Fx Black volatility surface. More...

#include <qle/termstructures/fxblackvolsurface.hpp>

Inheritance diagram for FxBlackVolatilitySurface:

Public Member Functions
	FxBlackVolatilitySurface (const Date &referenceDate, const std::vector< Date > &dates, const std::vector< Volatility > &atmVols, const std::vector< Volatility > &rr, const std::vector< Volatility > &bf, const DayCounter &dayCounter, const Calendar &cal, const Handle< Quote > &fxSpot, const Handle< YieldTermStructure > &domesticTS, const Handle< YieldTermStructure > &foreignTS, bool requireMonotoneVariance=true, const DeltaVolQuote::AtmType atmType=DeltaVolQuote::AtmType::AtmDeltaNeutral, const DeltaVolQuote::DeltaType deltaType=DeltaVolQuote::DeltaType::Spot, const Real delta=0.25, const Period &switchTenor=0 *Days, const DeltaVolQuote::AtmType longTermAtmType=DeltaVolQuote::AtmType::AtmDeltaNeutral, const DeltaVolQuote::DeltaType longTermDeltaType=DeltaVolQuote::DeltaType::Spot)

TermStructure interface
DayCounter	dayCounter () const override

Date	maxDate () const override

VolatilityTermStructure interface
Real	minStrike () const override

Real	maxStrike () const override

Visitability
std::vector< Time >	times_

DayCounter	dayCounter_

Handle< Quote >	fxSpot_

Handle< YieldTermStructure >	domesticTS_

Handle< YieldTermStructure >	foreignTS_

BlackVarianceCurve	atmCurve_

std::vector< Volatility >	rr_

std::vector< Volatility >	bf_

DeltaVolQuote::AtmType	atmType_

DeltaVolQuote::DeltaType	deltaType_

Real	delta_

Period	switchTenor_

DeltaVolQuote::AtmType	longTermAtmType_

DeltaVolQuote::DeltaType	longTermDeltaType_

Interpolation	rrCurve_

Interpolation	bfCurve_

Date	maxDate_

virtual void	accept (AcyclicVisitor &) override

boost::shared_ptr< FxSmileSection >	blackVolSmile (Time t) const
	Return an FxSmile for the time t. More...

virtual Volatility	blackVolImpl (Time t, Real strike) const override

virtual boost::shared_ptr< FxSmileSection >	blackVolSmileImpl (Real spot, Real rd, Real rf, Time t, Volatility atm, Volatility rr, Volatility bf) const =0
	this must be implemented.

Detailed Description

Fx Black volatility surface.

This class calculates time/strike dependent Black volatilities

Member Function Documentation

boost::shared_ptr<FxSmileSection> blackVolSmile ( Time t ) const

Return an FxSmile for the time t.

Note the smile does not observe the spot or YTS handles, it will not update when they change