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<li class="navelem"><b>QuantLib</b> </li>
<li class="navelem"><a class="el" href="class_quant_lib_1_1_sabr_vol_surface.html">SabrVolSurface</a> </li>
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<a href="#pub-methods">Public Member Functions</a> |
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<div class="title">SabrVolSurface Class Reference</div> </div>
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<!-- doxytag: class="QuantLib::SabrVolSurface" --><!-- doxytag: inherits="QuantLib::InterestRateVolSurface" -->
<p><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.
<a href="class_quant_lib_1_1_sabr_vol_surface.html#details">More...</a></p>
<p><code>#include <ql/experimental/volatility/sabrvolsurface.hpp></code></p>
<div class="dynheader">
Inheritance diagram for SabrVolSurface:</div>
<div class="dyncontent">
<div class="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"/></div>
<map name="_sabr_vol_surface_inherit__map" id="_sabr_vol_surface_inherit__map">
<area shape="rect" id="node2" href="class_quant_lib_1_1_interest_rate_vol_surface.html" title="Interest rate volatility (smile) surface." alt="" coords="5,6,160,37"/></map>
<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<p><a href="class_quant_lib_1_1_sabr_vol_surface-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a50c79da67f8bc7df135c5925123cd11b"></a><!-- doxytag: member="QuantLib::SabrVolSurface::SabrVolSurface" ref="a50c79da67f8bc7df135c5925123cd11b" 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#gae7427f4743503002b0c6eeeefae91a3d">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" align="right" valign="top"><a class="anchor" id="aa7730d9126678d4837ee600ee25a33a1"></a><!-- doxytag: member="QuantLib::SabrVolSurface::atmCurve" ref="aa7730d9126678d4837ee600ee25a33a1" 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" align="right" valign="top"><a class="anchor" id="aa98becc004689259db6b16fe04d0c3b8"></a><!-- doxytag: member="QuantLib::SabrVolSurface::volatilitySpreads" ref="aa98becc004689259db6b16fe04d0c3b8" args="(const Period &) const " -->
std::vector< <a class="el" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3">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" align="right" valign="top"><a class="anchor" id="a0f371eeae9f8f89ce8177920b3abaa5c"></a><!-- doxytag: member="QuantLib::SabrVolSurface::volatilitySpreads" ref="a0f371eeae9f8f89ce8177920b3abaa5c" args="(const Date &) const " -->
std::vector< <a class="el" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3">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" align="right" valign="top"><a class="anchor" id="ac147d63df367bbe5282b76b1f98cb9be"></a><!-- doxytag: member="QuantLib::SabrVolSurface::dayCounter" ref="ac147d63df367bbe5282b76b1f98cb9be" 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#ac147d63df367bbe5282b76b1f98cb9be">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" align="right" valign="top"><a class="anchor" id="a74d8fc5480ca811db8332b7b30597fe9"></a><!-- doxytag: member="QuantLib::SabrVolSurface::maxDate" ref="a74d8fc5480ca811db8332b7b30597fe9" 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#a74d8fc5480ca811db8332b7b30597fe9">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" align="right" valign="top"><a class="anchor" id="a3b8677915d5a95b48578b82ed1d7508f"></a><!-- doxytag: member="QuantLib::SabrVolSurface::maxTime" ref="a3b8677915d5a95b48578b82ed1d7508f" args="() const " -->
<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_sabr_vol_surface.html#a3b8677915d5a95b48578b82ed1d7508f">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" align="right" valign="top"><a class="anchor" id="a5662908c63119a3b347a7e0ec8544afa"></a><!-- doxytag: member="QuantLib::SabrVolSurface::referenceDate" ref="a5662908c63119a3b347a7e0ec8544afa" 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#a5662908c63119a3b347a7e0ec8544afa">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" align="right" valign="top"><a class="anchor" id="ae9a0f3904cff2fe61596c593dd0b6448"></a><!-- doxytag: member="QuantLib::SabrVolSurface::calendar" ref="ae9a0f3904cff2fe61596c593dd0b6448" 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#ae9a0f3904cff2fe61596c593dd0b6448">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" align="right" valign="top"><a class="anchor" id="ab6506da60fec85c6f146f1b43116de70"></a><!-- doxytag: member="QuantLib::SabrVolSurface::settlementDays" ref="ab6506da60fec85c6f146f1b43116de70" args="() const " -->
<a class="el" href="group__types.html#ga7e529c39c477ba1f5a22264d93e8457a">Natural</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_sabr_vol_surface.html#ab6506da60fec85c6f146f1b43116de70">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">VolatilityTermStructure interface</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aec700319eaa1c6fca66df8e15aea6167"></a><!-- doxytag: member="QuantLib::SabrVolSurface::minStrike" ref="aec700319eaa1c6fca66df8e15aea6167" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_sabr_vol_surface.html#aec700319eaa1c6fca66df8e15aea6167">minStrike</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the minimum strike for which the term structure can return vols <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="abe69dc8630a5ea3f8333cfdfd01ba765"></a><!-- doxytag: member="QuantLib::SabrVolSurface::maxStrike" ref="abe69dc8630a5ea3f8333cfdfd01ba765" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_sabr_vol_surface.html#abe69dc8630a5ea3f8333cfdfd01ba765">maxStrike</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the maximum strike for which the term structure can return vols <br/></td></tr>
<tr><td colspan="2"><div class="groupHeader">Visitability</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a896099363a2a409d2485c3ce9e4e4265"></a><!-- doxytag: member="QuantLib::SabrVolSurface::accept" ref="a896099363a2a409d2485c3ce9e4e4265" 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" align="right" valign="top"><a class="anchor" id="a93c505c12c2788be4e6614ba5b30ccff"></a><!-- doxytag: member="QuantLib::SabrVolSurface::smileSectionImpl" ref="a93c505c12c2788be4e6614ba5b30ccff" 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#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a>) const </td></tr>
<tr><td colspan="2"><h2><a name="pro-methods"></a>
Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a9f2ef91128ab5f6bd460e76a1ecca4d0"></a><!-- doxytag: member="QuantLib::SabrVolSurface::sabrGuesses" ref="a9f2ef91128ab5f6bd460e76a1ecca4d0" args="(const Date &) const " -->
boost::array< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">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" align="right" valign="top"><a class="anchor" id="a02b90bbfee3ee29627939544fb59ec93"></a><!-- doxytag: member="QuantLib::SabrVolSurface::performCalculations" ref="a02b90bbfee3ee29627939544fb59ec93" args="() const " -->
void </td><td class="memItemRight" valign="bottom"><b>performCalculations</b> () const </td></tr>
<tr><td class="memItemLeft" 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#acd36d7881ea8503d5c5824e7a5ad6c7e">update</a> ()</td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p><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>
<p>blah blah </p>
</div><hr/><h2>Member Function Documentation</h2>
<a class="anchor" id="acd36d7881ea8503d5c5824e7a5ad6c7e"></a><!-- doxytag: member="QuantLib::SabrVolSurface::update" ref="acd36d7881ea8503d5c5824e7a5ad6c7e" args="()" -->
<div class="memitem">
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<td class="memname">virtual void <a class="el" href="class_quant_lib_1_1_sabr_vol_surface.html#acd36d7881ea8503d5c5824e7a5ad6c7e">update</a> </td>
<td>(</td>
<td class="paramname"></td><td>)</td>
<td><code> [protected, virtual]</code></td>
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<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>
<p>Reimplemented from <a class="el" href="class_quant_lib_1_1_term_structure.html#ac5c54df7ed3b930268c8d7752c101725">TermStructure</a>.</p>
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