CommodityOptionSurfaceStripper Class Reference

Inheritance diagram for CommodityOptionSurfaceStripper:

Public Member Functions
	CommodityOptionSurfaceStripper (const QuantLib::Handle< QuantExt::PriceTermStructure > &priceCurve, const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve, const boost::shared_ptr< OptionInterpolatorBase > &callSurface, const boost::shared_ptr< OptionInterpolatorBase > &putSurface, const QuantLib::Calendar &calendar, const QuantLib::DayCounter &dayCounter, QuantLib::Exercise::Type type=QuantLib::Exercise::European, bool lowerStrikeConstExtrap=true, bool upperStrikeConstExtrap=true, bool timeFlatExtrapolation=false, bool preferOutOfTheMoney=false, Solver1DOptions solverOptions={})
Public Member Functions inherited from OptionSurfaceStripper
	OptionSurfaceStripper (const boost::shared_ptr< OptionInterpolatorBase > &callSurface, const boost::shared_ptr< OptionInterpolatorBase > &putSurface, const QuantLib::Calendar &calendar, const QuantLib::DayCounter &dayCounter, QuantLib::Exercise::Type type=QuantLib::Exercise::European, bool lowerStrikeConstExtrap=true, bool upperStrikeConstExtrap=true, bool timeFlatExtrapolation=false, bool preferOutOfTheMoney=false, Solver1DOptions solverOptions={})
void	performCalculations () const override
boost::shared_ptr< QuantLib::BlackVolTermStructure >	volSurface ()
	Return the stripped volatility structure.

OptionSurfaceStripper interface
boost::shared_ptr< QuantLib::GeneralizedBlackScholesProcess >	process (const boost::shared_ptr< QuantLib::SimpleQuote > &volatilityQuote) const override
	Generate the relevant Black Scholes process for the underlying.
QuantLib::Real	forward (const QuantLib::Date &date) const override
	Return the forward price at a given date.

Additional Inherited Members
Protected Member Functions inherited from OptionSurfaceStripper
Protected Attributes inherited from OptionSurfaceStripper
boost::shared_ptr< OptionInterpolatorBase >	callSurface_
boost::shared_ptr< OptionInterpolatorBase >	putSurface_
const QuantLib::Calendar &	calendar_
const QuantLib::DayCounter &	dayCounter_
QuantLib::Exercise::Type	type_
bool	lowerStrikeConstExtrap_
bool	upperStrikeConstExtrap_
bool	timeFlatExtrapolation_
bool	preferOutOfTheMoney_