Average future price option (APO) surface derived from a future option surface. More...
#include <qle/termstructures/aposurface.hpp>
Public Member Functions | |
ApoFutureSurface (const QuantLib::Date &referenceDate, const std::vector< QuantLib::Real > &moneynessLevels, const boost::shared_ptr< CommodityIndex > &index, const QuantLib::Handle< PriceTermStructure > &pts, const QuantLib::Handle< QuantLib::YieldTermStructure > &yts, const boost::shared_ptr< FutureExpiryCalculator > &expCalc, const QuantLib::Handle< QuantLib::BlackVolTermStructure > &baseVts, const boost::shared_ptr< FutureExpiryCalculator > &baseExpCalc, QuantLib::Real beta=0.0, bool flatStrikeExtrapolation=true, const boost::optional< QuantLib::Period > &maxTenor=boost::none) | |
TermStructure interface | |
QuantLib::Date | maxDate () const override |
VolatilityTermStructure interface | |
QuantLib::Real | minStrike () const override |
QuantLib::Real | maxStrike () const override |
Visitability | |
void | accept (QuantLib::AcyclicVisitor &v) override |
Observer interface | |
void | update () override |
LazyObject interface | |
void | performCalculations () const override |
Inspectors | |
const boost::shared_ptr< BlackVarianceSurfaceMoneyness > & | vts () const |
BlackVolatilityTermStructure | |
QuantLib::Volatility | blackVolImpl (QuantLib::Time t, QuantLib::Real strike) const override |
Average future price option (APO) surface derived from a future option surface.