NAME
Quant::Framework::VolSurface::Delta
DESCRIPTION
Represents a volatility surface, built from market implied volatilities.
SYNOPSIS
my $surface = Quant::Framework::VolSurface::Delta->new({underlying_config => $underlying_config});for_date
The date for which we wish data
save
Saves current surface using given chronicle writer.
ATTRIBUTES
type
Return the surface type
deltas
Get the available deltas for which we have vols.
Returns an ArrayRef, is required and read-only.
get_volatility
Given a maturity of some form and a barrier of some form, gives you a vol from the surface.
The barrier can be specified either as a strike (strike => $bet->barrier) or a delta (delta => 25).
The maturity can be given either as a number of days (days => 7), an expiry date (expiry_date => Date::Utility->new) or a tenor (tenor => 'ON').
When given an expiry_date, get_volatility assumes that you want an integer number of days, and calculates that based on the number of vol rollovers between the recorded_date and the given expiry. So if the rollover is at GMT2200 (NY1700) and recorded_date is 2012-02-01 10:00:00, a given expiry of 2012-02-02 10:00:00 would give you the ON vol, but an expiry of 2012-02-02 23:59:59 would give a 2-day vol.
USAGE:
my $vol = $s->get_volatility({delta => 25, days => 7});
my $vol = $s->get_volatility({strike => $bet->barrier, tenor => '1M'});
my $vol = $s->get_volatility({delta => 50, expiry_date => Date::Utility->new});interpolate
Quadratic interpolation to interpolate across smile ->interpolate({smile => $smile, sought_point => $sought_point});
generate_surface_for_cutoff
Transforms the surface to a given cutoff. Cutoff can be given either as a qf_cutoff_code string, or a Quant::Framework::VolSurface::Cutoff instance.
Returns the cut surface data-structure (not a B::M::VS instance).
surfaces_to_save
The surfaces that will be saved on Chronicle
clone
USAGE:
my $clone = $s->clone({
surface => $my_new_surface,
cutoff => $my_new_cutoff,
});Returns a new cloned instance. You can pass overrides to override an attribute value as it is on the original surface.
cutoff
cutoff is New York 10:00 when we save new volatility delta surfaces. (Surfaces that we get from Bloomberg)
cutoff is UTC 23:59 or UTC 21:00 for contract pricing.