Black volatility curve modelled as variance curve. More...
#include <ql/termstructures/volatility/equityfx/blackvariancecurve.hpp>
Inheritance diagram for BlackVarianceCurve:
Collaboration diagram for BlackVarianceCurve:
Public Member Functions | |
| BlackVarianceCurve (const Date &referenceDate, const std::vector< Date > &dates, const std::vector< Volatility > &blackVolCurve, DayCounter dayCounter, bool forceMonotoneVariance=true) | |
TermStructure interface | |
| DayCounter | dayCounter () const override |
| the day counter used for date/time conversion More... | |
| Date | maxDate () const override |
| the latest date for which the curve can return values More... | |
VolatilityTermStructure interface | |
| 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... | |
Modifiers | |
| template<class Interpolator > | |
| void | setInterpolation (const Interpolator &i=Interpolator()) |
| Public Member Functions inherited from BlackVarianceTermStructure | |
| BlackVarianceTermStructure (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
| default constructor More... | |
| BlackVarianceTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
| initialize with a fixed reference date More... | |
| BlackVarianceTermStructure (Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
| calculate the reference date based on the global evaluation date More... | |
| void | accept (AcyclicVisitor &) override |
| Public Member Functions inherited from BlackVolTermStructure | |
| BlackVolTermStructure (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
| default constructor More... | |
| BlackVolTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
| initialize with a fixed reference date More... | |
| BlackVolTermStructure (Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
| calculate the reference date based on the global evaluation date More... | |
| ~BlackVolTermStructure () override=default | |
| Volatility | blackVol (const Date &maturity, Real strike, bool extrapolate=false) const |
| spot volatility More... | |
| Volatility | blackVol (Time maturity, Real strike, bool extrapolate=false) const |
| spot volatility More... | |
| Real | blackVariance (const Date &maturity, Real strike, bool extrapolate=false) const |
| spot variance More... | |
| Real | blackVariance (Time maturity, Real strike, bool extrapolate=false) const |
| spot variance More... | |
| Volatility | blackForwardVol (const Date &date1, const Date &date2, Real strike, bool extrapolate=false) const |
| forward (at-the-money) volatility More... | |
| Volatility | blackForwardVol (Time time1, Time time2, Real strike, bool extrapolate=false) const |
| forward (at-the-money) volatility More... | |
| Real | blackForwardVariance (const Date &date1, const Date &date2, Real strike, bool extrapolate=false) const |
| forward (at-the-money) variance More... | |
| Real | blackForwardVariance (Time time1, Time time2, Real strike, bool extrapolate=false) const |
| forward (at-the-money) variance More... | |
| 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 | |
| Time | timeFromReference (const Date &date) const |
| date/time conversion More... | |
| virtual Time | maxTime () const |
| the latest time for which the curve can return values More... | |
| virtual const Date & | referenceDate () 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 &) | |
| 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 () |
| 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 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... | |
Visitability | |
| DayCounter | dayCounter_ |
| Date | maxDate_ |
| std::vector< Time > | times_ |
| std::vector< Real > | variances_ |
| Interpolation | varianceCurve_ |
| void | accept (AcyclicVisitor &) override |
| Real | blackVarianceImpl (Time t, Real) const override |
| Black variance calculation. More... | |
Additional Inherited Members | |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
| Protected Member Functions inherited from BlackVarianceTermStructure | |
| Volatility | blackVolImpl (Time t, Real strike) const override |
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 inherited from TermStructure | |
| bool | moving_ = false |
| bool | updated_ = true |
| Calendar | calendar_ |
Detailed Description
Black volatility curve modelled as variance curve.
This class calculates time-dependent Black volatilities using as input a vector of (ATM) Black volatilities observed in the market.
The calculation is performed interpolating on the variance curve. Linear interpolation is used as default; this can be changed by the setInterpolation() method.
For strike dependence, see BlackVarianceSurface.
Definition at line 47 of file blackvariancecurve.hpp.
Constructor & Destructor Documentation
◆ BlackVarianceCurve()
| BlackVarianceCurve | ( | const Date & | referenceDate, |
| const std::vector< Date > & | dates, | ||
| const std::vector< Volatility > & | blackVolCurve, | ||
| DayCounter | dayCounter, | ||
| bool | forceMonotoneVariance = true |
||
| ) |
Member Function Documentation
◆ dayCounter()
|
overridevirtual |
the day counter used for date/time conversion
Reimplemented from TermStructure.
Definition at line 56 of file blackvariancecurve.hpp.
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◆ maxDate()
|
overridevirtual |
the latest date for which the curve can return values
Implements TermStructure.
Definition at line 92 of file blackvariancecurve.hpp.
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◆ minStrike()
|
overridevirtual |
the minimum strike for which the term structure can return vols
Implements VolatilityTermStructure.
Definition at line 96 of file blackvariancecurve.hpp.
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◆ maxStrike()
|
overridevirtual |
the maximum strike for which the term structure can return vols
Implements VolatilityTermStructure.
Definition at line 100 of file blackvariancecurve.hpp.
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◆ setInterpolation()
| void setInterpolation | ( | const Interpolator & | i = Interpolator() | ) |
◆ accept()
|
overridevirtual |
Reimplemented from BlackVolTermStructure.
Definition at line 104 of file blackvariancecurve.hpp.
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◆ blackVarianceImpl()
Black variance calculation.
Implements BlackVolTermStructure.
Definition at line 64 of file blackvariancecurve.cpp.
Member Data Documentation
◆ dayCounter_
|
private |
Definition at line 82 of file blackvariancecurve.hpp.
◆ maxDate_
|
private |
Definition at line 83 of file blackvariancecurve.hpp.
◆ times_
|
private |
Definition at line 84 of file blackvariancecurve.hpp.
◆ variances_
|
private |
Definition at line 85 of file blackvariancecurve.hpp.
◆ varianceCurve_
|
private |
Definition at line 86 of file blackvariancecurve.hpp.