QuantLib_SmileSection man page

SmileSection — interest rate volatility smile section  

Synopsis

#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.

Author

Generated automatically by Doxygen for QuantLib from the source code.

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).

Fri Sep 1 2017 Version 1.10.1 QuantLib