Local volatility surface derived from a Black vol surface. More...

#include <localvolsurface.hpp>

Inheritance diagram for LocalVolSurface:

Collaboration diagram for LocalVolSurface:

Public Member Functions
	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)

TermStructure interface
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...

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 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...

Visitability
Handle< BlackVolTermStructure >	blackTS_

Handle< YieldTermStructure >	riskFreeTS_

Handle< YieldTermStructure >	dividendTS_

Handle< Quote >	underlying_

void	accept (AcyclicVisitor &) override

Volatility	localVolImpl (Time, Real) const override
	local vol calculation More...

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 surface derived from a Black vol surface.

For details about this implementation refer to "Stochastic Volatility and Local Volatility," in "Case Studies and Financial Modelling Course Notes," by Jim Gatheral, Fall Term, 2003

see www.math.nyu.edu/fellows_fin_math/gatheral/Lecture1_Fall02.pdf

Bug:: this class is untested, probably unreliable.

Definition at line 45 of file localvolsurface.hpp.

Constructor & Destructor Documentation

◆ LocalVolSurface() [1/2]

LocalVolSurface	(	const Handle< BlackVolTermStructure > &	blackTS,
		Handle< YieldTermStructure >	riskFreeTS,
		Handle< YieldTermStructure >	dividendTS,
		Handle< Quote >	underlying
	)

Definition at line 49 of file localvolsurface.cpp.

Here is the call graph for this function:

◆ LocalVolSurface() [2/2]

LocalVolSurface	(	const Handle< BlackVolTermStructure > &	blackTS,
		Handle< YieldTermStructure >	riskFreeTS,
		Handle< YieldTermStructure >	dividendTS,
		Real	underlying
	)

Definition at line 62 of file localvolsurface.cpp.

Here is the call graph for this function:

Member Function Documentation

◆ referenceDate()

const Date & referenceDate ( ) const

overridevirtual

the date at which discount = 1.0 and/or variance = 0.0

Reimplemented from TermStructure.

Definition at line 29 of file localvolsurface.cpp.

◆ dayCounter()

DayCounter dayCounter ( ) const

overridevirtual

the day counter used for date/time conversion

Reimplemented from TermStructure.

Definition at line 33 of file localvolsurface.cpp.

◆ maxDate()

Date maxDate ( ) const

overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

Definition at line 37 of file localvolsurface.cpp.

◆ minStrike()

Real minStrike ( ) const

overridevirtual

the minimum strike for which the term structure can return vols

Implements VolatilityTermStructure.

Definition at line 41 of file localvolsurface.cpp.

◆ maxStrike()

Real maxStrike ( ) const

overridevirtual

the maximum strike for which the term structure can return vols

Implements VolatilityTermStructure.

Definition at line 45 of file localvolsurface.cpp.

◆ accept()

void accept ( AcyclicVisitor & v )

overridevirtual

Reimplemented from LocalVolTermStructure.

Definition at line 74 of file localvolsurface.cpp.

Here is the call graph for this function:

◆ localVolImpl()

Volatility localVolImpl	(	Time	t,
		Real	strike
	)		const

overrideprotectedvirtual

local vol calculation

Implements LocalVolTermStructure.

Reimplemented in NoExceptLocalVolSurface.

Definition at line 82 of file localvolsurface.cpp.

Here is the caller graph for this function:

Member Data Documentation

◆ blackTS_

Handle<BlackVolTermStructure> blackTS_

private

Definition at line 74 of file localvolsurface.hpp.

◆ riskFreeTS_

Handle<YieldTermStructure> riskFreeTS_

private

Definition at line 75 of file localvolsurface.hpp.

◆ dividendTS_

Handle<YieldTermStructure> dividendTS_

private

Definition at line 75 of file localvolsurface.hpp.

◆ underlying_

Handle<Quote> underlying_

private

Definition at line 76 of file localvolsurface.hpp.

Public Member Functions

Visitability

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ LocalVolSurface() [1/2]

◆ LocalVolSurface() [2/2]

Member Function Documentation

◆ referenceDate()

◆ dayCounter()

◆ maxDate()

◆ minStrike()

◆ maxStrike()

◆ accept()

◆ localVolImpl()

Member Data Documentation

◆ blackTS_

◆ riskFreeTS_

◆ dividendTS_

◆ underlying_