BlackTriangulationATMVolTermStructure Class Reference

Black volatility surface that implies an ATM vol based on triangulation. More...

#include <qle/termstructures/blacktriangulationatmvol.hpp>

Inheritance diagram for BlackTriangulationATMVolTermStructure:

Public Member Functions
	BlackTriangulationATMVolTermStructure (const Handle< BlackVolTermStructure > &vol1, const Handle< BlackVolTermStructure > &vol2, const Handle< CorrelationTermStructure > &rho, const bool staticVol2=false)
	Constructor takes two BlackVolTermStructure and a correlation. More...
TermStructure interface
const Date &	referenceDate () const override
Date	maxDate () const override
Natural	settlementDays () const override
Calendar	calendar () const override
Observer interface
void	update () override
VolatilityTermStructure interface
Real	minStrike () const override
Real	maxStrike () const override

Visitability
virtual void	accept (AcyclicVisitor &) override
virtual Volatility	blackVolImpl (Time t, Real) const override

Detailed Description

Black volatility surface that implies an ATM vol based on triangulation.

This class is used when one wants to proxy a volatility like XAU/EUR using XAU/USD, EUR/USD and a correlation. It uses the cosing rule. The correlation can be implied from a vol (if you had XAU/EUR) or historically estimated. This class is just ATM, otherwise there is a degree of freedom in selecting strikes.

One application of this is SIMM sensis, where the vol for XAU/EUR must be broken down into XAU/USD and EUR/USD.

Other methods for building a full surface exist, but to keep things simple we just do ATM

Constructor & Destructor Documentation

BlackTriangulationATMVolTermStructure()

BlackTriangulationATMVolTermStructure	(	const Handle< BlackVolTermStructure > &	vol1,
		const Handle< BlackVolTermStructure > &	vol2,
		const Handle< CorrelationTermStructure > &	rho,
		const bool	staticVol2 = false
	)

Constructor takes two BlackVolTermStructure and a correlation.

Attributes like referenceDate, settlementDays, Calendar, etc are taken from vol1