Abstract base class for the option stripper. More...

#include <qle/termstructures/eqcommoptionsurfacestripper.hpp>

Inheritance diagram for OptionSurfaceStripper:

Public Member Functions
	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={})

LazyObject interface
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_

void	performCalculations () const override

boost::shared_ptr< QuantLib::BlackVolTermStructure >	volSurface ()
	Return the stripped volatility structure.

virtual boost::shared_ptr< QuantLib::GeneralizedBlackScholesProcess >	process (const boost::shared_ptr< QuantLib::SimpleQuote > &volatilityQuote) const =0
	Generate the relevant Black Scholes process for the underlying.

virtual QuantLib::Real	forward (const QuantLib::Date &date) const =0
	Return the forward price at a given date.

Detailed Description

Abstract base class for the option stripper.

Public Member Functions