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 ()
	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

timeToExpiry	Time to expiry
forward	Forward price corresponding to the expiry date
sviParameters	Expects 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

d	Date of expiry
forward	Forward price corresponding to the expiry date
sviParameters	Expects SVI parameters as a vector composed of a, b, sigma, rho, m
dc	Day 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.