#include <ql/experimental/volatility/sabrvoltermstructure.hpp>

Inheritance diagram for SABRVolTermStructure:

Collaboration diagram for SABRVolTermStructure:

Public Member Functions
	SABRVolTermStructure (Real alpha, Real beta, Real gamma, Real rho, Real s0, Real r, const Date &referenceDate, const DayCounter &dc)

Date	maxDate () const override
	the latest date for which the curve can return values More...

Rate	minStrike () const override
	the minimum strike for which the term structure can return vols More...

Rate	maxStrike () const override
	the maximum strike for which the term structure can return vols More...

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

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

	BlackVolatilityTermStructure (Natural settlementDays, const Calendar &cal, 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

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...

Protected Member Functions
Volatility	blackVolImpl (Time t, Real strike) const override
	Black volatility calculation. More...

Protected Member Functions inherited from BlackVolatilityTermStructure
Real	blackVarianceImpl (Time maturity, 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...

Private Attributes
Real	alpha_

Real	beta_

Real	gamma_

Real	rho_

Real	s0_

Real	r_

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 33 of file sabrvoltermstructure.hpp.

Constructor & Destructor Documentation

◆ SABRVolTermStructure()

SABRVolTermStructure	(	Real	alpha,
		Real	beta,
		Real	gamma,
		Real	rho,
		Real	s0,
		Real	r,
		const Date &	referenceDate,
		const DayCounter &	dc
	)

Definition at line 35 of file sabrvoltermstructure.hpp.

Member Function Documentation

◆ maxDate()

Date maxDate ( ) const

overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

Definition at line 46 of file sabrvoltermstructure.hpp.

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◆ minStrike()

Rate minStrike ( ) const

overridevirtual

the minimum strike for which the term structure can return vols

Implements VolatilityTermStructure.

Definition at line 47 of file sabrvoltermstructure.hpp.

◆ maxStrike()

Rate maxStrike ( ) const

overridevirtual

the maximum strike for which the term structure can return vols

Implements VolatilityTermStructure.

Definition at line 48 of file sabrvoltermstructure.hpp.

◆ blackVolImpl()

Volatility blackVolImpl	(	Time	t,
		Real	strike
	)		const

overrideprotectedvirtual

Black volatility calculation.

Implements BlackVolTermStructure.

Definition at line 51 of file sabrvoltermstructure.hpp.

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Member Data Documentation

◆ alpha_

Real alpha_

private

Definition at line 57 of file sabrvoltermstructure.hpp.

◆ beta_

Real beta_

private

Definition at line 57 of file sabrvoltermstructure.hpp.

◆ gamma_

Real gamma_

private

Definition at line 57 of file sabrvoltermstructure.hpp.

◆ rho_

Real rho_

private

Definition at line 57 of file sabrvoltermstructure.hpp.

◆ s0_

Real s0_

private

Definition at line 57 of file sabrvoltermstructure.hpp.

◆ r_

Real r_

private

Definition at line 57 of file sabrvoltermstructure.hpp.

Public Member Functions

Protected Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ SABRVolTermStructure()

Member Function Documentation

◆ maxDate()

◆ minStrike()

◆ maxStrike()

◆ blackVolImpl()

Member Data Documentation

◆ alpha_

◆ beta_

◆ gamma_

◆ rho_

◆ s0_

◆ r_