CommodityOptionSurfaceStripper Class Reference

Inheritance diagram for CommodityOptionSurfaceStripper:

Public Member Functions
	CommodityOptionSurfaceStripper (const QuantLib::Handle< QuantExt::PriceTermStructure > &priceCurve, const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve, const QuantLib::ext::shared_ptr< OptionInterpolatorBase > &callSurface, const QuantLib::ext::shared_ptr< OptionInterpolatorBase > &putSurface, const QuantLib::Calendar &calendar, const QuantLib::DayCounter &dayCounter, QuantLib::Exercise::Type type=QuantLib::Exercise::European, bool lowerStrikeConstExtrap=true, bool upperStrikeConstExtrap=true, QuantLib::BlackVolTimeExtrapolation timeExtrapolation=QuantLib::BlackVolTimeExtrapolation::FlatVolatility, bool preferOutOfTheMoney=false, Solver1DOptions solverOptions={}, QuantLib::VolatilityType volType=QuantLib::VolatilityType::ShiftedLognormal, Real displacement=0.0)
Public Member Functions inherited from OptionSurfaceStripper
	OptionSurfaceStripper (const QuantLib::ext::shared_ptr< OptionInterpolatorBase > &callSurface, const QuantLib::ext::shared_ptr< OptionInterpolatorBase > &putSurface, const QuantLib::Calendar &calendar, const QuantLib::DayCounter &dayCounter, QuantLib::Exercise::Type type=QuantLib::Exercise::European, bool lowerStrikeConstExtrap=true, bool upperStrikeConstExtrap=true, QuantLib::BlackVolTimeExtrapolation timeExtrapolation=QuantLib::BlackVolTimeExtrapolation::FlatVolatility, bool preferOutOfTheMoney=false, Solver1DOptions solverOptions={}, QuantLib::VolatilityType volType=QuantLib::VolatilityType::ShiftedLognormal, Real displacement=0.0)
void	performCalculations () const override
QuantLib::ext::shared_ptr< QuantLib::BlackVolTermStructure >	volSurface ()
	Return the stripped volatility structure.

OptionSurfaceStripper interface
QuantLib::ext::shared_ptr< QuantLib::GeneralizedBlackScholesProcess >	process (const QuantLib::ext::shared_ptr< QuantLib::SimpleQuote > &volatilityQuote) const override
	Generate the relevant Black Scholes process for the underlying.
QuantLib::Real	forward (const QuantLib::Date &date) const override
	Return the forward price at a given date.

Additional Inherited Members
QuantLib::ext::shared_ptr< OptionInterpolatorBase >	callSurface_
QuantLib::ext::shared_ptr< OptionInterpolatorBase >	putSurface_
const QuantLib::Calendar &	calendar_
const QuantLib::DayCounter &	dayCounter_
QuantLib::Exercise::Type	type_
bool	lowerStrikeConstExtrap_
bool	upperStrikeConstExtrap_
QuantLib::BlackVolTimeExtrapolation	timeExtrapolation_
bool	preferOutOfTheMoney_
QuantLib::VolatilityType	volType_
Real	displacement_

Member Function Documentation

process()

QuantLib::ext::shared_ptr< QuantLib::GeneralizedBlackScholesProcess > process ( const QuantLib::ext::shared_ptr< QuantLib::SimpleQuote > & volatilityQuote ) const

overrideprotectedvirtual

Generate the relevant Black Scholes process for the underlying.

Implements OptionSurfaceStripper.

forward()

QuantLib::Real forward ( const QuantLib::Date & date ) const

overrideprotectedvirtual

Return the forward price at a given date.

Implements OptionSurfaceStripper.