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.


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Referenced By

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

Mon Apr 30 2018 Version 1.12.1 QuantLib