SABR volatility (smile) surface. More...

#include <sabrvolsurface.hpp>

Inheritance diagram for SabrVolSurface:

Collaboration diagram for SabrVolSurface:

Public Member Functions
	SabrVolSurface (const ext::shared_ptr< InterestRateIndex > &, Handle< BlackAtmVolCurve >, const std::vector< Period > &optionTenors, std::vector< Spread > atmRateSpreads, std::vector< std::vector< Handle< Quote > > > volSpreads)

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...

Time	maxTime () const override
	the latest time for which the curve can return values More...

const Date &	referenceDate () const override
	the date at which discount = 1.0 and/or variance = 0.0 More...

Calendar	calendar () const override
	the calendar used for reference and/or option date calculation More...

Natural	settlementDays () const override
	the settlementDays used for reference date calculation 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...

const Handle< BlackAtmVolCurve > &	atmCurve () const

BlackVolSurface interface
ext::shared_ptr< SmileSection >	smileSectionImpl (Time) const override

Public Member Functions inherited from InterestRateVolSurface
	InterestRateVolSurface (ext::shared_ptr< InterestRateIndex >, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())

	InterestRateVolSurface (ext::shared_ptr< InterestRateIndex >, const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
	initialize with a fixed reference date More...

	InterestRateVolSurface (ext::shared_ptr< InterestRateIndex >, Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
	calculate the reference date based on the global evaluation date More...

Date	optionDateFromTenor (const Period &) const
	period/date conversion More...

const ext::shared_ptr< InterestRateIndex > &	index () const

Public Member Functions inherited from BlackVolSurface
	BlackVolSurface (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
	default constructor More...

	BlackVolSurface (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
	initialize with a fixed reference date More...

	BlackVolSurface (Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
	calculate the reference date based on the global evaluation date More...

ext::shared_ptr< SmileSection >	smileSection (const Period &, bool extrapolate) const
	returns the smile for a given option tenor More...

ext::shared_ptr< SmileSection >	smileSection (const Date &, bool extrapolate) const
	returns the smile for a given option date More...

ext::shared_ptr< SmileSection >	smileSection (Time, bool extrapolate) const
	returns the smile for a given option time More...

Public Member Functions inherited from BlackAtmVolCurve
	BlackAtmVolCurve (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
	default constructor More...

	BlackAtmVolCurve (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
	initialize with a fixed reference date More...

	BlackAtmVolCurve (Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
	calculate the reference date based on the global evaluation date More...

	~BlackAtmVolCurve () override=default

Volatility	atmVol (const Period &optionTenor, bool extrapolate=false) const
	spot at-the-money volatility More...

Volatility	atmVol (const Date &maturity, bool extrapolate=false) const
	spot at-the-money volatility More...

Volatility	atmVol (Time maturity, bool extrapolate=false) const
	spot at-the-money volatility More...

Real	atmVariance (const Period &optionTenor, bool extrapolate=false) const
	spot at-the-money variance More...

Real	atmVariance (const Date &maturity, bool extrapolate=false) const
	spot at-the-money variance More...

Real	atmVariance (Time maturity, bool extrapolate=false) const
	spot 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...

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...

LazyObject interface
Handle< BlackAtmVolCurve >	atmCurve_

std::vector< Period >	optionTenors_

std::vector< Time >	optionTimes_

std::vector< Date >	optionDates_

std::vector< Spread >	atmRateSpreads_

std::vector< std::vector< Handle< Quote > > >	volSpreads_

bool	isAlphaFixed_

bool	isBetaFixed_

bool	isNuFixed_

bool	isRhoFixed_

bool	vegaWeighted_

std::vector< std::array< Real, 4 > >	sabrGuesses_

void	performCalculations () const

void	update () override

void	registerWithMarketData ()

void	checkInputs () const

void	updateSabrGuesses (const Date &d, std::array< Real, 4 > newGuesses) const

Visitability
void	accept (AcyclicVisitor &) override

std::vector< Volatility >	volatilitySpreads (const Period &) const

std::vector< Volatility >	volatilitySpreads (const Date &) const

std::array< Real, 4 >	sabrGuesses (const Date &) const

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

Protected Member Functions inherited from BlackVolSurface
Real	atmVarianceImpl (Time t) const override
	spot at-the-money variance calculation More...

Volatility	atmVolImpl (Time t) const override
	spot at-the-money volatility 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 inherited from InterestRateVolSurface
ext::shared_ptr< InterestRateIndex >	index_

Protected Attributes inherited from TermStructure
bool	moving_ = false

bool	updated_ = true

Calendar	calendar_

Detailed Description

SABR volatility (smile) surface.

blah blah

Definition at line 39 of file sabrvolsurface.hpp.

Constructor & Destructor Documentation

◆ SabrVolSurface()

SabrVolSurface	(	const ext::shared_ptr< InterestRateIndex > &	index,
		Handle< BlackAtmVolCurve >	atmCurve,
		const std::vector< Period > &	optionTenors,
		std::vector< Spread >	atmRateSpreads,
		std::vector< std::vector< Handle< Quote > > >	volSpreads
	)

Definition at line 30 of file sabrvolsurface.cpp.

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Member Function Documentation

◆ dayCounter()

DayCounter dayCounter ( ) const

overridevirtual

the day counter used for date/time conversion

Reimplemented from TermStructure.

Definition at line 106 of file sabrvolsurface.hpp.

◆ maxDate()

Date maxDate ( ) const

overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

Definition at line 110 of file sabrvolsurface.hpp.

◆ maxTime()

Time maxTime ( ) const

overridevirtual

the latest time for which the curve can return values

Reimplemented from TermStructure.

Definition at line 114 of file sabrvolsurface.hpp.

◆ referenceDate()

const Date & referenceDate ( ) const

overridevirtual

the date at which discount = 1.0 and/or variance = 0.0

Reimplemented from TermStructure.

Definition at line 118 of file sabrvolsurface.hpp.

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◆ calendar()

Calendar calendar ( ) const

overridevirtual

the calendar used for reference and/or option date calculation

Reimplemented from TermStructure.

Definition at line 122 of file sabrvolsurface.hpp.

◆ settlementDays()

Natural settlementDays ( ) const

overridevirtual

the settlementDays used for reference date calculation

Reimplemented from TermStructure.

Definition at line 126 of file sabrvolsurface.hpp.

◆ minStrike()

Real minStrike ( ) const

overridevirtual

the minimum strike for which the term structure can return vols

Implements VolatilityTermStructure.

Definition at line 130 of file sabrvolsurface.hpp.

◆ maxStrike()

Real maxStrike ( ) const

overridevirtual

the maximum strike for which the term structure can return vols

Implements VolatilityTermStructure.

Definition at line 134 of file sabrvolsurface.hpp.

◆ atmCurve()

const Handle< BlackAtmVolCurve > & atmCurve ( ) const

Definition at line 138 of file sabrvolsurface.hpp.

◆ accept()

void accept ( AcyclicVisitor & v )

overridevirtual

Reimplemented from InterestRateVolSurface.

Definition at line 172 of file sabrvolsurface.cpp.

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◆ volatilitySpreads() [1/2]

std::vector< Volatility > volatilitySpreads ( const Period & p ) const

Definition at line 143 of file sabrvolsurface.hpp.

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◆ volatilitySpreads() [2/2]

std::vector< Volatility > volatilitySpreads ( const Date & d ) const

Definition at line 88 of file sabrvolsurface.cpp.

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◆ sabrGuesses()

std::array< Real, 4 > sabrGuesses ( const Date & d ) const

protected

Definition at line 66 of file sabrvolsurface.cpp.

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◆ smileSectionImpl()

ext::shared_ptr< SmileSection > smileSectionImpl ( Time t ) const

overridevirtual

Implements BlackVolSurface.

Definition at line 118 of file sabrvolsurface.cpp.

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◆ performCalculations()

void performCalculations ( ) const

protected

◆ update()

void update ( )

overrideprotectedvirtual

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.

Definition at line 107 of file sabrvolsurface.cpp.

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◆ registerWithMarketData()

void registerWithMarketData ( )

private

Definition at line 147 of file sabrvolsurface.cpp.

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◆ checkInputs()

void checkInputs ( ) const

private

Definition at line 156 of file sabrvolsurface.cpp.

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◆ updateSabrGuesses()

void updateSabrGuesses	(	const Date &	d,
		std::array< Real, 4 >	newGuesses
	)		const

private

Definition at line 76 of file sabrvolsurface.cpp.

Member Data Documentation

◆ atmCurve_

Handle<BlackAtmVolCurve> atmCurve_

private

Definition at line 88 of file sabrvolsurface.hpp.

◆ optionTenors_

std::vector<Period> optionTenors_

private

Definition at line 89 of file sabrvolsurface.hpp.

◆ optionTimes_

std::vector<Time> optionTimes_

private

Definition at line 90 of file sabrvolsurface.hpp.

◆ optionDates_

std::vector<Date> optionDates_

private

Definition at line 91 of file sabrvolsurface.hpp.

◆ atmRateSpreads_

std::vector<Spread> atmRateSpreads_

private

Definition at line 92 of file sabrvolsurface.hpp.

◆ volSpreads_

std::vector<std::vector<Handle<Quote> > > volSpreads_

private

Definition at line 93 of file sabrvolsurface.hpp.

◆ isAlphaFixed_

bool isAlphaFixed_

private

Definition at line 95 of file sabrvolsurface.hpp.

◆ isBetaFixed_

bool isBetaFixed_

private

Definition at line 96 of file sabrvolsurface.hpp.

◆ isNuFixed_

bool isNuFixed_

private

Definition at line 97 of file sabrvolsurface.hpp.

◆ isRhoFixed_

bool isRhoFixed_

private

Definition at line 98 of file sabrvolsurface.hpp.

◆ vegaWeighted_

bool vegaWeighted_

private

Definition at line 99 of file sabrvolsurface.hpp.

◆ sabrGuesses_

std::vector<std::array<Real,4> > sabrGuesses_

mutableprivate

Definition at line 101 of file sabrvolsurface.hpp.

Public Member Functions

LazyObject interface

Visitability

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ SabrVolSurface()

Member Function Documentation

◆ dayCounter()

◆ maxDate()

◆ maxTime()

◆ referenceDate()

◆ calendar()

◆ settlementDays()

◆ minStrike()

◆ maxStrike()

◆ atmCurve()

◆ accept()

◆ volatilitySpreads() [1/2]

◆ volatilitySpreads() [2/2]

◆ sabrGuesses()

◆ smileSectionImpl()

◆ performCalculations()

◆ update()

◆ registerWithMarketData()

◆ checkInputs()

◆ updateSabrGuesses()

Member Data Documentation

◆ atmCurve_

◆ optionTenors_

◆ optionTimes_

◆ optionDates_

◆ atmRateSpreads_

◆ volSpreads_

◆ isAlphaFixed_

◆ isBetaFixed_

◆ isNuFixed_

◆ isRhoFixed_

◆ vegaWeighted_

◆ sabrGuesses_