Public Member Functions

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)

LazyObject interface
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_
void	performCalculations () const override
QuantLib::ext::shared_ptr< QuantLib::BlackVolTermStructure >	volSurface ()
	Return the stripped volatility structure.
virtual QuantLib::ext::shared_ptr< QuantLib::GeneralizedBlackScholesProcess >	process (const QuantLib::ext::shared_ptr< QuantLib::SimpleQuote > &volatilityQuote) const =0
	Generate the relevant Black Scholes process for the underlying.
virtual QuantLib::Real	forward (const QuantLib::Date &date) const =0
	Return the forward price at a given date.

Detailed Description

Abstract base class for the option stripper.

Member Function Documentation

◆ process()

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

protectedpure virtual

Generate the relevant Black Scholes process for the underlying.

Implemented in CommodityOptionSurfaceStripper, and EquityOptionSurfaceStripper.

◆ forward()

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