlying, Real illegalLocalVolOverwrite) | |
| NoExceptLocalVolSurface (const Handle< BlackVolTermStructure > &blackTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< YieldTermStructure > ÷ndTS, Real underlying, Real illegalLocalVolOverwrite) | |
| Public Member Functions inherited from LocalVolSurface | |
| LocalVolSurface (const Handle< BlackVolTermStructure > &blackTS, Handle< YieldTermStructure > riskFreeTS, Handle< YieldTermStructure > dividendTS, Handle< Quote > underlying) | |
| LocalVolSurface (const Handle< BlackVolTermStructure > &blackTS, Handle< YieldTermStructure > riskFreeTS, Handle< YieldTermStructure > dividendTS, Real underlying) | |
| const Date & | referenceDate () const override |
| the date at which discount = 1.0 and/or variance = 0.0 More... | |
| 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... | |
| 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... | |
| void | accept (AcyclicVisitor &) override |
| 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 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... | |
Protected Member Functions | |
| Volatility | localVolImpl (Time t, Real s) const override |
| local vol calculation More... | |
| Protected Member Functions inherited from LocalVolSurface | |
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 Real | illegalLocalVolOverwrite_ |
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 32 of file noexceptlocalvolsurface.hpp.
Constructor & Destructor Documentation
◆ NoExceptLocalVolSurface() [1/2]
| NoExceptLocalVolSurface | ( | const Handle< BlackVolTermStructure > & | blackTS, |
| const Handle< YieldTermStructure > & | riskFreeTS, | ||
| const Handle< YieldTermStructure > & | dividendTS, | ||
| const Handle< Quote > & | underlying, | ||
| Real | illegalLocalVolOverwrite | ||
| ) |
Definition at line 34 of file noexceptlocalvolsurface.hpp.
◆ NoExceptLocalVolSurface() [2/2]
| NoExceptLocalVolSurface | ( | const Handle< BlackVolTermStructure > & | blackTS, |
| const Handle< YieldTermStructure > & | riskFreeTS, | ||
| const Handle< YieldTermStructure > & | dividendTS, | ||
| Real | underlying, | ||
| Real | illegalLocalVolOverwrite | ||
| ) |
Definition at line 42 of file noexceptlocalvolsurface.hpp.
Member Function Documentation
◆ localVolImpl()
|
overrideprotectedvirtual |
local vol calculation
Reimplemented from LocalVolSurface.
Definition at line 51 of file noexceptlocalvolsurface.hpp.
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Member Data Documentation
◆ illegalLocalVolOverwrite_
|
private |
Definition at line 63 of file noexceptlocalvolsurface.hpp.