Abstract Black volatility surface based on moneyness (moneyness defined in subclasses) More...

#include <qle/termstructures/blackvariancesurfacemoneyness.hpp>

Inheritance diagram for BlackVarianceSurfaceMoneyness:

Public Member Functions
	BlackVarianceSurfaceMoneyness (const Calendar &cal, const Handle< Quote > &spot, const std::vector< Time > &times, const std::vector< Real > &moneyness, const std::vector< std::vector< Handle< Quote > > > &blackVolMatrix, const DayCounter &dayCounter, bool stickyStrike, bool flatExtrapMoneyness=false)

	BlackVarianceSurfaceMoneyness (const Date &referenceDate, const Calendar &cal, const Handle< Quote > &spot, const std::vector< Time > &times, const std::vector< Real > &moneyness, const std::vector< std::vector< Handle< Quote > > > &blackVolMatrix, const DayCounter &dayCounter, bool stickyStrike, bool flatExtrapMoneyness=false)
	Moneyness variance surface with a fixed reference date.

TermStructure interface
Date	maxDate () const override

VolatilityTermStructure interface
Real	minStrike () const override

Real	maxStrike () const override

Observer interface
void	update () override

LazyObject interface
void	performCalculations () const override

Visitability
virtual void	accept (AcyclicVisitor &) override

Inspectors
bool	stickyStrike_

Handle< Quote >	spot_

std::vector< Time >	times_

std::vector< Real >	moneyness_

bool	flatExtrapMoneyness_

std::vector< QuantLib::Real >	moneyness () const

virtual Real	moneyness (Time t, Real strike) const =0

Detailed Description

Abstract Black volatility surface based on moneyness (moneyness defined in subclasses)

Constructor & Destructor Documentation

BlackVarianceSurfaceMoneyness	(	const Calendar &	cal,
		const Handle< Quote > &	spot,
		const std::vector< Time > &	times,
		const std::vector< Real > &	moneyness,
		const std::vector< std::vector< Handle< Quote > > > &	blackVolMatrix,
		const DayCounter &	dayCounter,
		bool	stickyStrike,
		bool	flatExtrapMoneyness = `false`
	)

Moneyness can be defined here as spot moneyness, i.e. K/S or forward moneyness, ie K/F