Local volatility curve derived from a Black curve. More...
#include <ql/termstructures/volatility/equityfx/localvolcurve.hpp>
Inheritance diagram for LocalVolCurve:
Collaboration diagram for LocalVolCurve:
Public Member Functions | |
| LocalVolCurve (const Handle< BlackVarianceCurve > &curve) | |
TermStructure interface | |
| const Date & | referenceDate () const override |
| the date at which discount = 1.0 and/or variance = 0.0 More... | |
| Calendar | calendar () const override |
| the calendar used for reference and/or option date calculation 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... | |
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... | |
| 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 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 | |
| Handle< BlackVarianceCurve > | blackVarianceCurve_ |
| void | accept (AcyclicVisitor &) override |
| Volatility | localVolImpl (Time, Real) const override |
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 Attributes inherited from TermStructure | |
| bool | moving_ = false |
| bool | updated_ = true |
| Calendar | calendar_ |
Detailed Description
Local volatility curve derived from a Black curve.
Definition at line 33 of file localvolcurve.hpp.
Constructor & Destructor Documentation
◆ LocalVolCurve()
| LocalVolCurve | ( | const Handle< BlackVarianceCurve > & | curve | ) |
Member Function Documentation
◆ referenceDate()
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overridevirtual |
the date at which discount = 1.0 and/or variance = 0.0
Reimplemented from TermStructure.
Definition at line 43 of file localvolcurve.hpp.
◆ calendar()
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overridevirtual |
the calendar used for reference and/or option date calculation
Reimplemented from TermStructure.
Definition at line 44 of file localvolcurve.hpp.
◆ dayCounter()
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overridevirtual |
the day counter used for date/time conversion
Reimplemented from TermStructure.
Definition at line 45 of file localvolcurve.hpp.
◆ maxDate()
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overridevirtual |
the latest date for which the curve can return values
Implements TermStructure.
Definition at line 46 of file localvolcurve.hpp.
◆ minStrike()
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overridevirtual |
the minimum strike for which the term structure can return vols
Implements VolatilityTermStructure.
Definition at line 50 of file localvolcurve.hpp.
◆ maxStrike()
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overridevirtual |
the maximum strike for which the term structure can return vols
Implements VolatilityTermStructure.
Definition at line 51 of file localvolcurve.hpp.
◆ accept()
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overridevirtual |
Reimplemented from LocalVolTermStructure.
Definition at line 68 of file localvolcurve.hpp.
Here is the call graph for this function:
◆ localVolImpl()
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overrideprotectedvirtual |
The relation
\[ \int_0^T \sigma_L^2(t)dt = \sigma_B^2 T \]
holds, where \( \sigma_L(t) \) is the local volatility at time \( t \) and \( \sigma_B(T) \) is the Black volatility for maturity \( T \). From the above, the formula
\[ \sigma_L(t) = \sqrt{\frac{\mathrm{d}}{\mathrm{d}t}\sigma_B^2(t)t} \]
can be deduced which is here implemented.
Implements LocalVolTermStructure.
Definition at line 88 of file localvolcurve.hpp.
Member Data Documentation
◆ blackVarianceCurve_
|
private |
Definition at line 61 of file localvolcurve.hpp.