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Quant-Framework-0.36
River stage zero No dependents
++
/ Quant::Framework::VolSurface

NAME

Quant::Framework::VolSurface

DESCRIPTION

Base class for all volatility surfaces.

for_date

The date for which we want to have the volatility surface data

type

Type of the surface, delta, moneyness or flat.

underlying_config

Contains underlying specific information

effective_date

Surfaces roll over at 5pm NY time, so the vols of any surfaces recorded after 5pm NY but before GMT midnight are effectively for the next GMT day. This attribute holds this effective date.

surface

Volatility surface in a hash reference.

ATTRIBUTES

symbol

The symbol of the underlying that this surface is for (e.g. frxUSDJPY)

recorded_date

The date (and time) that the surface was recorded, as a Date::Utility.

smile_points

The points across a smile.

It can be delta points, moneyness points or any other points that we might have in the future.

spread_points

This will give an array-reference containing volatility spreads for first tenor which has a volatility spread (or ATM if none).

term_by_day

Get all the terms in a surface in ascending order.

original_term

The terms we were originally supplied for this surface.

original_term_for_smile

The original term structure we have for smiles on a surface

original_term_for_spread

The original term structure we have for spreads on a surface

get_spread

Spread is ask-bid difference which can be stored for different tenor and atm/max. This is value could be adjusted for pricing under certain conditions.

USAGE:

    my $spread = $volsurface->get_spread({sought_point=> 'atm', day=> 7});
    will return the atm spread for the day.

   my $spread = $volsurface->get_spread({sought_point=> 'max', day=> 7});
    will return the max spread for the day.

get_smile_spread

Returns the ask/bid spread for smile of this volatility surface This is the raw spread.

get_day_for_tenor

USAGE:

    my $day = $volsurface->get_day_for_tenor('1W');

Get the corresponding day for a given tenor, if one exists.

get_rr_bf_for_smile

Return the rr and bf values for a given smile For more info see: https://en.wikipedia.org/wiki/Risk_reversal and https://en.wikipedia.org/wiki/Butterfly_(options)

is_valid

Does this volatility surface pass our validation.

save Saves current surface using given chronicle writer.

get_surface_smile

Returns the smile on the surface. Returns an empty hash reference if not present.

get_surface_volatility

Returns the volatility point based on the raw volatility surface data. Returns undef if requested smile is not present. Returns the interpolated/raw volatility point across smile if requested smile is present.

clone

USAGE:

  my $clone = $s->clone({
    surface_data => $surface_data,
  });

Returns a new Quant::Framework::VolSurface instance. You can pass overrides to override an attribute value as it is on the original surface.