NoArbSabrSmileSection Class Reference

#include <noarbsabrsmilesection.hpp>

Inheritance diagram for NoArbSabrSmileSection:

Collaboration diagram for NoArbSabrSmileSection:

Public Member Functions
	NoArbSabrSmileSection (Time timeToExpiry, Rate forward, std::vector< Real > sabrParameters, Real shift=0.0, VolatilityType volatilityType=VolatilityType::ShiftedLognormal)
	NoArbSabrSmileSection (const Date &d, Rate forward, std::vector< Real > sabrParameters, const DayCounter &dc=Actual365Fixed(), Real shift=0.0, VolatilityType volatilityType=VolatilityType::ShiftedLognormal)
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
Real	digitalOptionPrice (Rate strike, Option::Type type=Option::Call, Real discount=1.0, Real gap=1.0e-5) const override
Real	density (Rate strike, Real discount=1.0, Real gap=1.0E-4) const override
ext::shared_ptr< NoArbSabrModel >	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 ()

Private Attributes
ext::shared_ptr< NoArbSabrModel >	model_
Rate	forward_
std::vector< Real >	params_
Real	shift_

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

Detailed Description

Definition at line 34 of file noarbsabrsmilesection.hpp.

Constructor & Destructor Documentation

NoArbSabrSmileSection() [1/2]

NoArbSabrSmileSection	(	Time	timeToExpiry,
		Rate	forward,
		std::vector< Real >	sabrParameters,
		Real	shift = 0.0,
		VolatilityType	volatilityType = VolatilityType::ShiftedLognormal
	)

Definition at line 28 of file noarbsabrsmilesection.cpp.

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NoArbSabrSmileSection() [2/2]

NoArbSabrSmileSection	(	const Date &	d,
		Rate	forward,
		std::vector< Real >	sabrParameters,
		const DayCounter &	dc = Actual365Fixed(),
		Real	shift = 0.0,
		VolatilityType	volatilityType = VolatilityType::ShiftedLognormal
	)

Definition at line 38 of file noarbsabrsmilesection.cpp.

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Member Function Documentation

minStrike()

Real minStrike ( ) const

overridevirtual

Implements SmileSection.

Definition at line 48 of file noarbsabrsmilesection.hpp.

maxStrike()

Real maxStrike ( ) const

overridevirtual

Implements SmileSection.

Definition at line 49 of file noarbsabrsmilesection.hpp.

atmLevel()

Real atmLevel ( ) const

overridevirtual

Implements SmileSection.

Definition at line 50 of file noarbsabrsmilesection.hpp.

optionPrice()

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

overridevirtual

Reimplemented from SmileSection.

Definition at line 59 of file noarbsabrsmilesection.cpp.

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digitalOptionPrice()

Real digitalOptionPrice ( Rate  strike, Option::Type  type = Option::Call, Real  discount = 1.0, Real  gap = 1.0e-5  ) const

overridevirtual

Reimplemented from SmileSection.

Definition at line 66 of file noarbsabrsmilesection.cpp.

density()

Real density ( Rate  strike, Real  discount = 1.0, Real  gap = 1.0E-4  ) const

overridevirtual

Reimplemented from SmileSection.

Definition at line 72 of file noarbsabrsmilesection.cpp.

model()

ext::shared_ptr< NoArbSabrModel > model

(

)

Definition at line 59 of file noarbsabrsmilesection.hpp.

volatilityImpl()

Real volatilityImpl ( Rate  strike ) const

overrideprotectedvirtual

Implements SmileSection.

Definition at line 76 of file noarbsabrsmilesection.cpp.

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init()

void init ( )

private

Definition at line 45 of file noarbsabrsmilesection.cpp.

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Member Data Documentation

model_

ext::shared_ptr<NoArbSabrModel> model_

private

Definition at line 66 of file noarbsabrsmilesection.hpp.

forward_

Rate forward_

private

Definition at line 67 of file noarbsabrsmilesection.hpp.

params_

std::vector<Real> params_

private

Definition at line 68 of file noarbsabrsmilesection.hpp.

shift_

Real shift_

private

Definition at line 69 of file noarbsabrsmilesection.hpp.