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fully annotated source code - version 1.38
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SviSmileSection Class Reference

Stochastic Volatility Inspired Smile Section. More...

#include <svismilesection.hpp>

+ Inheritance diagram for SviSmileSection:
+ Collaboration diagram for SviSmileSection:

Constructors

Rate forward_
 
std::vector< Real > params_
 
 SviSmileSection (Time timeToExpiry, Rate forward, std::vector< Real > sviParameters)
 
 SviSmileSection (const Date &d, Rate forward, std::vector< Real > sviParameters, const DayCounter &dc=Actual365Fixed())
 
Real minStrike () const override
 
Real maxStrike () const override
 
Real atmLevel () const override
 
Volatility volatilityImpl (Rate strike) const override
 
void init ()
 

Additional Inherited Members

- Public Types inherited from Observer
typedef set_type::iterator iterator
 
- 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 ()=default
 
 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 inherited from SmileSection
virtual void initializeExerciseTime () const
 
virtual Real varianceImpl (Rate strike) const
 
virtual Volatility volatilityImpl (Rate strike) const =0
 

Detailed Description

Stochastic Volatility Inspired Smile Section.

Tests:
the correctness of the result is tested by checking it against known good values.

Definition at line 37 of file svismilesection.hpp.

Constructor & Destructor Documentation

◆ SviSmileSection() [1/2]

SviSmileSection ( Time  timeToExpiry,
Rate  forward,
std::vector< Real >  sviParameters 
)
Parameters
timeToExpiryTime to expiry
forwardForward price corresponding to the expiry date
sviParametersExpects SVI parameters as a vector composed of a, b, sigma, rho, m

Definition at line 26 of file svismilesection.cpp.

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◆ SviSmileSection() [2/2]

SviSmileSection ( const Date &  d,
Rate  forward,
std::vector< Real >  sviParameters,
const DayCounter &  dc = Actual365Fixed() 
)
Parameters
dDate of expiry
forwardForward price corresponding to the expiry date
sviParametersExpects SVI parameters as a vector composed of a, b, sigma, rho, m
dcDay count method used to compute the time to expiry

Definition at line 31 of file svismilesection.cpp.

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Member Function Documentation

◆ minStrike()

Real minStrike ( ) const
overridevirtual

Implements SmileSection.

Definition at line 57 of file svismilesection.hpp.

◆ maxStrike()

Real maxStrike ( ) const
overridevirtual

Implements SmileSection.

Definition at line 58 of file svismilesection.hpp.

◆ atmLevel()

Real atmLevel ( ) const
overridevirtual

Implements SmileSection.

Definition at line 59 of file svismilesection.hpp.

◆ volatilityImpl()

Volatility volatilityImpl ( Rate  strike) const
overrideprotectedvirtual

Implements SmileSection.

Definition at line 48 of file svismilesection.cpp.

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◆ init()

void init ( )
private

Definition at line 39 of file svismilesection.cpp.

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Member Data Documentation

◆ forward_

Rate forward_
private

Definition at line 66 of file svismilesection.hpp.

◆ params_

std::vector<Real> params_
private

Definition at line 67 of file svismilesection.hpp.