Abstract Spreaded Black volatility surface based on moneyness (moneyness defined in subclasses) More...

#include <qle/termstructures/spreadedblackvolatilitysurfacemoneyness.hpp>

Inheritance diagram for SpreadedBlackVolatilitySurfaceMoneyness:

Public Member Functions
	SpreadedBlackVolatilitySurfaceMoneyness (const Handle< BlackVolTermStructure > &referenceVol, const Handle< Quote > &movingSpot, const std::vector< Time > &times, const std::vector< Real > &moneyness, const std::vector< std::vector< Handle< Quote >>> &volSpreads, const Handle< Quote > &stickySpot, const Handle< YieldTermStructure > &stickyDividendTs, const Handle< YieldTermStructure > &stickyRiskFreeTs, const Handle< YieldTermStructure > &movingDividendTs, const Handle< YieldTermStructure > &movingRiskFreeTs, bool stickyStrike)

Date	maxDate () const override

const Date &	referenceDate () const override

Calendar	calendar () const override

Natural	settlementDays () const override

Real	minStrike () const override

Real	maxStrike () const override

void	update () override

const std::vector< QuantLib::Real > &	moneyness () const

Protected Member Functions
virtual Real	strikeFromMoneyness (Time t, Real moneyness, const bool stickyReference) const =0

virtual Real	moneynessFromStrike (Time t, Real strike, const bool stickyReference) const =0

Protected Attributes
Handle< BlackVolTermStructure >	referenceVol_

Handle< Quote >	movingSpot_

std::vector< Time >	times_

std::vector< Real >	moneyness_

std::vector< std::vector< Handle< Quote > > >	volSpreads_

Handle< Quote >	stickySpot_

Handle< YieldTermStructure >	stickyDividendTs_

Handle< YieldTermStructure >	stickyRiskFreeTs_

Handle< YieldTermStructure >	movingDividendTs_

Handle< YieldTermStructure >	movingRiskFreeTs_

bool	stickyStrike_

Matrix	data_

Interpolation2D	volSpreadSurface_

Detailed Description

Abstract Spreaded Black volatility surface based on moneyness (moneyness defined in subclasses)

Public Member Functions