1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
|
<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN">
<html>
<head>
<meta http-equiv="Content-Type" content="text/html;charset=UTF-8">
<meta name="robots" content="none">
<title>QuantLib: SabrVolSurface Class Reference</title>
<link rel="stylesheet" href="quantlib.css" type="text/css">
<link rel="stylesheet" href="print.css" type="text/css" media="print">
<link rel="shortcut icon" href="favicon.ico" type="image/x-icon">
<link rel="icon" href="favicon.ico" type="image/x-icon">
</head>
<body>
<div id="container">
<div id="header">
<img class="titleimage"
src="QL-title.jpg" width="212" height="47" border="0"
alt="QuantLib">
<br>
<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
</div>
<div id="menu">
<h3 class="navbartitle">Version 0.9.0</h3>
<hr>
<h3 class="navbartitle">Getting started</h3>
<ul class="navbarlist">
<li class="navlink"><a href="index.html">Introduction</a></li>
<li class="navlink"><a href="overview.html">Project overview</a></li>
<li class="navlink"><a href="where.html">Where to get QuantLib</a></li>
<li class="navlink"><a href="install.html">Installation</a></li>
<li class="navlink"><a href="config.html">Configuration</a></li>
<li class="navlink"><a href="usage.html">Usage</a></li>
<li class="navlink"><a href="history.html">Version history</a></li>
<li class="navlink"><a href="resources.html">Additional resources</a></li>
<li class="navlink"><a href="group.html">The QuantLib group</a></li>
<li class="navlink"><a href="license.html">Copyright and license</a></li>
</ul>
<hr>
<h3 class="navbartitle">Reference manual</h3>
<ul class="navbarlist">
<li class="navlink"><a href="modules.html">Modules</a></li>
<li class="navlink"><a href="hierarchy.html">Class Hierarchy</a></li>
<li class="navlink"><a href="annotated.html">Compound List</a></li>
<li class="navlink"><a href="files.html">File List</a></li>
<li class="navlink"><a href="functions.html">Compound Members</a></li>
<li class="navlink"><a href="globals.html">File Members</a></li>
<li class="navlink"><a href="bug.html">Known Bugs</a></li>
<li class="navlink"><a href="caveats.html">Caveats</a></li>
<li class="navlink"><a href="test.html">Test Suite</a></li>
<li class="navlink"><a href="examples.html">Examples</a></li>
</ul>
</div>
<div id="content">
<!--Doxygen-generated content-->
<!-- Generated by Doxygen 1.5.4 -->
<div class="nav">
<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<a class="el" href="class_quant_lib_1_1_sabr_vol_surface.html">SabrVolSurface</a></div>
<h1>SabrVolSurface Class Reference</h1><!-- doxytag: class="QuantLib::SabrVolSurface" --><!-- doxytag: inherits="QuantLib::InterestRateVolSurface" --><code>#include <ql/experimental/sabrvolsurface.hpp></code>
<p>
<div class="dynheader">
Inheritance diagram for SabrVolSurface:</div>
<div class="dynsection">
<p><center><img src="class_quant_lib_1_1_sabr_vol_surface__inherit__graph.png" border="0" usemap="#_sabr_vol_surface__inherit__map" alt="Inheritance graph"></center>
<map name="_sabr_vol_surface__inherit__map">
<area shape="rect" href="class_quant_lib_1_1_interest_rate_vol_surface.html" title="Interest rate volatility (smile) surface." alt="" coords="5,7,176,33"></map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
<p>
<a href="class_quant_lib_1_1_sabr_vol_surface-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
<a class="el" href="class_quant_lib_1_1_s_a_b_r.html" title="SABR interpolation factory and traits">SABR</a> volatility (smile) surface.
<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="50c79da67f8bc7df135c5925123cd11b"></a><!-- doxytag: member="QuantLib::SabrVolSurface::SabrVolSurface" ref="50c79da67f8bc7df135c5925123cd11b" args="(const boost::shared_ptr< InterestRateIndex > &, const Handle< BlackAtmVolCurve > &, const std::vector< Period > &optionTenors, const std::vector< Spread > &atmRateSpreads, const std::vector< std::vector< Handle< Quote > > > &volSpreads)" -->
</td><td class="memItemRight" valign="bottom"><b>SabrVolSurface</b> (const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_interest_rate_index.html">InterestRateIndex</a> > &, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_black_atm_vol_curve.html">BlackAtmVolCurve</a> > &, const std::vector< <a class="el" href="class_quant_lib_1_1_period.html">Period</a> > &optionTenors, const std::vector< <a class="el" href="group__types.html#ge7427f4743503002b0c6eeeefae91a3d">Spread</a> > &atmRateSpreads, const std::vector< 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> > > > &volSpreads)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a7730d9126678d4837ee600ee25a33a1"></a><!-- doxytag: member="QuantLib::SabrVolSurface::atmCurve" ref="a7730d9126678d4837ee600ee25a33a1" args="() const " -->
const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_black_atm_vol_curve.html">BlackAtmVolCurve</a> > & </td><td class="memItemRight" valign="bottom"><b>atmCurve</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a98becc004689259db6b16fe04d0c3b8"></a><!-- doxytag: member="QuantLib::SabrVolSurface::volatilitySpreads" ref="a98becc004689259db6b16fe04d0c3b8" args="(const Period &) const " -->
std::vector< <a class="el" href="group__types.html#gaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> > </td><td class="memItemRight" valign="bottom"><b>volatilitySpreads</b> (const <a class="el" href="class_quant_lib_1_1_period.html">Period</a> &) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0f371eeae9f8f89ce8177920b3abaa5c"></a><!-- doxytag: member="QuantLib::SabrVolSurface::volatilitySpreads" ref="0f371eeae9f8f89ce8177920b3abaa5c" args="(const Date &) const " -->
std::vector< <a class="el" href="group__types.html#gaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> > </td><td class="memItemRight" valign="bottom"><b>volatilitySpreads</b> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &) 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="c147d63df367bbe5282b76b1f98cb9be"></a><!-- doxytag: member="QuantLib::SabrVolSurface::dayCounter" ref="c147d63df367bbe5282b76b1f98cb9be" args="() const " -->
<a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_sabr_vol_surface.html#c147d63df367bbe5282b76b1f98cb9be">dayCounter</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the day counter used for date/time conversion <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="74d8fc5480ca811db8332b7b30597fe9"></a><!-- doxytag: member="QuantLib::SabrVolSurface::maxDate" ref="74d8fc5480ca811db8332b7b30597fe9" args="() const " -->
<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_sabr_vol_surface.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 class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3b8677915d5a95b48578b82ed1d7508f"></a><!-- doxytag: member="QuantLib::SabrVolSurface::maxTime" ref="3b8677915d5a95b48578b82ed1d7508f" args="() const " -->
<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_sabr_vol_surface.html#3b8677915d5a95b48578b82ed1d7508f">maxTime</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the latest time for which the curve can return values <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5662908c63119a3b347a7e0ec8544afa"></a><!-- doxytag: member="QuantLib::SabrVolSurface::referenceDate" ref="5662908c63119a3b347a7e0ec8544afa" args="() const " -->
const <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_sabr_vol_surface.html#5662908c63119a3b347a7e0ec8544afa">referenceDate</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the date at which discount = 1.0 and/or variance = 0.0 <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e9a0f3904cff2fe61596c593dd0b6448"></a><!-- doxytag: member="QuantLib::SabrVolSurface::calendar" ref="e9a0f3904cff2fe61596c593dd0b6448" args="() const " -->
<a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_sabr_vol_surface.html#e9a0f3904cff2fe61596c593dd0b6448">calendar</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the calendar used for reference and/or option date calculation <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b6506da60fec85c6f146f1b43116de70"></a><!-- doxytag: member="QuantLib::SabrVolSurface::settlementDays" ref="b6506da60fec85c6f146f1b43116de70" args="() const " -->
<a class="el" href="group__types.html#g7e529c39c477ba1f5a22264d93e8457a">Natural</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_sabr_vol_surface.html#b6506da60fec85c6f146f1b43116de70">settlementDays</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the settlementDays used for reference date calculation <br></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::SabrVolSurface::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"><div class="groupHeader">BlackVolSurface interface</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="93c505c12c2788be4e6614ba5b30ccff"></a><!-- doxytag: member="QuantLib::SabrVolSurface::smileSectionImpl" ref="93c505c12c2788be4e6614ba5b30ccff" args="(Time) const " -->
boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_smile_section.html">SmileSection</a> > </td><td class="memItemRight" valign="bottom"><b>smileSectionImpl</b> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a>) const </td></tr>
<tr><td colspan="2"><br><h2>Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9f2ef91128ab5f6bd460e76a1ecca4d0"></a><!-- doxytag: member="QuantLib::SabrVolSurface::sabrGuesses" ref="9f2ef91128ab5f6bd460e76a1ecca4d0" args="(const Date &) const " -->
boost::array< <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a>, 4 > </td><td class="memItemRight" valign="bottom"><b>sabrGuesses</b> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &) const </td></tr>
<tr><td colspan="2"><div class="groupHeader">LazyObject interface</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="02b90bbfee3ee29627939544fb59ec93"></a><!-- doxytag: member="QuantLib::SabrVolSurface::performCalculations" ref="02b90bbfee3ee29627939544fb59ec93" args="() const " -->
void </td><td class="memItemRight" valign="bottom"><b>performCalculations</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_sabr_vol_surface.html#cd36d7881ea8503d5c5824e7a5ad6c7e">update</a> ()</td></tr>
</table>
<hr><h2>Member Function Documentation</h2>
<a class="anchor" name="cd36d7881ea8503d5c5824e7a5ad6c7e"></a><!-- doxytag: member="QuantLib::SabrVolSurface::update" ref="cd36d7881ea8503d5c5824e7a5ad6c7e" args="()" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">virtual void update </td>
<td>(</td>
<td class="paramname"> </td>
<td> ) </td>
<td width="100%"><code> [protected, virtual]</code></td>
</tr>
</table>
</div>
<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_term_structure.html#c5c54df7ed3b930268c8d7752c101725">TermStructure</a>.</p>
</div>
</div><p>
</div>
<div class="footer">
<div class="endmatter">
Documentation generated by
<a href="http://www.doxygen.org">Doxygen</a> 1.5.4
</div>
</div>
</div>
</body>
</html>
|
