A free/open-source library for quantitative finance
Reference manual - version 1.20
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A free/open-source library for quantitative finance
Reference manual - version 1.20
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#include <ql/termstructures/volatility/smilesectionutils.hpp>
Public Member Functions | |
| SmileSectionUtils (const SmileSection §ion, const std::vector< Real > &moneynessGrid=std::vector< Real >(), Real atm=Null< Real >(), bool deleteArbitragePoints=false) | |
| std::pair< Real, Real > | arbitragefreeRegion () const |
| std::pair< Size, Size > | arbitragefreeIndices () const |
| const std::vector< Real > & | moneyGrid () const |
| const std::vector< Real > & | strikeGrid () const |
| const std::vector< Real > & | callPrices () const |
| Real | atmLevel () const |
smile-section utilities, the moneyness is expressed in