CarrMadanSurface Class Reference

Public Member Functions
	CarrMadanSurface (const std::vector< Real > &times, const std::vector< Real > &moneyness, const Real spot, const std::vector< Real > &forwards, const std::vector< std::vector< Real > > &callPrices, const VolatilityType volType=ShiftedLognormal, const Real shift=0.0)
const std::vector< Real > &	times () const
const std::vector< Real > &	moneyness () const
Real	spot () const
const std::vector< Real > &	forwards () const
const std::vector< std::vector< Real > > &	callPrices () const
bool	arbitrageFree () const
const std::vector< CarrMadanMarginalProbability > &	timeSlices () const
const std::vector< std::vector< bool > > &	callSpreadArbitrage () const
const std::vector< std::vector< bool > > &	butterflyArbitrage () const
const std::vector< std::vector< bool > > &	calendarArbitrage () const

Constructor & Destructor Documentation

CarrMadanSurface()

CarrMadanSurface	(	const std::vector< Real > &	times,
		const std::vector< Real > &	moneyness,
		const Real	spot,
		const std::vector< Real > &	forwards,
		const std::vector< std::vector< Real > > &	callPrices,
		const VolatilityType	volType = ShiftedLognormal,
		const Real	shift = 0.0 )

The moneyness (lognormal) is defined as (K+displacement) / (F + displacement), K = strike, F = forward at the relevant time. The moneyness (normal) is defined as K - F, K = strike, F = forward at the relevant time. The times and moneyness should be strictly increasing. The outer vectors for call prices and the calendarAbritrage() result represent times, the inner strikes.