BlackVolatilityWithATM Class Reference

Wrapper class for a BlackVolTermStructure that easily exposes ATM vols. More...

#include <qle/termstructures/blackvolsurfacewithatm.hpp>

Inheritance diagram for BlackVolatilityWithATM:

Public Member Functions
	BlackVolatilityWithATM (const boost::shared_ptr< BlackVolTermStructure > &surface, const Handle< Quote > &spot, const Handle< YieldTermStructure > &yield1=Handle< YieldTermStructure >(), const Handle< YieldTermStructure > &yield2=Handle< YieldTermStructure >())
	Constructor. This is a floating term structure (settlement days is zero)
TermStructure interface
DayCounter	dayCounter () const override
Date	maxDate () const override
Time	maxTime () const override
const Date &	referenceDate () const override
Calendar	calendar () const override
Natural	settlementDays () const override
VolatilityTermStructure interface
Rate	minStrike () const override
Rate	maxStrike () const override

Inspectors
boost::shared_ptr< BlackVolTermStructure >	surface () const
Handle< Quote >	spot () const
Handle< YieldTermStructure >	yield1 () const
Handle< YieldTermStructure >	yield2 () const
Volatility	blackVolImpl (Time t, Real strike) const override

Detailed Description

Wrapper class for a BlackVolTermStructure that easily exposes ATM vols.

This class implements BlackVolatilityTermStructure and takes a surface (well, any BlackVolTermStructure) as an input. If asked for a volatility with strike=Null<Real>() or 0 it will calculate the forward value and use this as the strike, this makes it easy to access ATMF values.

The forward value is calculated using the input spot and yield curves, so can be used for both FX and Equity vols.

For FX markets, one should set the spot to be the FX spot rate, yield1 to be the base discount curve and yield2 to be the reference discount curve (e.g. EURUSD, yield1 = EUR).

For Equity markets, one should set the spot to be the equity price, yield1 to be the discount curve and yield2 to be the dividend curve.