QuantLib_Gaussian1dSmileSection man page

Gaussian1dSmileSection

Synopsis

#include <ql/termstructures/volatility/gaussian1dsmilesection.hpp>

Inherits SmileSection.

Public Member Functions

Gaussian1dSmileSection (const Date &fixingDate, const boost::shared_ptr< SwapIndex > &swapIndex, const boost::shared_ptr< Gaussian1dModel > &model, const DayCounter &dc, const boost::shared_ptr< Gaussian1dSwaptionEngine > swaptionEngine=boost::shared_ptr< Gaussian1dSwaptionEngine >())
Gaussian1dSmileSection (const Date &fixingDate, const boost::shared_ptr< IborIndex > &swapIndex, const boost::shared_ptr< Gaussian1dModel > &model, const DayCounter &dc, const boost::shared_ptr< Gaussian1dCapFloorEngine > capEngine=boost::shared_ptr< Gaussian1dCapFloorEngine >())
Real minStrike () const
Real maxStrike () const
Real atmLevel () const
Real optionPrice (Rate strike, Option::Type=Option::Call, Real discount=1.0) const

Protected Member Functions

Real volatilityImpl (Rate strike) const

Additional Inherited Members

Detailed Description

smile section based on a gaussian 1d model instance if curves are attached to the swap or ibor index, these are used to adjust the model's yield term structure, if not the model's yield term structure is used directly

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

atmLevel(3), Gaussian1dSmileSection(3) and optionPrice(3) are aliases of QuantLib_Gaussian1dSmileSection(3).

Fri Jun 2 2017 Version 1.10 QuantLib