Wrapper class for building Equity volatility structures. More...
#include <ored/marketdata/equityvolcurve.hpp>
Public Member Functions | |
Constructors | |
EquityVolCurve () | |
Default constructor. | |
EquityVolCurve (Date asof, EquityVolatilityCurveSpec spec, const Loader &loader, const CurveConfigurations &curveConfigs, const QuantLib::Handle< QuantExt::EquityIndex2 > &eqIndex, const std::map< std::string, boost::shared_ptr< EquityCurve >> &requiredEquityCurves={}, const std::map< std::string, boost::shared_ptr< EquityVolCurve >> &requiredEquityVolCurves={}, const std::map< std::string, boost::shared_ptr< FXVolCurve >> &requiredFxVolCurves={}, const std::map< std::string, boost::shared_ptr< CorrelationCurve >> &requiredCorrelationCurves={}, const Market *market=nullptr, const bool buildCalibrationInfo=true) | |
Detailed constructor. | |
Inspectors | |
const EquityVolatilityCurveSpec & | spec () const |
void | buildVolatility (const QuantLib::Date &asof, const EquityVolatilityCurveConfig &vc, const ConstantVolatilityConfig &cvc, const Loader &loader) |
Build a volatility structure from a single constant volatility quote. | |
void | buildVolatility (const QuantLib::Date &asof, const EquityVolatilityCurveConfig &vc, const VolatilityCurveConfig &vcc, const Loader &loader) |
Build a volatility curve from a 1-D curve of volatility quotes. | |
void | buildVolatility (const QuantLib::Date &asof, EquityVolatilityCurveConfig &vc, const VolatilityStrikeSurfaceConfig &vssc, const Loader &loader, const QuantLib::Handle< QuantExt::EquityIndex2 > &eqIndex) |
Build a volatility surface from a collection of expiry and absolute strike pairs. | |
void | buildVolatility (const QuantLib::Date &asof, EquityVolatilityCurveConfig &vc, const VolatilityMoneynessSurfaceConfig &vmsc, const Loader &loader, const QuantLib::Handle< QuantExt::EquityIndex2 > &eqIndex) |
Build a volatility surface from a collection of expiry and moneyness strike pairs. | |
void | buildVolatility (const QuantLib::Date &asof, EquityVolatilityCurveConfig &vc, const VolatilityDeltaSurfaceConfig &vdsc, const Loader &loader, const QuantLib::Handle< QuantExt::EquityIndex2 > &eqIndex) |
Build a volatility surface from a collection of expiry and strike delta pairs. | |
void | buildVolatility (const QuantLib::Date &asof, const EquityVolatilityCurveSpec &spec, const CurveConfigurations &curveConfigs, const ProxyVolatilityConfig &epvc, const map< string, boost::shared_ptr< EquityCurve >> &eqCurves, const map< string, boost::shared_ptr< EquityVolCurve >> &eqVolCurves, const map< string, boost::shared_ptr< FXVolCurve >> &fxVolCurves, const map< string, boost::shared_ptr< CorrelationCurve >> &requiredCorrelationCurves, const Market *fxIndices=nullptr) |
Build a volatility surface as a proxy from another volatility surface. | |
void | buildCalibrationInfo (const QuantLib::Date &asof, const CurveConfigurations &curveConfigs, const EquityVolatilityCurveConfig &config, const Handle< QuantExt::EquityIndex2 > &eqIndex) |
Build the calibration info. | |
const boost::shared_ptr< BlackVolTermStructure > & | volTermStructure () const |
const boost::shared_ptr< FxEqCommVolCalibrationInfo > & | calibrationInfo () const |
Wrapper class for building Equity volatility structures.