A free/open-source library for quantitative finance
Reference manual - version 1.20
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A free/open-source library for quantitative finance
Reference manual - version 1.20
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Black volatility (smile) surface. More...
#include <ql/experimental/volatility/blackvolsurface.hpp>
Inheritance diagram for BlackVolSurface:Public Member Functions | |
Constructors | |
See the TermStructure documentation for issues regarding constructors. | |
| 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 | |
| BlackVolSurface (Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
| calculate the reference date based on the global evaluation date | |
Black spot volatility | |
| ext::shared_ptr< SmileSection > | smileSection (const Period &, bool extrapolate) const |
| returns the smile for a given option tenor | |
| ext::shared_ptr< SmileSection > | smileSection (const Date &, bool extrapolate) const |
| returns the smile for a given option date | |
| ext::shared_ptr< SmileSection > | smileSection (Time, bool extrapolate) const |
| returns the smile for a given option time | |
Visitability | |
| void | accept (AcyclicVisitor &) |
| 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 | |
| BlackAtmVolCurve (Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
| calculate the reference date based on the global evaluation date | |
| virtual | ~BlackAtmVolCurve () |
| Volatility | atmVol (const Period &optionTenor, bool extrapolate=false) const |
| spot at-the-money volatility | |
| Volatility | atmVol (const Date &maturity, bool extrapolate=false) const |
| spot at-the-money volatility | |
| Volatility | atmVol (Time maturity, bool extrapolate=false) const |
| spot at-the-money volatility | |
| Real | atmVariance (const Period &optionTenor, bool extrapolate=false) const |
| spot at-the-money variance | |
| Real | atmVariance (const Date &maturity, bool extrapolate=false) const |
| spot at-the-money variance | |
| Real | atmVariance (Time maturity, bool extrapolate=false) const |
| spot at-the-money variance | |
| 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 | |
| VolatilityTermStructure (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) | |
| calculate the reference date based on the global evaluation date | |
| virtual BusinessDayConvention | businessDayConvention () const |
| the business day convention used in tenor to date conversion | |
| Date | optionDateFromTenor (const Period &) const |
| period/date conversion | |
| virtual Rate | minStrike () const =0 |
| the minimum strike for which the term structure can return vols | |
| virtual Rate | maxStrike () const =0 |
| the maximum strike for which the term structure can return vols | |
| Public Member Functions inherited from TermStructure | |
| TermStructure (const DayCounter &dc=DayCounter()) | |
| default constructor More... | |
| TermStructure (const Date &referenceDate, const Calendar &calendar=Calendar(), const DayCounter &dc=DayCounter()) | |
| initialize with a fixed reference date | |
| TermStructure (Natural settlementDays, const Calendar &, const DayCounter &dc=DayCounter()) | |
| calculate the reference date based on the global evaluation date | |
| virtual | ~TermStructure () |
| virtual DayCounter | dayCounter () const |
| the day counter used for date/time conversion | |
| Time | timeFromReference (const Date &date) const |
| date/time conversion | |
| virtual Date | maxDate () const =0 |
| the latest date for which the curve can return values | |
| virtual Time | maxTime () const |
| the latest time for which the curve can return values | |
| virtual const Date & | referenceDate () const |
| the date at which discount = 1.0 and/or variance = 0.0 | |
| virtual Calendar | calendar () const |
| the calendar used for reference and/or option date calculation | |
| virtual Natural | settlementDays () const |
| the settlementDays used for reference date calculation | |
| void | update () |
| Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const 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 | deepUpdate () |
| Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
| Public Member Functions inherited from Extrapolator | |
| void | enableExtrapolation (bool b=true) |
| enable extrapolation in subsequent calls | |
| void | disableExtrapolation (bool b=true) |
| disable extrapolation in subsequent calls | |
| bool | allowsExtrapolation () const |
| tells whether extrapolation is enabled | |
Protected Member Functions | |
BlackAtmVolCurve interface | |
| Real | atmVarianceImpl (Time t) const |
| spot at-the-money variance calculation | |
| Volatility | atmVolImpl (Time t) const |
| spot at-the-money volatility calculation | |
Calculations | |
This method must be implemented in derived classes to perform the actual volatility calculations. When it is called, time check has already been performed; therefore, it must assume that time-extrapolation is allowed. | |
| virtual ext::shared_ptr< SmileSection > | smileSectionImpl (Time) const =0 |
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 | |
| Protected Member Functions inherited from TermStructure | |
| void | checkRange (const Date &d, bool extrapolate) const |
| date-range check | |
| void | checkRange (Time t, bool extrapolate) const |
| time-range check | |
Additional Inherited Members | |
| Public Types inherited from Observer | |
| typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
| Protected Attributes inherited from TermStructure | |
| bool | moving_ |
| bool | updated_ |
| Calendar | calendar_ |
Black volatility (smile) surface.
This abstract class defines the interface of concrete Black volatility (smile) surface which will be derived from this one.
Volatilities are assumed to be expressed on an annual basis.
| BlackVolSurface | ( | BusinessDayConvention | bdc = Following, |
| const DayCounter & | dc = DayCounter() |
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| ) |
default constructor
