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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

 Copyright (C) 2007 Ferdinando Ametrano

 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at

 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.

/*! \file sabrvolsurface.hpp
    \brief SABR volatility (smile) surface

#ifndef quantlib_sabr_vol_surface_hpp
#define quantlib_sabr_vol_surface_hpp

#include <ql/experimental/interestratevolsurface.hpp>
#include <ql/experimental/blackatmvolcurve.hpp>
#include <ql/quote.hpp>
#include <ql/termstructures/volatility/sabrinterpolatedsmilesection.hpp>
#include <boost/array.hpp>

namespace QuantLib {

    //! SABR volatility (smile) surface
    /*! blah blah
00039     class SabrVolSurface : public InterestRateVolSurface {
                const boost::shared_ptr<InterestRateIndex>&,
                const Handle<BlackAtmVolCurve>&,
                const std::vector<Period>& optionTenors,
                const std::vector<Spread>& atmRateSpreads,
                const std::vector<std::vector<Handle<Quote> > >& volSpreads);
        // All virtual methods of base classes must be forwarded
        //! \name TermStructure interface
        DayCounter dayCounter() const;
        Date maxDate() const;
        Time maxTime() const;
        const Date& referenceDate() const;
        Calendar calendar() const;
        Natural settlementDays() const;
        const Handle<BlackAtmVolCurve>& atmCurve() const;
        //! \name Visitability
        virtual void accept(AcyclicVisitor&);
        std::vector<Volatility> volatilitySpreads(const Period&) const;
        std::vector<Volatility> volatilitySpreads(const Date&) const;
        boost::array<Real, 4> sabrGuesses(const Date&) const;
        //! \name BlackVolSurface interface
        boost::shared_ptr<SmileSection> smileSectionImpl(Time) const;
        //! \name LazyObject interface
        void performCalculations () const;
        virtual void update();
        void registerWithMarketData();
        void checkInputs() const;
        void updateSabrGuesses(const Date& d, boost::array<Real, 4> newGuesses) const;
        Handle<BlackAtmVolCurve> atmCurve_;
        std::vector<Period> optionTenors_;
        std::vector<Time> optionTimes_;
        std::vector<Date> optionDates_;
        std::vector<Spread> atmRateSpreads_;
        std::vector<std::vector<Handle<Quote> > > volSpreads_;
        bool isAlphaFixed_;
        bool isBetaFixed_;
        bool isNuFixed_;
        bool isRhoFixed_;
        bool vegaWeighted_;
        mutable std::vector<boost::array<Real,4> > sabrGuesses_;

    // inline

00102     inline DayCounter SabrVolSurface::dayCounter() const {
        return atmCurve_->dayCounter();

00106     inline Date SabrVolSurface::maxDate() const {
        return atmCurve_->maxDate();

00110     inline Time SabrVolSurface::maxTime() const {
        return atmCurve_->maxTime();

00114     inline const Date& SabrVolSurface::referenceDate() const {
        return atmCurve_->referenceDate();

00118     inline Calendar SabrVolSurface::calendar() const {
        return atmCurve_->calendar();

00122     inline Natural SabrVolSurface::settlementDays() const {
        return atmCurve_->settlementDays();

    inline const Handle<BlackAtmVolCurve>& SabrVolSurface::atmCurve() const {
        return atmCurve_;

    inline std::vector<Volatility>
    SabrVolSurface::volatilitySpreads(const Period& p) const {
        return volatilitySpreads(optionDateFromTenor(p));


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