BlackVolSurface Class Referenceabstract

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 (const Calendar &cal, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
 
 BlackVolSurface (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
 default constructor
 
 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
boost::shared_ptr< SmileSectionsmileSection (const Period &, bool extrapolate) const
 returns the smile for a given option tenor
 
boost::shared_ptr< SmileSectionsmileSection (const Date &, bool extrapolate) const
 returns the smile for a given option date
 
boost::shared_ptr< SmileSectionsmileSection (Time, bool extrapolate) const
 returns the smile for a given option time
 
Visitability
void accept (AcyclicVisitor &)
 
- Public Member Functions inherited from BlackAtmVolCurve
 BlackAtmVolCurve (const Calendar &cal, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
 
 BlackAtmVolCurve (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
 default constructor
 
 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
 
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
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
 
 VolatilityTermStructure (const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
 
 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
 
- Public Member Functions inherited from TermStructure
 TermStructure (const DayCounter &dc=DayCounter())
 default constructor
 
 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 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 DatereferenceDate () 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 &)
 
Observeroperator= (const Observer &)
 
std::pair< std::set
< boost::shared_ptr
< Observable > >::iterator,
bool > 
registerWith (const boost::shared_ptr< Observable > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (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 boost::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

- Protected Attributes inherited from TermStructure
bool moving_
 
bool updated_
 
Calendar calendar_
 

Detailed Description

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.

Constructor & Destructor Documentation

BlackVolSurface ( const Calendar cal,
BusinessDayConvention  bdc = Following,
const DayCounter dc = DayCounter() 
)
Warning:
term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.

default constructor

Warning:
term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.