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<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<a class="el" href="class_quant_lib_1_1_abcd_atm_vol_curve.html">AbcdAtmVolCurve</a></div>
<h1>AbcdAtmVolCurve Class Reference</h1><!-- doxytag: class="QuantLib::AbcdAtmVolCurve" --><!-- doxytag: inherits="QuantLib::BlackAtmVolCurve,QuantLib::LazyObject" --><code>#include <ql/experimental/abcdatmvolcurve.hpp></code>
<p>
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Inheritance diagram for AbcdAtmVolCurve:</div>
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<p><center><img src="class_quant_lib_1_1_abcd_atm_vol_curve__inherit__graph.png" border="0" usemap="#_abcd_atm_vol_curve__inherit__map" alt="Inheritance graph"></center>
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<area shape="rect" href="class_quant_lib_1_1_black_atm_vol_curve.html" title="Black at-the-money (no-smile) volatility curve." alt="" coords="5,7,147,33"><area shape="rect" href="class_quant_lib_1_1_lazy_object.html" title="Framework for calculation on demand and result caching." alt="" coords="171,7,264,33"></map>
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<a href="class_quant_lib_1_1_abcd_atm_vol_curve-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Abcd-interpolated at-the-money (no-smile) volatility curve.
<p>
blah blah <table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7d58da65efdf301fc2baecf2379f2f82"></a><!-- doxytag: member="QuantLib::AbcdAtmVolCurve::AbcdAtmVolCurve" ref="7d58da65efdf301fc2baecf2379f2f82" args="(Natural settlementDays, const Calendar &cal, const std::vector< Period > &optionTenors, const std::vector< Handle< Quote > > &volsHandles, const std::vector< bool > inclusionInInterpolationFlag=std::vector< bool >(1, true), BusinessDayConvention bdc=Following, const DayCounter &dc=Actual365Fixed())" -->
</td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_abcd_atm_vol_curve.html#7d58da65efdf301fc2baecf2379f2f82">AbcdAtmVolCurve</a> (<a class="el" href="group__types.html#g7e529c39c477ba1f5a22264d93e8457a">Natural</a> settlementDays, const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &cal, const std::vector< <a class="el" href="class_quant_lib_1_1_period.html">Period</a> > &optionTenors, const std::vector< <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > > &volsHandles, const std::vector< bool > inclusionInInterpolationFlag=std::vector< bool >(1, true), <a class="el" href="group__datetime.html#gff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> bdc=Following, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &dc=<a class="el" href="class_quant_lib_1_1_actual365_fixed.html">Actual365Fixed</a>())</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">floating reference date, floating market data <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4292bdf23aa895695b810442862e0405"></a><!-- doxytag: member="QuantLib::AbcdAtmVolCurve::k" ref="4292bdf23aa895695b810442862e0405" args="() const " -->
std::vector< <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_abcd_atm_vol_curve.html#4292bdf23aa895695b810442862e0405">k</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Returns k adjustment factors for option tenors used in interpolation. <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="399a07135541aa8c6e38b4f0546e042c"></a><!-- doxytag: member="QuantLib::AbcdAtmVolCurve::k" ref="399a07135541aa8c6e38b4f0546e042c" args="(Time t) const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_abcd_atm_vol_curve.html#399a07135541aa8c6e38b4f0546e042c">k</a> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Returns k adjustment factor at time t. <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="eb6c2cfe0928889369fc49347418ce31"></a><!-- doxytag: member="QuantLib::AbcdAtmVolCurve::a" ref="eb6c2cfe0928889369fc49347418ce31" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>a</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d1cf85afbb81add225d9d591923cae35"></a><!-- doxytag: member="QuantLib::AbcdAtmVolCurve::b" ref="d1cf85afbb81add225d9d591923cae35" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>b</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="cd8075f42c1494dfe8ba083550bc3ad4"></a><!-- doxytag: member="QuantLib::AbcdAtmVolCurve::c" ref="cd8075f42c1494dfe8ba083550bc3ad4" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>c</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="8743fd2d2de27e48775635a148f15159"></a><!-- doxytag: member="QuantLib::AbcdAtmVolCurve::d" ref="8743fd2d2de27e48775635a148f15159" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>d</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="575cfa031ce051c0f292518d6b0194e3"></a><!-- doxytag: member="QuantLib::AbcdAtmVolCurve::rmsError" ref="575cfa031ce051c0f292518d6b0194e3" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>rmsError</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c4d9decda86622fb96bacef77cfc4424"></a><!-- doxytag: member="QuantLib::AbcdAtmVolCurve::maxError" ref="c4d9decda86622fb96bacef77cfc4424" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>maxError</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d1df8a2c9fb6a94b00ab1e6670be4ce5"></a><!-- doxytag: member="QuantLib::AbcdAtmVolCurve::endCriteria" ref="d1df8a2c9fb6a94b00ab1e6670be4ce5" args="() const " -->
EndCriteria::Type </td><td class="memItemRight" valign="bottom"><b>endCriteria</b> () const </td></tr>
<tr><td colspan="2"><div class="groupHeader">TermStructure interface</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="74d8fc5480ca811db8332b7b30597fe9"></a><!-- doxytag: member="QuantLib::AbcdAtmVolCurve::maxDate" ref="74d8fc5480ca811db8332b7b30597fe9" args="() const " -->
virtual <a class="el" href="class_quant_lib_1_1_date.html">Date</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_abcd_atm_vol_curve.html#74d8fc5480ca811db8332b7b30597fe9">maxDate</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the latest date for which the curve can return values <br></td></tr>
<tr><td colspan="2"><div class="groupHeader">LazyObject interface</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_abcd_atm_vol_curve.html#c5c54df7ed3b930268c8d7752c101725">update</a> ()</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_abcd_atm_vol_curve.html#02b90bbfee3ee29627939544fb59ec93">performCalculations</a> () const </td></tr>
<tr><td colspan="2"><div class="groupHeader">some inspectors</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fb21564e63d8019bd939c8e878edb466"></a><!-- doxytag: member="QuantLib::AbcdAtmVolCurve::optionTenors" ref="fb21564e63d8019bd939c8e878edb466" args="() const " -->
const std::vector< <a class="el" href="class_quant_lib_1_1_period.html">Period</a> > & </td><td class="memItemRight" valign="bottom"><b>optionTenors</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="19cb22a0602237e261e07981a4d7d97d"></a><!-- doxytag: member="QuantLib::AbcdAtmVolCurve::optionTenorsInInterpolation" ref="19cb22a0602237e261e07981a4d7d97d" args="() const " -->
const std::vector< <a class="el" href="class_quant_lib_1_1_period.html">Period</a> > & </td><td class="memItemRight" valign="bottom"><b>optionTenorsInInterpolation</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="efdc1e5e098b1b44b002aa1cca7760f5"></a><!-- doxytag: member="QuantLib::AbcdAtmVolCurve::optionDates" ref="efdc1e5e098b1b44b002aa1cca7760f5" args="() const " -->
const std::vector< <a class="el" href="class_quant_lib_1_1_date.html">Date</a> > & </td><td class="memItemRight" valign="bottom"><b>optionDates</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c5ef24fc83d3fdf7ede195f4a57f5b45"></a><!-- doxytag: member="QuantLib::AbcdAtmVolCurve::optionTimes" ref="c5ef24fc83d3fdf7ede195f4a57f5b45" args="() const " -->
const std::vector< <a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> > & </td><td class="memItemRight" valign="bottom"><b>optionTimes</b> () const </td></tr>
<tr><td colspan="2"><div class="groupHeader">Visitability</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="896099363a2a409d2485c3ce9e4e4265"></a><!-- doxytag: member="QuantLib::AbcdAtmVolCurve::accept" ref="896099363a2a409d2485c3ce9e4e4265" args="(AcyclicVisitor &)" -->
virtual void </td><td class="memItemRight" valign="bottom"><b>accept</b> (<a class="el" href="class_quant_lib_1_1_acyclic_visitor.html">AcyclicVisitor</a> &)</td></tr>
<tr><td colspan="2"><br><h2>Protected Member Functions</h2></td></tr>
<tr><td colspan="2"><div class="groupHeader">BlackAtmVolCurve interface</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="399f9448fe345c23f0484547b98749fc"></a><!-- doxytag: member="QuantLib::AbcdAtmVolCurve::atmVarianceImpl" ref="399f9448fe345c23f0484547b98749fc" args="(Time t) const " -->
virtual <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_abcd_atm_vol_curve.html#399f9448fe345c23f0484547b98749fc">atmVarianceImpl</a> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">spot at-the-money variance calculation (k adjusted) <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="19afdb51423c925cb7f5ce598b2369ec"></a><!-- doxytag: member="QuantLib::AbcdAtmVolCurve::atmVolImpl" ref="19afdb51423c925cb7f5ce598b2369ec" args="(Time t) const " -->
virtual <a class="el" href="group__types.html#gaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_abcd_atm_vol_curve.html#19afdb51423c925cb7f5ce598b2369ec">atmVolImpl</a> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">spot at-the-money volatility calculation (k adjusted) <br></td></tr>
</table>
<hr><h2>Member Function Documentation</h2>
<a class="anchor" name="c5c54df7ed3b930268c8d7752c101725"></a><!-- doxytag: member="QuantLib::AbcdAtmVolCurve::update" ref="c5c54df7ed3b930268c8d7752c101725" args="()" -->
<div class="memitem">
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<td class="memname">void update </td>
<td>(</td>
<td class="paramname"> </td>
<td> ) </td>
<td width="100%"><code> [virtual]</code></td>
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<div class="memdoc">
<p>
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.
<p>Reimplemented from <a class="el" href="class_quant_lib_1_1_lazy_object.html#c5c54df7ed3b930268c8d7752c101725">LazyObject</a>.</p>
</div>
</div><p>
<a class="anchor" name="02b90bbfee3ee29627939544fb59ec93"></a><!-- doxytag: member="QuantLib::AbcdAtmVolCurve::performCalculations" ref="02b90bbfee3ee29627939544fb59ec93" args="() const " -->
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<td class="memname">void performCalculations </td>
<td>(</td>
<td class="paramname"> </td>
<td> ) </td>
<td width="100%"> const<code> [virtual]</code></td>
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<div class="memdoc">
<p>
This method must implement any calculations which must be (re)done in order to calculate the desired results.
<p>Implements <a class="el" href="class_quant_lib_1_1_lazy_object.html#572dbe926524786c64db01e31dba7ab8">LazyObject</a>.</p>
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