QuantLib_SmileSection man page

SmileSection — interest rate volatility smile section


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

Inherits Observable, and Observer.

Inherited by AtmAdjustedSmileSection, AtmSmileSection, FlatSmileSection, Gaussian1dSmileSection, InterpolatedSmileSection< Interpolator >, KahaleSmileSection, NoArbSabrInterpolatedSmileSection, NoArbSabrSmileSection, SabrInterpolatedSmileSection, SabrSmileSection, SpreadedSmileSection, SviInterpolatedSmileSection, SviSmileSection, ZabrInterpolatedSmileSection< Evaluation >, and ZabrSmileSection< Evaluation >.

Public Member Functions

SmileSection (const Date &d, const DayCounter &dc=DayCounter(), const Date &referenceDate=Date(), const VolatilityType type=ShiftedLognormal, const Rate shift=0.0)

SmileSection (Time exerciseTime, const DayCounter &dc=DayCounter(), const VolatilityType type=ShiftedLognormal, const Rate shift=0.0)

virtual void update ()

virtual Real minStrike () const =0

virtual Real maxStrike () const =0

Real variance (Rate strike) const

Volatility volatility (Rate strike) const

virtual Real atmLevel () const =0

virtual const Date & exerciseDate () const

virtual VolatilityType volatilityType () const

virtual Rate shift () const

virtual const Date & referenceDate () const

virtual Time exerciseTime () const

virtual const DayCounter & dayCounter () const

virtual Real optionPrice (Rate strike, Option::Type type=Option::Call, Real discount=1.0) const

virtual Real digitalOptionPrice (Rate strike, Option::Type type=Option::Call, Real discount=1.0, Real gap=1.0e-5) const

virtual Real vega (Rate strike, Real discount=1.0) const

virtual Real density (Rate strike, Real discount=1.0, Real gap=1.0E-4) const

Volatility volatility (Rate strike, VolatilityType type, Real shift=0.0) const

Protected Member Functions

virtual void initializeExerciseTime () const

virtual Real varianceImpl (Rate strike) const

virtual Volatility volatilityImpl (Rate strike) const =0

Additional Inherited Members

Detailed Description

interest rate volatility smile section

This abstract class provides volatility smile section interface

Member Function Documentation

virtual void update () [virtual]

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

digitalOptionPrice(3), exerciseDate(3), exerciseTime(3), initializeExerciseTime(3), shift(3), SmileSection(3) and varianceImpl(3) are aliases of QuantLib_SmileSection(3).

QuantLib Version 1.8.1 Fri Sep 23 2016