interest rate volatility smile section More...
#include <ql/termstructures/volatility/smilesection.hpp>
Public Member Functions | |
SmileSection (const Date &d, const DayCounter &dc=DayCounter(), const Date &referenceDate=Date(), VolatilityType type=ShiftedLognormal, Rate shift=0.0) | |
SmileSection (Time exerciseTime, const DayCounter &dc=DayCounter(), VolatilityType type=ShiftedLognormal, 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 |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
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Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
void | registerWithObservables (const ext::shared_ptr< Observer > &) |
Size | unregisterWith (const ext::shared_ptr< Observable > &) |
void | unregisterWithAll () |
virtual void | deepUpdate () |
Protected Member Functions | |
virtual void | initializeExerciseTime () const |
virtual Real | varianceImpl (Rate strike) const |
virtual Volatility | volatilityImpl (Rate strike) const =0 |
Additional Inherited Members | |
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typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
typedef set_type::iterator | iterator |
interest rate volatility smile section
This abstract class provides volatility smile section interface
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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.