volsurface Class Reference

#include <volsurface.h>

List of all members.

Public Member Functions
	volsurface (Real stockPrice, Date today, valarray< Real > strikes, valarray< Date > maturities, yieldCurve yCurve, valarray< valarray< Real > > callputprices, valarray< valarray< bool > > iscallputprices)
	Constructor.
	volsurface (Real stockPrice, Date today, yieldCurve yCurve, volsurfaceparams &params)
	Constructor.
	volsurface (valarray< valarray< Real > > volsurf)
	Constructor.
	volsurface (Real constantvol)
	Default Constructor.
	volsurface (void)
	Default Constructor.
	~volsurface (void)
	Destructor.
Real	invertBSformula (Real r, Real maturity, Real stockPrice, Real strike, Real callputPrice, bool isacall)
Real	volatility (Real K, Date T)
Real	variance (Real K, Date T)
Real	forwardVolatility (Real K, Date t, Date T)
void	setvolsurface ()
valarray< valarray< Real > >	getvolsurface ()
volsurface	forwardvolsurface (Date t)
	Implied volatility surface seen at time t.
volsurface	shiftedYCvolsurface (Real shift)
	Implied volatility surface when the yield curve is shifted.
volsurface	shiftedvolsurface (Real shift)
	Shift the implied volatility surface.
Private Attributes
Real	_stockPrice
Date	_today
valarray< Real >	_strikes
valarray< Date >	_maturities
yieldCurve	_yieldCurve
valarray< valarray< Real > >	_callputprices
valarray< valarray< bool > >	_iscallputprices
valarray< valarray< Real > >	_impliedvolsurface
interpolator	_interpolvolsurf
bool	_volsurfconst
Real	_constantvol

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Constructor & Destructor Documentation

volsurface::volsurface (  Real  stockPrice, Date  today, valarray< Real >  strikes, valarray< Date >  maturities, yieldCurve  yCurve, valarray< valarray< Real > >  callputprices, valarray< valarray< bool > >  iscallputprices )

Constructor. Parameters: stockPrice:  Current stock price today:  date of today strikes:  vectror of strikes maturities:  vector of maturities yCurve:  the yield curve callputprices:  matrix of option prices iscallputprices:  matrix indicating if we have call or put prices Definition at line 7 of file volsurface.cpp. References Real.

volsurface::volsurface (  Real  stockPrice, Date  today, yieldCurve  yCurve, volsurfaceparams &  params )

Constructor. Parameters: stockPrice:  Current stock price today:  date of today yCurve:  the yield curve params:  strikes, maturities, prices, etc. Definition at line 19 of file volsurface.cpp. References Real.

volsurface::volsurface (  valarray< valarray< Real > >  volsurf  )

Constructor. Parameters: volsurf:  volsurface Definition at line 44 of file volsurface.cpp.

volsurface::volsurface (  Real  constantvol  )

Default Constructor. Definition at line 32 of file volsurface.cpp. References Real.

volsurface::volsurface (  void   )

Default Constructor. Definition at line 38 of file volsurface.cpp.

volsurface::~volsurface (  void   )

Destructor. Definition at line 50 of file volsurface.cpp.

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Member Function Documentation

Real volsurface::forwardVolatility (  Real  K, Date  t, Date  T )

Definition at line 139 of file volsurface.cpp. References _today, Date::dayCount(), Real, and variance(). Referenced by Drift::Drift(), and forwardvolsurface().

volsurface volsurface::forwardvolsurface (  Date  t  )

Implied volatility surface seen at time t. Definition at line 148 of file volsurface.cpp. References _impliedvolsurface, _maturities, _strikes, forwardVolatility(), Integer, M, and N. Referenced by Exotics::getTheta().

valarray< valarray< Real > > volsurface::getvolsurface (   )

Definition at line 118 of file volsurface.cpp. References _impliedvolsurface.

Real volsurface::invertBSformula (  Real  r, Real  maturity, Real  stockPrice, Real  strike, Real  callputPrice, bool  isacall )

Definition at line 55 of file volsurface.cpp. References Call, BlackScholes::getVolatility(), Put, r, and Real. Referenced by setvolsurface().

void volsurface::setvolsurface (   )

Definition at line 68 of file volsurface.cpp. References _callputprices, _constantvol, _impliedvolsurface, _interpolvolsurf, _iscallputprices, _maturities, _stockPrice, _strikes, _today, _volsurfconst, _yieldCurve, Date::dayCount(), invertBSformula(), N, r, Real, and yieldCurve::spotRate(). Referenced by importData::importVolSurface(), mainvolsurface(), and shiftedYCvolsurface().

volsurface volsurface::shiftedvolsurface (  Real  shift  )

Shift the implied volatility surface. Definition at line 194 of file volsurface.cpp. References _impliedvolsurface, _maturities, _strikes, Integer, M, N, and Real. Referenced by Exotics::getVega().

volsurface volsurface::shiftedYCvolsurface (  Real  shift  )

Implied volatility surface when the yield curve is shifted. Definition at line 185 of file volsurface.cpp. References _callputprices, _iscallputprices, _maturities, _stockPrice, _strikes, _today, _yieldCurve, Real, setvolsurface(), and yieldCurve::shiftZCBRateCurve().

Real volsurface::variance (  Real  K, Date  T )

Definition at line 131 of file volsurface.cpp. References _constantvol, _volsurfconst, Real, and volatility(). Referenced by forwardVolatility().

Real volsurface::volatility (  Real  K, Date  T )

Definition at line 122 of file volsurface.cpp. References _constantvol, _interpolvolsurf, _today, _volsurfconst, Date::dayCount(), interpolator::interpolate(), and Real. Referenced by GaussianProcess::BuildPath(), inputBSOption(), inputButterflySpread(), inputCallSpread(), inputPutSpread(), inputRatioCallSpread(), inputStraddle(), inputStrangle(), mainvolsurface(), and variance().

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Member Data Documentation

valarray<valarray<Real> > volsurface::_callputprices [private]

Definition at line 35 of file volsurface.h. Referenced by setvolsurface(), and shiftedYCvolsurface().

Real volsurface::_constantvol [private]

Definition at line 40 of file volsurface.h. Referenced by setvolsurface(), variance(), and volatility().

valarray<valarray<Real> > volsurface::_impliedvolsurface [private]

Definition at line 37 of file volsurface.h. Referenced by forwardvolsurface(), getvolsurface(), setvolsurface(), and shiftedvolsurface().

interpolator volsurface::_interpolvolsurf [private]

Definition at line 38 of file volsurface.h. Referenced by setvolsurface(), and volatility().

valarray<valarray<bool> > volsurface::_iscallputprices [private]

Definition at line 36 of file volsurface.h. Referenced by setvolsurface(), and shiftedYCvolsurface().

valarray<Date> volsurface::_maturities [private]

Definition at line 33 of file volsurface.h. Referenced by forwardvolsurface(), setvolsurface(), shiftedvolsurface(), and shiftedYCvolsurface().

Real volsurface::_stockPrice [private]

Definition at line 30 of file volsurface.h. Referenced by setvolsurface(), and shiftedYCvolsurface().

valarray<Real> volsurface::_strikes [private]

Definition at line 32 of file volsurface.h. Referenced by forwardvolsurface(), setvolsurface(), shiftedvolsurface(), and shiftedYCvolsurface().

Date volsurface::_today [private]

Definition at line 31 of file volsurface.h. Referenced by forwardVolatility(), setvolsurface(), shiftedYCvolsurface(), and volatility().

bool volsurface::_volsurfconst [private]

Definition at line 39 of file volsurface.h. Referenced by setvolsurface(), variance(), and volatility().

yieldCurve volsurface::_yieldCurve [private]

Definition at line 34 of file volsurface.h. Referenced by setvolsurface(), and shiftedYCvolsurface().

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The documentation for this class was generated from the following files:

• volsurface.h
• volsurface.cpp

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