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fully annotated source code - version 1.34
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Public Types | Public Member Functions | Protected Member Functions | Protected Attributes | Private Member Functions | List of all members
FixedLocalVolSurface Class Reference

#include <fixedlocalvolsurface.hpp>

+ Inheritance diagram for FixedLocalVolSurface:
+ Collaboration diagram for FixedLocalVolSurface:

Public Types

enum  Extrapolation { ConstantExtrapolation , InterpolatorDefaultExtrapolation }
 
- Public Types inherited from Observer
typedef set_type::iterator iterator
 

Public Member Functions

 FixedLocalVolSurface (const Date &referenceDate, const std::vector< Date > &dates, const std::vector< Real > &strikes, ext::shared_ptr< Matrix > localVolMatrix, const DayCounter &dayCounter, Extrapolation lowerExtrapolation=ConstantExtrapolation, Extrapolation upperExtrapolation=ConstantExtrapolation)
 
 FixedLocalVolSurface (const Date &referenceDate, const std::vector< Time > &times, const std::vector< Real > &strikes, ext::shared_ptr< Matrix > localVolMatrix, const DayCounter &dayCounter, Extrapolation lowerExtrapolation=ConstantExtrapolation, Extrapolation upperExtrapolation=ConstantExtrapolation)
 
 FixedLocalVolSurface (const Date &referenceDate, const std::vector< Time > &times, const std::vector< ext::shared_ptr< std::vector< Real > > > &strikes, ext::shared_ptr< Matrix > localVolMatrix, const DayCounter &dayCounter, Extrapolation lowerExtrapolation=ConstantExtrapolation, Extrapolation upperExtrapolation=ConstantExtrapolation)
 
Date maxDate () const override
 the latest date for which the curve can return values More...
 
Time maxTime () const override
 the latest time 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())
 
- 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
 
virtual void accept (AcyclicVisitor &)
 
- 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 const DatereferenceDate () 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 &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (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 &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (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 localVolImpl (Time t, Real strike) const override
 local vol calculation More...
 
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

const Date maxDate_
 
std::vector< Timetimes_
 
const ext::shared_ptr< MatrixlocalVolMatrix_
 
const std::vector< ext::shared_ptr< std::vector< Real > > > strikes_
 
std::vector< InterpolationlocalVolInterpol_
 
Extrapolation lowerExtrapolation_
 
Extrapolation upperExtrapolation_
 
- Protected Attributes inherited from TermStructure
bool moving_ = false
 
bool updated_ = true
 
Calendar calendar_
 

Private Member Functions

void checkSurface ()
 

Detailed Description

Definition at line 36 of file fixedlocalvolsurface.hpp.

Member Enumeration Documentation

◆ Extrapolation

Enumerator
ConstantExtrapolation 
InterpolatorDefaultExtrapolation 

Definition at line 38 of file fixedlocalvolsurface.hpp.

Constructor & Destructor Documentation

◆ FixedLocalVolSurface() [1/3]

FixedLocalVolSurface ( const Date referenceDate,
const std::vector< Date > &  dates,
const std::vector< Real > &  strikes,
ext::shared_ptr< Matrix localVolMatrix,
const DayCounter dayCounter,
Extrapolation  lowerExtrapolation = ConstantExtrapolation,
Extrapolation  upperExtrapolation = ConstantExtrapolation 
)

Definition at line 30 of file fixedlocalvolsurface.cpp.

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◆ FixedLocalVolSurface() [2/3]

FixedLocalVolSurface ( const Date referenceDate,
const std::vector< Time > &  times,
const std::vector< Real > &  strikes,
ext::shared_ptr< Matrix localVolMatrix,
const DayCounter dayCounter,
Extrapolation  lowerExtrapolation = ConstantExtrapolation,
Extrapolation  upperExtrapolation = ConstantExtrapolation 
)

Definition at line 54 of file fixedlocalvolsurface.cpp.

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◆ FixedLocalVolSurface() [3/3]

FixedLocalVolSurface ( const Date referenceDate,
const std::vector< Time > &  times,
const std::vector< ext::shared_ptr< std::vector< Real > > > &  strikes,
ext::shared_ptr< Matrix localVolMatrix,
const DayCounter dayCounter,
Extrapolation  lowerExtrapolation = ConstantExtrapolation,
Extrapolation  upperExtrapolation = ConstantExtrapolation 
)

Definition at line 74 of file fixedlocalvolsurface.cpp.

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Member Function Documentation

◆ maxDate()

Date maxDate ( ) const
overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

Definition at line 116 of file fixedlocalvolsurface.cpp.

◆ maxTime()

Time maxTime ( ) const
overridevirtual

the latest time for which the curve can return values

Reimplemented from TermStructure.

Definition at line 119 of file fixedlocalvolsurface.cpp.

◆ minStrike()

Real minStrike ( ) const
overridevirtual

the minimum strike for which the term structure can return vols

Implements VolatilityTermStructure.

Definition at line 122 of file fixedlocalvolsurface.cpp.

◆ maxStrike()

Real maxStrike ( ) const
overridevirtual

the maximum strike for which the term structure can return vols

Implements VolatilityTermStructure.

Definition at line 125 of file fixedlocalvolsurface.cpp.

◆ setInterpolation()

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

Definition at line 71 of file fixedlocalvolsurface.hpp.

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◆ localVolImpl()

Volatility localVolImpl ( Time  t,
Real  strike 
) const
overrideprotectedvirtual

local vol calculation

Implements LocalVolTermStructure.

Definition at line 129 of file fixedlocalvolsurface.cpp.

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◆ checkSurface()

void checkSurface ( )
private

Definition at line 96 of file fixedlocalvolsurface.cpp.

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Member Data Documentation

◆ maxDate_

const Date maxDate_
protected

Definition at line 83 of file fixedlocalvolsurface.hpp.

◆ times_

std::vector<Time> times_
protected

Definition at line 84 of file fixedlocalvolsurface.hpp.

◆ localVolMatrix_

const ext::shared_ptr<Matrix> localVolMatrix_
protected

Definition at line 85 of file fixedlocalvolsurface.hpp.

◆ strikes_

const std::vector<ext::shared_ptr<std::vector<Real> > > strikes_
protected

Definition at line 86 of file fixedlocalvolsurface.hpp.

◆ localVolInterpol_

std::vector<Interpolation> localVolInterpol_
protected

Definition at line 88 of file fixedlocalvolsurface.hpp.

◆ lowerExtrapolation_

Extrapolation lowerExtrapolation_
protected

Definition at line 89 of file fixedlocalvolsurface.hpp.

◆ upperExtrapolation_

Extrapolation upperExtrapolation_
protected

Definition at line 89 of file fixedlocalvolsurface.hpp.