ApoFutureSurface Class Reference

Average future price option (APO) surface derived from a future option surface. More...

#include <qle/termstructures/aposurface.hpp>

Inheritance diagram for ApoFutureSurface:

Public Member Functions
	ApoFutureSurface (const QuantLib::Date &referenceDate, const std::vector< QuantLib::Real > &moneynessLevels, const QuantLib::ext::shared_ptr< CommodityIndex > &index, const QuantLib::Handle< PriceTermStructure > &pts, const QuantLib::Handle< QuantLib::YieldTermStructure > &yts, const QuantLib::ext::shared_ptr< FutureExpiryCalculator > &expCalc, const QuantLib::Handle< QuantLib::BlackVolTermStructure > &baseVts, const QuantLib::ext::shared_ptr< FutureExpiryCalculator > &baseExpCalc, QuantLib::Real beta=0.0, bool flatStrikeExtrapolation=true, const QuantLib::ext::optional< QuantLib::Period > &maxTenor=QuantLib::ext::nullopt, QuantLib::BlackVolTimeExtrapolation timeExtrapolation=QuantLib::BlackVolTimeExtrapolation::FlatVolatility)
TermStructure interface
QuantLib::Date	maxDate () const override
VolatilityTermStructure interface
QuantLib::Real	minStrike () const override
QuantLib::Real	maxStrike () const override
Visitability
void	accept (QuantLib::AcyclicVisitor &v) override
Observer interface
void	update () override
LazyObject interface
void	performCalculations () const override
Inspectors
const QuantLib::ext::shared_ptr< BlackVarianceSurfaceMoneyness > &	vts () const

BlackVolatilityTermStructure
QuantLib::Volatility	blackVolImpl (QuantLib::Time t, QuantLib::Real strike) const override

Detailed Description

Average future price option (APO) surface derived from a future option surface.