Black volatility surface modelled as variance surface. More...

#include <extendedblackvariancesurface.hpp>

Inheritance diagram for ExtendedBlackVarianceSurface:

Collaboration diagram for ExtendedBlackVarianceSurface:

Public Types
enum	Extrapolation { ConstantExtrapolation , InterpolatorDefaultExtrapolation }

Public Types inherited from Observer
typedef set_type::iterator	iterator

Public Member Functions
	ExtendedBlackVarianceSurface (const Date &referenceDate, const Calendar &calendar, const std::vector< Date > &dates, std::vector< Real > strikes, const std::vector< Handle< Quote > > &volatilities, DayCounter dayCounter, Extrapolation lowerExtrapolation=InterpolatorDefaultExtrapolation, Extrapolation upperExtrapolation=InterpolatorDefaultExtrapolation)

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...

template<class Interpolator >
void	setInterpolation (const Interpolator &i=Interpolator())

void	accept (AcyclicVisitor &) override

void	update () override

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

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

	BlackVarianceTermStructure (Natural settlementDays, const Calendar &, 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

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...

Private Member Functions
Real	blackVarianceImpl (Time t, Real strike) const override
	Black variance calculation. More...

void	setVariances ()

Private Attributes
DayCounter	dayCounter_

Date	maxDate_

const std::vector< Handle< Quote > > &	volatilities_

std::vector< Real >	strikes_

std::vector< Time >	times_

Matrix	variances_

Interpolation2D	varianceSurface_

Extrapolation	lowerExtrapolation_

Extrapolation	upperExtrapolation_

Additional Inherited Members
Protected Member Functions inherited from BlackVarianceTermStructure
Volatility	blackVolImpl (Time t, 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...

Protected Attributes inherited from TermStructure
bool	moving_ = false

bool	updated_ = true

Calendar	calendar_

Detailed Description

Black volatility surface modelled as variance surface.

This class is similar to BlackVarianceSurface, but extends it to use quotes for the input volatilities.

Definition at line 39 of file extendedblackvariancesurface.hpp.

Member Enumeration Documentation

◆ Extrapolation

enum Extrapolation

Enumerator
ConstantExtrapolation
InterpolatorDefaultExtrapolation

Definition at line 41 of file extendedblackvariancesurface.hpp.

Constructor & Destructor Documentation

◆ ExtendedBlackVarianceSurface()

ExtendedBlackVarianceSurface	(	const Date &	referenceDate,
		const Calendar &	calendar,
		const std::vector< Date > &	dates,
		std::vector< Real >	strikes,
		const std::vector< Handle< Quote > > &	volatilities,
		DayCounter	dayCounter,
		ExtendedBlackVarianceSurface::Extrapolation	lowerEx = `InterpolatorDefaultExtrapolation`,
		ExtendedBlackVarianceSurface::Extrapolation	upperEx = `InterpolatorDefaultExtrapolation`
	)

Definition at line 26 of file extendedblackvariancesurface.cpp.

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Member Function Documentation

◆ dayCounter()

DayCounter dayCounter ( ) const

overridevirtual

the day counter used for date/time conversion

Reimplemented from TermStructure.

Definition at line 52 of file extendedblackvariancesurface.hpp.

◆ maxDate()

Date maxDate ( ) const

overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

Definition at line 53 of file extendedblackvariancesurface.hpp.

◆ minStrike()

Real minStrike ( ) const

overridevirtual

the minimum strike for which the term structure can return vols

Implements VolatilityTermStructure.

Definition at line 54 of file extendedblackvariancesurface.hpp.

◆ maxStrike()

Real maxStrike ( ) const

overridevirtual

the maximum strike for which the term structure can return vols

Implements VolatilityTermStructure.

Definition at line 55 of file extendedblackvariancesurface.hpp.

◆ setInterpolation()

void setInterpolation ( const Interpolator & i = Interpolator() )

Definition at line 57 of file extendedblackvariancesurface.hpp.

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◆ accept()

void accept ( AcyclicVisitor & v )

overridevirtual

Reimplemented from BlackVolTermStructure.

Definition at line 81 of file extendedblackvariancesurface.hpp.

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◆ 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 80 of file extendedblackvariancesurface.cpp.

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