Class BlackVolSurface

Namespace

NanoQL.Experimental

Assembly

NanoQL.dll

The base of Black volatility (smile) surfaces: a smile section at each time, the at-the-money volatility and variance read off it. Volatilities are on an annual basis.

[Experimental("NQL0001")]
public abstract class BlackVolSurface : BlackAtmVolCurve

Inheritance

object

Extrapolator

TermStructure

VolatilityTermStructure

BlackAtmVolCurve

BlackVolSurface

Derived

EquityFXVolSurface

InterestRateVolSurface

Inherited Members

BlackAtmVolCurve.AtmVol(Period, bool)

BlackAtmVolCurve.AtmVol(Date, bool)

BlackAtmVolCurve.AtmVol(double, bool)

BlackAtmVolCurve.AtmVariance(Period, bool)

BlackAtmVolCurve.AtmVariance(Date, bool)

BlackAtmVolCurve.AtmVariance(double, bool)

BlackAtmVolCurve.OptionDate(Period)

VolatilityTermStructure.OptionDateFromTenor(Period)

VolatilityTermStructure.MinStrike()

VolatilityTermStructure.MaxStrike()

VolatilityTermStructure.CheckStrike(double, bool)

VolatilityTermStructure.BusinessDayConvention

TermStructure.TimeFromReference(Date)

TermStructure.CheckRange(Date, bool)

TermStructure.CheckRange(double, bool)

TermStructure.ReferenceDate

TermStructure.DayCounter

TermStructure.Calendar

TermStructure.SettlementDays

TermStructure.MaxDate

TermStructure.MaxTime

Extrapolator.AllowsExtrapolation

object.GetType()

object.MemberwiseClone()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Extension Methods

ExtrapolatorExtensions.DisableExtrapolation<T>(T, bool)

ExtrapolatorExtensions.EnableExtrapolation<T>(T, bool)

Remarks

An extension point, as in QuantLib. QuantLib's acyclic visitor isn't ported.

Constructors

BlackVolSurface(Date, Calendar?, BusinessDayConvention, DayCounter, int?)

Initializes a new instance of the BlackVolSurface class at a reference date.

protected BlackVolSurface(Date referenceDate, Calendar? calendar, BusinessDayConvention bdc, DayCounter dayCounter, int? settlementDays = null)

Parameters

referenceDate Date

The reference date.

calendar Calendar

The calendar, or null for QuantLib's empty one.

bdc BusinessDayConvention

The business-day convention of the option dates; QuantLib's default is Following.

dayCounter DayCounter

The day counter.

settlementDays int?

The settlement days the reference date was moved by, or null.

Exceptions

ArgumentNullException

dayCounter is null.

ArgumentException

The reference date is default(Date).

ArgumentOutOfRangeException

bdc isn't a member of its type.

Methods

AtmVarianceImpl(double)

The at-the-money variance at a time already range-checked.

protected override double AtmVarianceImpl(double t)

Parameters

t double

The time.

Returns

double

The variance.

Exceptions

NanoQLException

The smile section has no at-the-money level.

AtmVolImpl(double)

The at-the-money volatility at a time already range-checked.

protected override double AtmVolImpl(double t)

Parameters

t double

The time.

Returns

double

The volatility.

Exceptions

NanoQLException

The smile section has no at-the-money level.

SmileSection(Date, bool)

The smile section at a date.

public SmileSection SmileSection(Date date, bool extrapolate)

Parameters

date Date

The date.

extrapolate bool

Whether to allow extrapolation.

Returns

SmileSection

The smile section.

Exceptions

ArgumentException

date is default(Date).

NanoQLException

The date is out of range.

SmileSection(Period, bool)

The smile section at an option tenor.

public SmileSection SmileSection(Period optionTenor, bool extrapolate)

Parameters

optionTenor Period

The option tenor.

extrapolate bool

Whether to allow extrapolation.

Returns

SmileSection

The smile section.

Exceptions

NanoQLException

The option date is out of range, or can't be computed.

SmileSection(double, bool)

The smile section at a time.

public SmileSection SmileSection(double t, bool extrapolate)

Parameters

t double

The time.

extrapolate bool

Whether to allow extrapolation.

Returns

SmileSection

The smile section.

Exceptions

NanoQLException

The time is out of range.

SmileSectionImpl(double)

The smile section at a time already range-checked.

protected abstract SmileSection SmileSectionImpl(double t)

Parameters

t double

The time.

Returns

SmileSection

The smile section.