Black volatility surface based on forward log moneyness. More...
#include <qle/termstructures/spreadedblackvolatilitysurfacemoneyness.hpp>
Public Member Functions | |
SpreadedBlackVolatilitySurfaceMoneyness (const Handle< BlackVolTermStructure > &referenceVol, const Handle< Quote > &movingSpot, const std::vector< Time > ×, const std::vector< Real > &moneyness, const std::vector< std::vector< Handle< Quote >>> &volSpreads, const Handle< Quote > &stickySpot, const Handle< YieldTermStructure > &stickyDividendTs, const Handle< YieldTermStructure > &stickyRiskFreeTs, const Handle< YieldTermStructure > &movingDividendTs, const Handle< YieldTermStructure > &movingRiskFreeTs, bool stickyStrike) | |
Public Member Functions inherited from SpreadedBlackVolatilitySurfaceMoneyness | |
SpreadedBlackVolatilitySurfaceMoneyness (const Handle< BlackVolTermStructure > &referenceVol, const Handle< Quote > &movingSpot, const std::vector< Time > ×, const std::vector< Real > &moneyness, const std::vector< std::vector< Handle< Quote >>> &volSpreads, const Handle< Quote > &stickySpot, const Handle< YieldTermStructure > &stickyDividendTs, const Handle< YieldTermStructure > &stickyRiskFreeTs, const Handle< YieldTermStructure > &movingDividendTs, const Handle< YieldTermStructure > &movingRiskFreeTs, bool stickyStrike) | |
Date | maxDate () const override |
const Date & | referenceDate () const override |
Calendar | calendar () const override |
Natural | settlementDays () const override |
Real | minStrike () const override |
Real | maxStrike () const override |
void | update () override |
const std::vector< QuantLib::Real > & | moneyness () const |
Additional Inherited Members | |
Protected Attributes inherited from SpreadedBlackVolatilitySurfaceMoneyness | |
Handle< BlackVolTermStructure > | referenceVol_ |
Handle< Quote > | movingSpot_ |
std::vector< Time > | times_ |
std::vector< Real > | moneyness_ |
std::vector< std::vector< Handle< Quote > > > | volSpreads_ |
Handle< Quote > | stickySpot_ |
Handle< YieldTermStructure > | stickyDividendTs_ |
Handle< YieldTermStructure > | stickyRiskFreeTs_ |
Handle< YieldTermStructure > | movingDividendTs_ |
Handle< YieldTermStructure > | movingRiskFreeTs_ |
bool | stickyStrike_ |
Matrix | data_ |
Interpolation2D | volSpreadSurface_ |
Black volatility surface based on forward log moneyness.