LocalVolSurface Class Reference

Local volatility surface derived from a Black vol surface. More...

#include <ql/termstructures/volatility/equityfx/localvolsurface.hpp>

Inheritance diagram for LocalVolSurface:

Public Member Functions
	LocalVolSurface (const Handle< BlackVolTermStructure > &blackTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< YieldTermStructure > &dividendTS, const Handle< Quote > &underlying)
	LocalVolSurface (const Handle< BlackVolTermStructure > &blackTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< YieldTermStructure > &dividendTS, Real underlying)
TermStructure interface
const Date &	referenceDate () const
	the date at which discount = 1.0 and/or variance = 0.0
DayCounter	dayCounter () const
	the day counter used for date/time conversion
Date	maxDate () const
	the latest date for which the curve can return values
VolatilityTermStructure interface
Real	minStrike () const
	the minimum strike for which the term structure can return vols
Real	maxStrike () const
	the maximum strike for which the term structure can return vols
Public Member Functions inherited from LocalVolTermStructure
	LocalVolTermStructure (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
	default constructor More...
	LocalVolTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
	initialize with a fixed reference date
	LocalVolTermStructure (Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
	calculate the reference date based on the global evaluation date
virtual	~LocalVolTermStructure ()
Volatility	localVol (const Date &d, Real underlyingLevel, bool extrapolate=false) const
Volatility	localVol (Time t, Real underlyingLevel, bool extrapolate=false) const
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
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 ()
Time	timeFromReference (const Date &date) const
	date/time conversion
virtual Time	maxTime () const
	the latest time for which the curve can return values
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

Visitability
virtual void	accept (AcyclicVisitor &)
Volatility	localVolImpl (Time, Real) const
	local vol calculation

Additional Inherited Members
Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > >	set_type
typedef set_type::iterator	iterator
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
Protected Attributes inherited from TermStructure
bool	moving_
bool	updated_
Calendar	calendar_

Detailed Description

Local volatility surface derived from a Black vol surface.

For details about this implementation refer to "Stochastic Volatility and Local Volatility," in "Case Studies and Financial Modelling Course Notes," by Jim Gatheral, Fall Term, 2003

see www.math.nyu.edu/fellows_fin_math/gatheral/Lecture1_Fall02.pdf

Bug:

this class is untested, probably unreliable.