BlackVarianceSurfaceMoneynessSpot Class Reference

#include <qle/termstructures/blackvariancesurfacemoneyness.hpp>

Inheritance diagram for BlackVarianceSurfaceMoneynessSpot:

Public Member Functions
	BlackVarianceSurfaceMoneynessSpot (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=false, bool flatExtrapMoneyness=false, BlackVolTimeExtrapolation timeExtrapolation=BlackVolTimeExtrapolation::FlatVolatility)
	BlackVarianceSurfaceMoneynessSpot (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=false, bool flatExtrapMoneyness=false, BlackVolTimeExtrapolation timeExtrapolation=BlackVolTimeExtrapolation::FlatVolatility)
	Spot moneyness variance surface with a fixed reference date.
Public Member Functions inherited from BlackVarianceSurfaceMoneyness
	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.
Date	maxDate () const override
Real	minStrike () const override
Real	maxStrike () const override
void	update () override
void	performCalculations () const override
virtual void	accept (AcyclicVisitor &) override
std::vector< Real >	moneyness () const

Additional Inherited Members
bool	stickyStrike_
Handle< Quote >	spot_
std::vector< Time >	times_
std::vector< Real >	moneyness_
bool	flatExtrapMoneyness_
BlackVolTimeExtrapolation	timeExtrapolation_

Detailed Description

Black volatility surface based on spot moneyness

Constructor & Destructor Documentation

BlackVarianceSurfaceMoneynessSpot()

BlackVarianceSurfaceMoneynessSpot	(	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 = false,
		bool	flatExtrapMoneyness = false,
		BlackVolTimeExtrapolation	timeExtrapolation = BlackVolTimeExtrapolation::FlatVolatility )

Moneyness is defined here as spot moneyness, i.e. K/S