Abstract Black volatility surface based on moneyness (moneyness defined in subclasses). More...

#include <qle/termstructures/blackvariancesurfacemoneyness.hpp>

Inheritance diagram for BlackVarianceSurfaceMoneyness:

Public Member Functions
	BlackVarianceSurfaceMoneyness (const Calendar &cal, const Handle< Quote > &spot, const std::vector< Time > &times, const std::vector< Real > &moneyness, const std::vector< std::vector< Handle< Quote > > > &blackVolMatrix, const DayCounter &dayCounter, bool stickyStrike, bool flatExtrapMoneyness=false, BlackVolTimeExtrapolation timeExtrapolation=BlackVolTimeExtrapolation::FlatVolatility)
	BlackVarianceSurfaceMoneyness (const Date &referenceDate, const Calendar &cal, const Handle< Quote > &spot, const std::vector< Time > &times, const std::vector< Real > &moneyness, const std::vector< std::vector< Handle< Quote > > > &blackVolMatrix, const DayCounter &dayCounter, bool stickyStrike, bool flatExtrapMoneyness=false, BlackVolTimeExtrapolation timeExtrapolation=BlackVolTimeExtrapolation::FlatVolatility)
	Moneyness variance surface with a fixed reference date.
TermStructure interface
Date	maxDate () const override
VolatilityTermStructure interface
Real	minStrike () const override
Real	maxStrike () const override
Observer interface
void	update () override
LazyObject interface
void	performCalculations () const override
Visitability
virtual void	accept (AcyclicVisitor &) override

Inspectors
bool	stickyStrike_
Handle< Quote >	spot_
std::vector< Time >	times_
std::vector< Real >	moneyness_
bool	flatExtrapMoneyness_
BlackVolTimeExtrapolation	timeExtrapolation_
std::vector< Real >	moneyness () const
virtual Real	moneyness (Time t, Real strike) const =0

Detailed Description

Abstract Black volatility surface based on moneyness (moneyness defined in subclasses).

Constructor & Destructor Documentation

BlackVarianceSurfaceMoneyness	(	const Calendar &	cal,
		const Handle< Quote > &	spot,
		const std::vector< Time > &	times,
		const std::vector< Real > &	moneyness,
		const std::vector< std::vector< Handle< Quote > > > &	blackVolMatrix,
		const DayCounter &	dayCounter,
		bool	stickyStrike,
		bool	flatExtrapMoneyness = false,
		BlackVolTimeExtrapolation	timeExtrapolation = BlackVolTimeExtrapolation::FlatVolatility )

Moneyness can be defined here as spot moneyness, i.e. K/S or forward moneyness, ie K/F