Fx Black volatility surface. More...

#include <qle/termstructures/fxblackvolsurface.hpp>

Inheritance diagram for FxBlackVolatilitySurface:

Public Member Functions
	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)
TermStructure interface
DayCounter	dayCounter () const override
Date	maxDate () const override
VolatilityTermStructure interface
Real	minStrike () const override
Real	maxStrike () const override

Visitability
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_
virtual void	accept (AcyclicVisitor &) override
QuantLib::ext::shared_ptr< FxSmileSection >	blackVolSmile (Time t) const
	Return an FxSmile for the time t.
virtual Volatility	blackVolImpl (Time t, Real strike) const override
virtual QuantLib::ext::shared_ptr< FxSmileSection >	blackVolSmileImpl (Real spot, Real rd, Real rf, Time t, Volatility atm, Volatility rr, Volatility bf) const =0
	this must be implemented.

Detailed Description

Fx Black volatility surface.

This class calculates time/strike dependent Black volatilities

Member Function Documentation

QuantLib::ext::shared_ptr< FxSmileSection > blackVolSmile ( Time t ) const

Return an FxSmile for the time t.

Note the smile does not observe the spot or YTS handles, it will not update when they change

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

protectedpure virtual

this must be implemented.