EquityVolCurve Class Reference

Wrapper class for building Equity volatility structures. More...

#include <ored/marketdata/equityvolcurve.hpp>

Public Member Functions
Constructors
	EquityVolCurve ()
	Default constructor.
	EquityVolCurve (Date asof, EquityVolatilityCurveSpec spec, const Loader &loader, const CurveConfigurations &curveConfigs, const QuantLib::Handle< QuantExt::EquityIndex2 > &eqIndex, const std::map< std::string, QuantLib::ext::shared_ptr< EquityCurve > > &requiredEquityCurves={}, const std::map< std::string, QuantLib::ext::shared_ptr< EquityVolCurve > > &requiredEquityVolCurves={}, const std::map< std::string, QuantLib::ext::shared_ptr< FXVolCurve > > &requiredFxVolCurves={}, const std::map< std::string, QuantLib::ext::shared_ptr< CorrelationCurve > > &requiredCorrelationCurves={}, const Market *market=nullptr, const std::string &configuration=Market::defaultConfiguration, const bool buildCalibrationInfo=true)
	Detailed constructor.

Inspectors
const EquityVolatilityCurveSpec &	spec () const
void	buildVolatility (const QuantLib::Date &asof, const EquityVolatilityCurveConfig &vc, const ConstantVolatilityConfig &cvc, const Loader &loader)
	Build a volatility structure from a single constant volatility quote.
void	buildVolatility (const QuantLib::Date &asof, const EquityVolatilityCurveConfig &vc, const VolatilityCurveConfig &vcc, const Loader &loader)
	Build a volatility curve from a 1-D curve of volatility quotes.
void	buildVolatility (const QuantLib::Date &asof, EquityVolatilityCurveConfig &vc, const VolatilityStrikeSurfaceConfig &vssc, const Loader &loader, const QuantLib::Handle< QuantExt::EquityIndex2 > &eqIndex)
	Build a volatility surface from a collection of expiry and absolute strike pairs.
void	buildVolatility (const QuantLib::Date &asof, EquityVolatilityCurveConfig &vc, const VolatilityMoneynessSurfaceConfig &vmsc, const Loader &loader, const QuantLib::Handle< QuantExt::EquityIndex2 > &eqIndex)
	Build a volatility surface from a collection of expiry and moneyness strike pairs.
void	buildVolatility (const QuantLib::Date &asof, EquityVolatilityCurveConfig &vc, const VolatilityDeltaSurfaceConfig &vdsc, const Loader &loader, const QuantLib::Handle< QuantExt::EquityIndex2 > &eqIndex)
	Build a volatility surface from a collection of expiry and strike delta pairs.
void	buildVolatility (const QuantLib::Date &asof, const EquityVolatilityCurveSpec &spec, const CurveConfigurations &curveConfigs, const ProxyVolatilityConfig &epvc, const map< string, QuantLib::ext::shared_ptr< EquityCurve > > &eqCurves, const map< string, QuantLib::ext::shared_ptr< EquityVolCurve > > &eqVolCurves, const map< string, QuantLib::ext::shared_ptr< FXVolCurve > > &fxVolCurves, const map< string, QuantLib::ext::shared_ptr< CorrelationCurve > > &requiredCorrelationCurves, const Market *fxIndices=nullptr, const std::string &configuration=std::string())
	Build a volatility surface as a proxy from another volatility surface.
void	buildCalibrationInfo (const QuantLib::Date &asof, const CurveConfigurations &curveConfigs, const EquityVolatilityCurveConfig &config, const Handle< QuantExt::EquityIndex2 > &eqIndex)
	Build the calibration info.
const QuantLib::ext::shared_ptr< BlackVolTermStructure > &	volTermStructure () const
const QuantLib::ext::shared_ptr< FxEqCommVolCalibrationInfo > &	calibrationInfo () const

Detailed Description

Wrapper class for building Equity volatility structures.