FxBlackVannaVolgaVolatilitySurface Class Reference

Fx Black vanna volga volatility surface. More...

#include <qle/termstructures/fxblackvolsurface.hpp>

Inheritance diagram for FxBlackVannaVolgaVolatilitySurface:

Public Member Functions
	FxBlackVannaVolgaVolatilitySurface (const Date &refDate, const std::vector< Date > &dates, const std::vector< Volatility > &atmVols, const std::vector< Volatility > &rr, const std::vector< Volatility > &bf, const DayCounter &dc, const Calendar &cal, const Handle< Quote > &fx, const Handle< YieldTermStructure > &dom, const Handle< YieldTermStructure > &fore, bool requireMonotoneVariance=true, const bool firstApprox=false, const DeltaVolQuote::AtmType atmType=DeltaVolQuote::AtmType::AtmDeltaNeutral, const DeltaVolQuote::DeltaType deltaType=DeltaVolQuote::DeltaType::Spot, const Real delta=0.25, const Period &switchTenor=0 *Days, const DeltaVolQuote::AtmType longTermAtmType=DeltaVolQuote::AtmType::AtmDeltaNeutral, const DeltaVolQuote::DeltaType longTermDeltaType=DeltaVolQuote::DeltaType::Spot)
Public Member Functions inherited from FxBlackVolatilitySurface
	FxBlackVolatilitySurface (const Date &referenceDate, const std::vector< Date > &dates, const std::vector< Volatility > &atmVols, const std::vector< Volatility > &rr, const std::vector< Volatility > &bf, const DayCounter &dayCounter, const Calendar &cal, const Handle< Quote > &fxSpot, const Handle< YieldTermStructure > &domesticTS, const Handle< YieldTermStructure > &foreignTS, bool requireMonotoneVariance=true, const DeltaVolQuote::AtmType atmType=DeltaVolQuote::AtmType::AtmDeltaNeutral, const DeltaVolQuote::DeltaType deltaType=DeltaVolQuote::DeltaType::Spot, const Real delta=0.25, const Period &switchTenor=0 *Days, const DeltaVolQuote::AtmType longTermAtmType=DeltaVolQuote::AtmType::AtmDeltaNeutral, const DeltaVolQuote::DeltaType longTermDeltaType=DeltaVolQuote::DeltaType::Spot)
DayCounter	dayCounter () const override
Date	maxDate () const override
Real	minStrike () const override
Real	maxStrike () const override
virtual void	accept (AcyclicVisitor &) override
QuantLib::ext::shared_ptr< FxSmileSection >	blackVolSmile (Time t) const
	Return an FxSmile for the time t.

Protected Member Functions
virtual QuantLib::ext::shared_ptr< FxSmileSection >	blackVolSmileImpl (Real spot, Real rd, Real rf, Time t, Volatility atm, Volatility rr, Volatility bf) const override
	this must be implemented.
virtual Volatility	blackVolImpl (Time t, Real strike) const override

Protected Attributes
bool	firstApprox_
std::vector< Time >	times_
DayCounter	dayCounter_
Handle< Quote >	fxSpot_
Handle< YieldTermStructure >	domesticTS_
Handle< YieldTermStructure >	foreignTS_
BlackVarianceCurve	atmCurve_
std::vector< Volatility >	rr_
std::vector< Volatility >	bf_
DeltaVolQuote::AtmType	atmType_
DeltaVolQuote::DeltaType	deltaType_
Real	delta_
Period	switchTenor_
DeltaVolQuote::AtmType	longTermAtmType_
DeltaVolQuote::DeltaType	longTermDeltaType_
Interpolation	rrCurve_
Interpolation	bfCurve_
Date	maxDate_

Detailed Description

Fx Black vanna volga volatility surface.

This class calculates time/strike dependent Black volatilities

Member Function Documentation

blackVolSmileImpl()

virtual QuantLib::ext::shared_ptr< FxSmileSection > blackVolSmileImpl ( Real spot, Real rd, Real rf, Time t, Volatility atm, Volatility rr, Volatility bf ) const

overrideprotectedvirtual

this must be implemented.

Implements FxBlackVolatilitySurface.