Reference manual - version qle_version
#include <qle/termstructures/blackvariancesurfacesparse.hpp>
Inheritance diagram for BlackVarianceSurfaceSparse:Public Types | |
| enum class | TimeInterpolationMethod { Linear , Flat } |
Public Member Functions | |
| BlackVarianceSurfaceSparse (const QuantLib::Date &referenceDate, const QuantLib::Calendar &cal, const std::vector< QuantLib::Date > &dates, const std::vector< QuantLib::Real > &strikes, const std::vector< QuantLib::Volatility > &volatilities, const QuantLib::DayCounter &dayCounter, bool lowerStrikeConstExtrap=true, bool upperStrikeConstExtrap=true, bool timeFlatExtrapolation=false) | |
TermStructure interface | |
| QuantLib::Date | maxDate () const override |
| const QuantLib::Date & | referenceDate () const override |
| QuantLib::DayCounter | dayCounter () const override |
VolatilityTermStructure interface | |
| QuantLib::Real | minStrike () const override |
| QuantLib::Real | maxStrike () const override |
| Public Member Functions inherited from OptionInterpolator2d< QuantLib::Linear, QuantLib::Linear > | |
| OptionInterpolator2d (const QuantLib::Date &referenceDate, const QuantLib::DayCounter &dayCounter, bool lowerStrikeConstExtrap=true, bool upperStrikeConstExtrap=true, const QuantLib::Linear &interpolatorStrike=QuantLib::Linear(), const QuantLib::Linear &interpolatorExpiry=QuantLib::Linear(), const QuantLib::Date &baseDate=QuantLib::Date()) | |
| OptionInterpolator2d default Constructor. | |
| OptionInterpolator2d (const QuantLib::Date &referenceDate, const QuantLib::DayCounter &dayCounter, const std::vector< QuantLib::Date > &dates, const std::vector< QuantLib::Real > &strikes, const std::vector< QuantLib::Real > &values, bool lowerStrikeConstExtrap=true, bool upperStrikeConstExtrap=true, const QuantLib::Linear &interpolatorStrike=QuantLib::Linear(), const QuantLib::Linear &interpolatorExpiry=QuantLib::Linear(), const QuantLib::Date &baseDate=QuantLib::Date()) | |
| OptionInterpolator2d Constructor with dates. | |
| OptionInterpolator2d (const QuantLib::Date &referenceDate, const QuantLib::Calendar &calendar, const QuantLib::BusinessDayConvention &bdc, const QuantLib::DayCounter &dayCounter, const std::vector< QuantLib::Period > &tenors, const std::vector< QuantLib::Real > &strikes, const std::vector< QuantLib::Real > &values, bool lowerStrikeConstExtrap=true, bool upperStrikeConstExtrap=true, const QuantLib::Linear &interpolatorStrike=QuantLib::Linear(), const QuantLib::Linear &interpolatorExpiry=QuantLib::Linear(), const QuantLib::Date &baseDate=QuantLib::Date()) | |
| OptionInterpolator2d Constructor with Tenors. | |
| OptionInterpolator2d (const OptionInterpolator2d &)=delete | |
| OptionInterpolator2d & | operator= (const OptionInterpolator2d &)=delete |
| void | initialise (const std::vector< QuantLib::Date > &dates, const std::vector< QuantLib::Real > &strikes, const std::vector< QuantLib::Real > &values) |
| Initialise. | |
| void | initialise (const std::vector< QuantLib::Period > &tenors, const std::vector< QuantLib::Real > &strikes, const std::vector< QuantLib::Real > &values, const QuantLib::Calendar &calendar, const QuantLib::BusinessDayConvention &bdc) |
| std::vector< QuantLib::Time > | times () const |
| std::vector< QuantLib::Date > | expiries () const |
| std::vector< std::vector< QuantLib::Real > > | strikes () const |
| std::vector< std::vector< QuantLib::Real > > | values () const |
| QuantLib::DayCounter | dayCounter () const |
| QuantLib::Real | getValue (QuantLib::Time t, QuantLib::Real strike) const override |
| virtual access methods | |
| QuantLib::Real | getValue (QuantLib::Date d, QuantLib::Real strike) const override |
| Public Member Functions inherited from OptionInterpolatorBase | |
| OptionInterpolatorBase (const QuantLib::Date &referenceDate) | |
| const QuantLib::Date & | referenceDate () const |
| std::vector< QuantLib::Time > | times () const |
| std::vector< QuantLib::Date > | expiries () const |
| std::vector< std::vector< QuantLib::Real > > | strikes () const |
| std::vector< std::vector< QuantLib::Real > > | values () const |
Visitability | |
| bool | timeFlatExtrapolation_ |
| virtual void | accept (QuantLib::AcyclicVisitor &) override |
| virtual QuantLib::Real | blackVarianceImpl (QuantLib::Time t, QuantLib::Real strike) const override |
Additional Inherited Members | |
| Protected Attributes inherited from OptionInterpolator2d< QuantLib::Linear, QuantLib::Linear > | |
| std::vector< QuantLib::Interpolation > | interpolations_ |
| Protected Attributes inherited from OptionInterpolatorBase | |
| std::vector< QuantLib::Date > | expiries_ |
| std::vector< QuantLib::Time > | times_ |
| std::vector< std::vector< QuantLib::Real > > | strikes_ |
| std::vector< std::vector< QuantLib::Real > > | values_ |
| QuantLib::Date | referenceDate_ |
Black volatility surface based on sparse matrix.
