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<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_andreasen_huge_volatility_interpl.html">AndreasenHugeVolatilityInterpl</a></li> </ul>
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<a href="#pub-types">Public Types</a> |
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<div class="title">AndreasenHugeVolatilityInterpl Class Reference</div> </div>
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<p>Calibration of a local volatility surface to a sparse grid of options.
<a href="class_quant_lib_1_1_andreasen_huge_volatility_interpl.html#details">More...</a></p>
<p><code>#include <ql/termstructures/volatility/equityfx/andreasenhugevolatilityinterpl.hpp></code></p>
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<img id="dynsection-0-trigger" src="closed.png" alt="+"/> Inheritance diagram for AndreasenHugeVolatilityInterpl:</div>
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<area shape="rect" href="class_quant_lib_1_1_lazy_object.html" title="Framework for calculation on demand and result caching." alt="" coords="62,80,150,107"/>
<area shape="rect" href="class_quant_lib_1_1_observable.html" title="Object that notifies its changes to a set of observers." alt="" coords="10,5,98,32"/>
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Public Types</h2></td></tr>
<tr class="memitem:a8472f01c511d77bbfb981a46618ea1ea"><td class="memItemLeft" align="right" valign="top"><a id="a8472f01c511d77bbfb981a46618ea1ea"></a>enum  </td><td class="memItemRight" valign="bottom"><b>InterpolationType</b> { <b>PiecewiseConstant</b>,
<b>Linear</b>,
<b>CubicSpline</b>
}</td></tr>
<tr class="separator:a8472f01c511d77bbfb981a46618ea1ea"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a18340f2f2342933b54b1dc8e6c0ed797"><td class="memItemLeft" align="right" valign="top"><a id="a18340f2f2342933b54b1dc8e6c0ed797"></a>enum  </td><td class="memItemRight" valign="bottom"><b>CalibrationType</b> { <b>Call</b> = Option::Call,
<b>Put</b> = Option::Put,
<b>CallPut</b>
}</td></tr>
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typedef std::vector< std::pair< ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_vanilla_option.html">VanillaOption</a> >, ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > > > </td><td class="memItemRight" valign="bottom"><b>CalibrationSet</b></td></tr>
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<tr class="memitem:a78de5f2b6bce96d718e3c18b9f52d67c inherit pub_types_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="a78de5f2b6bce96d718e3c18b9f52d67c"></a>
typedef boost::unordered_set< ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > > </td><td class="memItemRight" valign="bottom"><b>set_type</b></td></tr>
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<tr class="memitem:ae98429250f6997df7b87f4b37454609e inherit pub_types_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="ae98429250f6997df7b87f4b37454609e"></a>
typedef set_type::iterator </td><td class="memItemRight" valign="bottom"><b>iterator</b></td></tr>
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<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
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 </td><td class="memItemRight" valign="bottom"><b>AndreasenHugeVolatilityInterpl</b> (const CalibrationSet &calibrationSet, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > &spot, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &rTS, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &qTS, InterpolationType interpolationType=CubicSpline, CalibrationType calibrationType=Call, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> nGridPoints=500, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> minStrike=<a class="el" href="class_quant_lib_1_1_null.html">Null</a>< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> >(), <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> maxStrike=<a class="el" href="class_quant_lib_1_1_null.html">Null</a>< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> >(), const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_optimization_method.html">OptimizationMethod</a> > &optimizationMethod=ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_optimization_method.html">OptimizationMethod</a> >(new <a class="el" href="class_quant_lib_1_1_levenberg_marquardt.html">LevenbergMarquardt</a>), const <a class="el" href="class_quant_lib_1_1_end_criteria.html">EndCriteria</a> &endCriteria=<a class="el" href="class_quant_lib_1_1_end_criteria.html">EndCriteria</a>(500, 100, 1e-12, 1e-10, 1e-10))</td></tr>
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<a class="el" href="class_quant_lib_1_1_date.html">Date</a> </td><td class="memItemRight" valign="bottom"><b>maxDate</b> () const</td></tr>
<tr class="separator:a6fa1d746e67f372c6e09e4ec9ad8973b"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a08611adcd4c1461233257e6ff17c582a"><td class="memItemLeft" align="right" valign="top"><a id="a08611adcd4c1461233257e6ff17c582a"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>minStrike</b> () const</td></tr>
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<tr class="memitem:a4e78ef8a9ed6ba66165705dc96b8d5bf"><td class="memItemLeft" align="right" valign="top"><a id="a4e78ef8a9ed6ba66165705dc96b8d5bf"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>maxStrike</b> () const</td></tr>
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<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>fwd</b> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t) const</td></tr>
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const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > & </td><td class="memItemRight" valign="bottom"><b>riskFreeRate</b> () const</td></tr>
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<tr class="memitem:aff3b302fffdbf09b8a941779263df588"><td class="memItemLeft" align="right" valign="top"><a id="aff3b302fffdbf09b8a941779263df588"></a>
ext::tuple< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a>, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a>, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>calibrationError</b> () const</td></tr>
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<tr class="memitem:af5ed9cc45164a8926ecb3fa05a9a064d"><td class="memItemLeft" align="right" valign="top"><a id="af5ed9cc45164a8926ecb3fa05a9a064d"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>optionPrice</b> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> strike, Option::Type optionType) const</td></tr>
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<tr class="memitem:a445c7a3c54d56b0c5bf5f3386ee1e805"><td class="memItemLeft" align="right" valign="top"><a id="a445c7a3c54d56b0c5bf5f3386ee1e805"></a>
<a class="el" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> </td><td class="memItemRight" valign="bottom"><b>localVol</b> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> strike) const</td></tr>
<tr class="separator:a445c7a3c54d56b0c5bf5f3386ee1e805"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_lazy_object"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_lazy_object')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_lazy_object.html">LazyObject</a></td></tr>
<tr class="memitem:ac5c54df7ed3b930268c8d7752c101725 inherit pub_methods_class_quant_lib_1_1_lazy_object"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_lazy_object.html#ac5c54df7ed3b930268c8d7752c101725">update</a> ()</td></tr>
<tr class="separator:ac5c54df7ed3b930268c8d7752c101725 inherit pub_methods_class_quant_lib_1_1_lazy_object"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a467a786be42a2165aa15a26709674547 inherit pub_methods_class_quant_lib_1_1_lazy_object"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_lazy_object.html#a467a786be42a2165aa15a26709674547">recalculate</a> ()</td></tr>
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<tr class="memitem:abd8698b462ce90fe56b15ce7a0192d3e inherit pub_methods_class_quant_lib_1_1_lazy_object"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_lazy_object.html#abd8698b462ce90fe56b15ce7a0192d3e">freeze</a> ()</td></tr>
<tr class="separator:abd8698b462ce90fe56b15ce7a0192d3e inherit pub_methods_class_quant_lib_1_1_lazy_object"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a26c02da24a82bc72024a8e8d48af0fca inherit pub_methods_class_quant_lib_1_1_lazy_object"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_lazy_object.html#a26c02da24a82bc72024a8e8d48af0fca">unfreeze</a> ()</td></tr>
<tr class="separator:a26c02da24a82bc72024a8e8d48af0fca inherit pub_methods_class_quant_lib_1_1_lazy_object"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a2ee394ca135f85485023ce3dc037149c inherit pub_methods_class_quant_lib_1_1_lazy_object"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_lazy_object.html#a2ee394ca135f85485023ce3dc037149c">alwaysForwardNotifications</a> ()</td></tr>
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_observable"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_observable')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a></td></tr>
<tr class="memitem:a840dd96e33a304cbf681d357de7f48d0 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top"><a id="a840dd96e33a304cbf681d357de7f48d0"></a>
 </td><td class="memItemRight" valign="bottom"><b>Observable</b> (const <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> &)</td></tr>
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<tr class="memitem:a522aacdd0f2408fe5e46527a6db999b4 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top"><a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observable.html#a522aacdd0f2408fe5e46527a6db999b4">operator=</a> (const <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> &)</td></tr>
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<tr class="memitem:a397546715bfc5aedd1d16dd202a19d4c inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observable.html#a397546715bfc5aedd1d16dd202a19d4c">notifyObservers</a> ()</td></tr>
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_observer"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_observer')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a></td></tr>
<tr class="memitem:af6a9d3ca0b7f388f3b7ccb1eccf11f63 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="af6a9d3ca0b7f388f3b7ccb1eccf11f63"></a>
 </td><td class="memItemRight" valign="bottom"><b>Observer</b> (const <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> &)</td></tr>
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<tr class="memitem:a6810b3645967da11d5f5d4804d37bacc inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="a6810b3645967da11d5f5d4804d37bacc"></a>
<a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> & </td><td class="memItemRight" valign="bottom"><b>operator=</b> (const <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> &)</td></tr>
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<tr class="memitem:aa6ade205ed506bf712da2704f80a73a0 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="aa6ade205ed506bf712da2704f80a73a0"></a>
std::pair< iterator, bool > </td><td class="memItemRight" valign="bottom"><b>registerWith</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > &)</td></tr>
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<tr class="memitem:a51d57eb97a3a57312a47bda29235f182 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observer.html#a51d57eb97a3a57312a47bda29235f182">registerWithObservables</a> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> > &)</td></tr>
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<tr class="memitem:a4ce7359ad0f73a54dba555be24855804 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="a4ce7359ad0f73a54dba555be24855804"></a>
<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>unregisterWith</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > &)</td></tr>
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<tr class="memitem:a0c19cb502f3b720b99b176ea6cc7e319 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="a0c19cb502f3b720b99b176ea6cc7e319"></a>
void </td><td class="memItemRight" valign="bottom"><b>unregisterWithAll</b> ()</td></tr>
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<tr class="memitem:a3d53f9669c128dadc74a5d044a7c8e68 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top">virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observer.html#a3d53f9669c128dadc74a5d044a7c8e68">deepUpdate</a> ()</td></tr>
<tr class="separator:a3d53f9669c128dadc74a5d044a7c8e68 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pro-methods"></a>
Protected Member Functions</h2></td></tr>
<tr class="memitem:a33f04fb3ac37abe7c9c6032cff611745"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_andreasen_huge_volatility_interpl.html#a33f04fb3ac37abe7c9c6032cff611745">performCalculations</a> () const</td></tr>
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<tr class="inherit_header pro_methods_class_quant_lib_1_1_lazy_object"><td colspan="2" onclick="javascript:toggleInherit('pro_methods_class_quant_lib_1_1_lazy_object')"><img src="closed.png" alt="-"/> Protected Member Functions inherited from <a class="el" href="class_quant_lib_1_1_lazy_object.html">LazyObject</a></td></tr>
<tr class="memitem:a082ff96da379d5e17436372ccb3c0972 inherit pro_methods_class_quant_lib_1_1_lazy_object"><td class="memItemLeft" align="right" valign="top">virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_lazy_object.html#a082ff96da379d5e17436372ccb3c0972">calculate</a> () const</td></tr>
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</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="inherited"></a>
Additional Inherited Members</h2></td></tr>
<tr class="inherit_header pro_attribs_class_quant_lib_1_1_lazy_object"><td colspan="2" onclick="javascript:toggleInherit('pro_attribs_class_quant_lib_1_1_lazy_object')"><img src="closed.png" alt="-"/> Protected Attributes inherited from <a class="el" href="class_quant_lib_1_1_lazy_object.html">LazyObject</a></td></tr>
<tr class="memitem:abcf8c3b096b3eea8688019abe7180471 inherit pro_attribs_class_quant_lib_1_1_lazy_object"><td class="memItemLeft" align="right" valign="top"><a id="abcf8c3b096b3eea8688019abe7180471"></a>
bool </td><td class="memItemRight" valign="bottom"><b>calculated_</b></td></tr>
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bool </td><td class="memItemRight" valign="bottom"><b>frozen_</b></td></tr>
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<tr class="memitem:a52b368dcda2c9e791f5a8fc63de3c510 inherit pro_attribs_class_quant_lib_1_1_lazy_object"><td class="memItemLeft" align="right" valign="top"><a id="a52b368dcda2c9e791f5a8fc63de3c510"></a>
bool </td><td class="memItemRight" valign="bottom"><b>alwaysForward_</b></td></tr>
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</table>
<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><p>Calibration of a local volatility surface to a sparse grid of options. </p>
<p>References:</p>
<p>Andreasen J., Huge B., 2010. Volatility <a class="el" href="class_quant_lib_1_1_interpolation.html" title="base class for 1-D interpolations.">Interpolation</a> <a href="https://ssrn.com/abstract=1694972">https://ssrn.com/abstract=1694972</a> </p>
</div><h2 class="groupheader">Member Function Documentation</h2>
<a id="a33f04fb3ac37abe7c9c6032cff611745"></a>
<h2 class="memtitle"><span class="permalink"><a href="#a33f04fb3ac37abe7c9c6032cff611745">◆ </a></span>performCalculations()</h2>
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<td class="memname">void performCalculations </td>
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<td class="paramname"></td><td>)</td>
<td> const</td>
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<span class="mlabels"><span class="mlabel">protected</span><span class="mlabel">virtual</span></span> </td>
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<p>This method must implement any calculations which must be (re)done in order to calculate the desired results. </p>
<p>Implements <a class="el" href="class_quant_lib_1_1_lazy_object.html#a572dbe926524786c64db01e31dba7ab8">LazyObject</a>.</p>
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