ZabrSmileSection< Evaluation > Class Template Reference

#include <zabrsmilesection.hpp>

Inheritance diagram for ZabrSmileSection< Evaluation >:

Collaboration diagram for ZabrSmileSection< Evaluation >:

Public Member Functions
	ZabrSmileSection (Time timeToExpiry, Rate forward, std::vector< Real > zabrParameters, const std::vector< Real > &moneyness=std::vector< Real >(), Size fdRefinement=5)
	ZabrSmileSection (const Date &d, Rate forward, std::vector< Real > zabrParameters, const DayCounter &dc=Actual365Fixed(), const std::vector< Real > &moneyness=std::vector< Real >(), Size fdRefinement=5)
Real	minStrike () const override
Real	maxStrike () const override
Real	atmLevel () const override
Real	optionPrice (Rate strike, Option::Type type=Option::Call, Real discount=1.0) const override
ext::shared_ptr< ZabrModel >	model ()
Public Member Functions inherited from SmileSection
	SmileSection (const Date &d, DayCounter dc=DayCounter(), const Date &referenceDate=Date(), VolatilityType type=ShiftedLognormal, Rate shift=0.0)
	SmileSection (Time exerciseTime, DayCounter dc=DayCounter(), VolatilityType type=ShiftedLognormal, Rate shift=0.0)
	SmileSection ()=default
	~SmileSection () override=default
void	update () override
virtual Real	minStrike () const =0
virtual Real	maxStrike () const =0
Real	variance (Rate strike) const
Volatility	volatility (Rate strike) const
virtual Real	atmLevel () const =0
virtual const Date &	exerciseDate () const
virtual VolatilityType	volatilityType () const
virtual Rate	shift () const
virtual const Date &	referenceDate () const
virtual Time	exerciseTime () const
virtual const DayCounter &	dayCounter () const
virtual Real	optionPrice (Rate strike, Option::Type type=Option::Call, Real discount=1.0) const
virtual Real	digitalOptionPrice (Rate strike, Option::Type type=Option::Call, Real discount=1.0, Real gap=1.0e-5) const
virtual Real	vega (Rate strike, Real discount=1.0) const
virtual Real	density (Rate strike, Real discount=1.0, Real gap=1.0E-4) const
Volatility	volatility (Rate strike, VolatilityType type, Real shift=0.0) const
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 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 ()

Protected Member Functions
Volatility	volatilityImpl (Rate strike) const override
Protected Member Functions inherited from SmileSection
virtual void	initializeExerciseTime () const
virtual Real	varianceImpl (Rate strike) const
virtual Volatility	volatilityImpl (Rate strike) const =0

Private Member Functions
void	init (const std::vector< Real > &moneyness)
void	init (const std::vector< Real > &moneyness, ZabrShortMaturityLognormal)
void	init (const std::vector< Real > &moneyness, ZabrShortMaturityNormal)
void	init (const std::vector< Real > &moneyness, ZabrLocalVolatility)
void	init (const std::vector< Real > &moneyness, ZabrFullFd)
void	init2 (ZabrShortMaturityLognormal)
void	init2 (ZabrShortMaturityNormal)
void	init2 (ZabrLocalVolatility)
void	init2 (ZabrFullFd)
void	init3 (ZabrShortMaturityLognormal)
void	init3 (ZabrShortMaturityNormal)
void	init3 (ZabrLocalVolatility)
void	init3 (ZabrFullFd)
Real	optionPrice (Rate strike, Option::Type type, Real discount, ZabrShortMaturityLognormal) const
Real	optionPrice (Rate strike, Option::Type type, Real discount, ZabrShortMaturityNormal) const
Real	optionPrice (Rate strike, Option::Type type, Real discount, ZabrLocalVolatility) const
Real	optionPrice (Rate strike, Option::Type type, Real discount, ZabrFullFd) const
Volatility	volatilityImpl (Rate strike, ZabrShortMaturityLognormal) const
Volatility	volatilityImpl (Rate strike, ZabrShortMaturityNormal) const
Volatility	volatilityImpl (Rate strike, ZabrLocalVolatility) const
Volatility	volatilityImpl (Rate strike, ZabrFullFd) const

Private Attributes
ext::shared_ptr< ZabrModel >	model_
Evaluation	evaluation_
Rate	forward_
std::vector< Real >	params_
const Size	fdRefinement_
std::vector< Real >	strikes_
std::vector< Real >	callPrices_
ext::shared_ptr< Interpolation >	callPriceFct_
Real	a_
Real	b_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Detailed Description

template<typename Evaluation>
class QuantLib::ZabrSmileSection< Evaluation >

Definition at line 46 of file zabrsmilesection.hpp.

Constructor & Destructor Documentation

ZabrSmileSection() [1/2]

ZabrSmileSection	(	Time	timeToExpiry,
		Rate	forward,
		std::vector< Real >	zabrParameters,
		const std::vector< Real > &	moneyness = std::vector<Real>(),
		Size	fdRefinement = 5
	)

Definition at line 116 of file zabrsmilesection.hpp.

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ZabrSmileSection() [2/2]

ZabrSmileSection	(	const Date &	d,
		Rate	forward,
		std::vector< Real >	zabrParameters,
		const DayCounter &	dc = Actual365Fixed(),
		const std::vector< Real > &	moneyness = std::vector<Real>(),
		Size	fdRefinement = 5
	)

Definition at line 127 of file zabrsmilesection.hpp.

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Member Function Documentation

minStrike()

Real minStrike ( ) const

overridevirtual

Implements SmileSection.

Definition at line 60 of file zabrsmilesection.hpp.

maxStrike()

Real maxStrike ( ) const

overridevirtual

Implements SmileSection.

Definition at line 61 of file zabrsmilesection.hpp.

atmLevel()

Real atmLevel ( ) const

overridevirtual

Implements SmileSection.

Definition at line 62 of file zabrsmilesection.hpp.

optionPrice() [1/5]

Real optionPrice ( Rate  strike, Option::Type  type = Option::Call, Real  discount = 1.0  ) const

overridevirtual

Reimplemented from SmileSection.

Definition at line 64 of file zabrsmilesection.hpp.

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model()

ext::shared_ptr< ZabrModel > model

(

)

Definition at line 68 of file zabrsmilesection.hpp.

volatilityImpl() [1/5]

Volatility volatilityImpl ( Rate  strike ) const

overrideprotectedvirtual

Implements SmileSection.

Definition at line 71 of file zabrsmilesection.hpp.

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init() [1/5]

void init ( const std::vector< Real > &  moneyness )

private

Definition at line 76 of file zabrsmilesection.hpp.

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init() [2/5]

void init ( const std::vector< Real > &  moneyness, ZabrShortMaturityLognormal    )

private

Definition at line 139 of file zabrsmilesection.hpp.

init() [3/5]

void init ( const std::vector< Real > &  moneyness, ZabrShortMaturityNormal    )

private

Definition at line 148 of file zabrsmilesection.hpp.

init() [4/5]

void init ( const std::vector< Real > &  moneyness, ZabrLocalVolatility    )

private

Definition at line 154 of file zabrsmilesection.hpp.

init() [5/5]

void init ( const std::vector< Real > &  moneyness, ZabrFullFd    )

private

Definition at line 197 of file zabrsmilesection.hpp.

init2() [1/4]

void init2 ( ZabrShortMaturityLognormal  )

private

Definition at line 203 of file zabrsmilesection.hpp.

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init2() [2/4]

void init2 ( ZabrShortMaturityNormal  )

private

Definition at line 206 of file zabrsmilesection.hpp.

init2() [3/4]

void init2 ( ZabrLocalVolatility  )

private

Definition at line 209 of file zabrsmilesection.hpp.

init2() [4/4]

void init2 ( ZabrFullFd  )

private

Definition at line 214 of file zabrsmilesection.hpp.

init3() [1/4]

void init3 ( ZabrShortMaturityLognormal  )

private

Definition at line 223 of file zabrsmilesection.hpp.

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init3() [2/4]

void init3 ( ZabrShortMaturityNormal  )

private

Definition at line 226 of file zabrsmilesection.hpp.

init3() [3/4]

void init3 ( ZabrLocalVolatility  )

private

Definition at line 229 of file zabrsmilesection.hpp.

init3() [4/4]

void init3 ( ZabrFullFd  )

private

Definition at line 256 of file zabrsmilesection.hpp.

optionPrice() [2/5]

Real optionPrice ( Rate  strike, Option::Type  type, Real  discount, ZabrShortMaturityLognormal    ) const

private

Definition at line 262 of file zabrsmilesection.hpp.

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optionPrice() [3/5]

Real optionPrice ( Rate  strike, Option::Type  type, Real  discount, ZabrShortMaturityNormal    ) const

private

Definition at line 269 of file zabrsmilesection.hpp.

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optionPrice() [4/5]

Real optionPrice ( Rate  strike, Option::Type  type, Real  discount, ZabrLocalVolatility    ) const

private

Definition at line 278 of file zabrsmilesection.hpp.

optionPrice() [5/5]

Real optionPrice ( Rate  strike, Option::Type  type, Real  discount, ZabrFullFd    ) const

private

Definition at line 290 of file zabrsmilesection.hpp.

volatilityImpl() [2/5]

Real volatilityImpl ( Rate  strike, ZabrShortMaturityLognormal    ) const

private

Definition at line 298 of file zabrsmilesection.hpp.

volatilityImpl() [3/5]

Real volatilityImpl ( Rate  strike, ZabrShortMaturityNormal    ) const

private

Definition at line 306 of file zabrsmilesection.hpp.

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volatilityImpl() [4/5]

Real volatilityImpl ( Rate  strike, ZabrLocalVolatility    ) const

private

Definition at line 325 of file zabrsmilesection.hpp.

volatilityImpl() [5/5]

Real volatilityImpl ( Rate  strike, ZabrFullFd    ) const

private

Definition at line 331 of file zabrsmilesection.hpp.

Member Data Documentation

model_

ext::shared_ptr<ZabrModel> model_

private

Definition at line 105 of file zabrsmilesection.hpp.

evaluation_

Evaluation evaluation_

private

Definition at line 106 of file zabrsmilesection.hpp.

forward_

Rate forward_

private

Definition at line 107 of file zabrsmilesection.hpp.

params_

std::vector<Real> params_

private

Definition at line 108 of file zabrsmilesection.hpp.

fdRefinement_

const Size fdRefinement_

private

Definition at line 109 of file zabrsmilesection.hpp.

strikes_

std::vector<Real> strikes_

private

Definition at line 110 of file zabrsmilesection.hpp.

callPrices_

std::vector<Real> callPrices_

private

Definition at line 110 of file zabrsmilesection.hpp.

callPriceFct_

ext::shared_ptr<Interpolation> callPriceFct_

private

Definition at line 111 of file zabrsmilesection.hpp.

a_

Real a_

private

Definition at line 112 of file zabrsmilesection.hpp.

b_

Real b_

private

Definition at line 112 of file zabrsmilesection.hpp.