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<div id="projectbrief">A free/open-source library for quantitative finance</div>
<div id="projectnumber">Reference manual - version 1.20</div>
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<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_gaussian1d_smile_section.html">Gaussian1dSmileSection</a></li> </ul>
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<a href="#pub-methods">Public Member Functions</a> |
<a href="#pro-methods">Protected Member Functions</a> |
<a href="class_quant_lib_1_1_gaussian1d_smile_section-members.html">List of all members</a> </div>
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<div class="title">Gaussian1dSmileSection Class Reference</div> </div>
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<p><code>#include <ql/termstructures/volatility/gaussian1dsmilesection.hpp></code></p>
<div id="dynsection-0" onclick="return toggleVisibility(this)" class="dynheader closed" style="cursor:pointer;">
<img id="dynsection-0-trigger" src="closed.png" alt="+"/> Inheritance diagram for Gaussian1dSmileSection:</div>
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<map name="_gaussian1d_smile_section_inherit__map" id="a_gaussian1d_smile_section_inherit__map">
<area shape="rect" title=" " alt="" coords="17,155,185,181"/>
<area shape="rect" href="class_quant_lib_1_1_smile_section.html" title="interest rate volatility smile section" alt="" coords="52,80,151,107"/>
<area shape="rect" href="class_quant_lib_1_1_observable.html" title="Object that notifies its changes to a set of observers." alt="" coords="5,5,93,32"/>
<area shape="rect" href="class_quant_lib_1_1_observer.html" title="Object that gets notified when a given observable changes." alt="" coords="117,5,192,32"/>
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<table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr class="memitem:a2c2a4984d8c067a40e47df20418052e1"><td class="memItemLeft" align="right" valign="top"><a id="a2c2a4984d8c067a40e47df20418052e1"></a>
 </td><td class="memItemRight" valign="bottom"><b>Gaussian1dSmileSection</b> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &fixingDate, const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_swap_index.html">SwapIndex</a> > &swapIndex, const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_gaussian1d_model.html">Gaussian1dModel</a> > &model, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &dc, const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_gaussian1d_swaption_engine.html">Gaussian1dSwaptionEngine</a> > &swaptionEngine=ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_gaussian1d_swaption_engine.html">Gaussian1dSwaptionEngine</a> >())</td></tr>
<tr class="separator:a2c2a4984d8c067a40e47df20418052e1"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:aa0d643bdd2e411095d33d66b18e9b65f"><td class="memItemLeft" align="right" valign="top"><a id="aa0d643bdd2e411095d33d66b18e9b65f"></a>
 </td><td class="memItemRight" valign="bottom"><b>Gaussian1dSmileSection</b> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &fixingDate, const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_ibor_index.html">IborIndex</a> > &swapIndex, const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_gaussian1d_model.html">Gaussian1dModel</a> > &model, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &dc, const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_gaussian1d_cap_floor_engine.html">Gaussian1dCapFloorEngine</a> > &capEngine=ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_gaussian1d_cap_floor_engine.html">Gaussian1dCapFloorEngine</a> >())</td></tr>
<tr class="separator:aa0d643bdd2e411095d33d66b18e9b65f"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a08611adcd4c1461233257e6ff17c582a"><td class="memItemLeft" align="right" valign="top"><a id="a08611adcd4c1461233257e6ff17c582a"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>minStrike</b> () const</td></tr>
<tr class="separator:a08611adcd4c1461233257e6ff17c582a"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a4e78ef8a9ed6ba66165705dc96b8d5bf"><td class="memItemLeft" align="right" valign="top"><a id="a4e78ef8a9ed6ba66165705dc96b8d5bf"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>maxStrike</b> () const</td></tr>
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<tr class="memitem:a4457687aa27d6ef121e4108836142b26"><td class="memItemLeft" align="right" valign="top"><a id="a4457687aa27d6ef121e4108836142b26"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>atmLevel</b> () const</td></tr>
<tr class="separator:a4457687aa27d6ef121e4108836142b26"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a044b53237386b0e2cc63d36414fb3dcb"><td class="memItemLeft" align="right" valign="top"><a id="a044b53237386b0e2cc63d36414fb3dcb"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>optionPrice</b> (<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> strike, Option::Type=Option::Call, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> discount=1.0) const</td></tr>
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_smile_section"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_smile_section')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_smile_section.html">SmileSection</a></td></tr>
<tr class="memitem:a0ce1f07f9c1642dde370845b8a1c9570 inherit pub_methods_class_quant_lib_1_1_smile_section"><td class="memItemLeft" align="right" valign="top"><a id="a0ce1f07f9c1642dde370845b8a1c9570"></a>
 </td><td class="memItemRight" valign="bottom"><b>SmileSection</b> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &d, 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_day_counter.html">DayCounter</a>(), const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &referenceDate=<a class="el" href="class_quant_lib_1_1_date.html">Date</a>(), VolatilityType type=ShiftedLognormal, <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> shift=0.0)</td></tr>
<tr class="separator:a0ce1f07f9c1642dde370845b8a1c9570 inherit pub_methods_class_quant_lib_1_1_smile_section"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:aeaa16760852b1aa507c7444d9d4c05d8 inherit pub_methods_class_quant_lib_1_1_smile_section"><td class="memItemLeft" align="right" valign="top"><a id="aeaa16760852b1aa507c7444d9d4c05d8"></a>
 </td><td class="memItemRight" valign="bottom"><b>SmileSection</b> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> exerciseTime, 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_day_counter.html">DayCounter</a>(), VolatilityType type=ShiftedLognormal, <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> shift=0.0)</td></tr>
<tr class="separator:aeaa16760852b1aa507c7444d9d4c05d8 inherit pub_methods_class_quant_lib_1_1_smile_section"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:acd36d7881ea8503d5c5824e7a5ad6c7e inherit pub_methods_class_quant_lib_1_1_smile_section"><td class="memItemLeft" align="right" valign="top">virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_smile_section.html#acd36d7881ea8503d5c5824e7a5ad6c7e">update</a> ()</td></tr>
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<tr class="memitem:a5af9b3d73c9b0d3efe599818eb4f5896 inherit pub_methods_class_quant_lib_1_1_smile_section"><td class="memItemLeft" align="right" valign="top"><a id="a5af9b3d73c9b0d3efe599818eb4f5896"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>variance</b> (<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> strike) const</td></tr>
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<a class="el" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> </td><td class="memItemRight" valign="bottom"><b>volatility</b> (<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> strike) const</td></tr>
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virtual const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> & </td><td class="memItemRight" valign="bottom"><b>exerciseDate</b> () const</td></tr>
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virtual VolatilityType </td><td class="memItemRight" valign="bottom"><b>volatilityType</b> () const</td></tr>
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virtual <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><b>shift</b> () const</td></tr>
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virtual const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> & </td><td class="memItemRight" valign="bottom"><b>referenceDate</b> () const</td></tr>
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virtual <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td><td class="memItemRight" valign="bottom"><b>exerciseTime</b> () const</td></tr>
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virtual const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> & </td><td class="memItemRight" valign="bottom"><b>dayCounter</b> () const</td></tr>
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virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>digitalOptionPrice</b> (<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> strike, Option::Type type=Option::Call, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> discount=1.0, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> gap=1.0e-5) const</td></tr>
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virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>vega</b> (<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> strike, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> discount=1.0) const</td></tr>
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virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>density</b> (<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> strike, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> discount=1.0, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> gap=1.0E-4) const</td></tr>
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<a class="el" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> </td><td class="memItemRight" valign="bottom"><b>volatility</b> (<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> strike, VolatilityType type, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> shift=0.0) const</td></tr>
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_observable"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_observable')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a></td></tr>
<tr class="memitem:a840dd96e33a304cbf681d357de7f48d0 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top"><a id="a840dd96e33a304cbf681d357de7f48d0"></a>
 </td><td class="memItemRight" valign="bottom"><b>Observable</b> (const <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> &)</td></tr>
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<tr class="memitem:a522aacdd0f2408fe5e46527a6db999b4 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top"><a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observable.html#a522aacdd0f2408fe5e46527a6db999b4">operator=</a> (const <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> &)</td></tr>
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<tr class="memitem:a397546715bfc5aedd1d16dd202a19d4c inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observable.html#a397546715bfc5aedd1d16dd202a19d4c">notifyObservers</a> ()</td></tr>
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_observer"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_observer')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a></td></tr>
<tr class="memitem:af6a9d3ca0b7f388f3b7ccb1eccf11f63 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="af6a9d3ca0b7f388f3b7ccb1eccf11f63"></a>
 </td><td class="memItemRight" valign="bottom"><b>Observer</b> (const <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> &)</td></tr>
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<a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> & </td><td class="memItemRight" valign="bottom"><b>operator=</b> (const <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> &)</td></tr>
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std::pair< iterator, bool > </td><td class="memItemRight" valign="bottom"><b>registerWith</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > &)</td></tr>
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<tr class="memitem:a51d57eb97a3a57312a47bda29235f182 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observer.html#a51d57eb97a3a57312a47bda29235f182">registerWithObservables</a> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> > &)</td></tr>
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<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>unregisterWith</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > &)</td></tr>
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void </td><td class="memItemRight" valign="bottom"><b>unregisterWithAll</b> ()</td></tr>
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<tr class="memitem:a3d53f9669c128dadc74a5d044a7c8e68 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top">virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observer.html#a3d53f9669c128dadc74a5d044a7c8e68">deepUpdate</a> ()</td></tr>
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</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pro-methods"></a>
Protected Member Functions</h2></td></tr>
<tr class="memitem:abfca940ab1a0c1de1454894bad2279d0"><td class="memItemLeft" align="right" valign="top"><a id="abfca940ab1a0c1de1454894bad2279d0"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>volatilityImpl</b> (<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> strike) const</td></tr>
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<tr class="inherit_header pro_methods_class_quant_lib_1_1_smile_section"><td colspan="2" onclick="javascript:toggleInherit('pro_methods_class_quant_lib_1_1_smile_section')"><img src="closed.png" alt="-"/> Protected Member Functions inherited from <a class="el" href="class_quant_lib_1_1_smile_section.html">SmileSection</a></td></tr>
<tr class="memitem:aae4a1f8e1079390f66a601f5f9c53efa inherit pro_methods_class_quant_lib_1_1_smile_section"><td class="memItemLeft" align="right" valign="top"><a id="aae4a1f8e1079390f66a601f5f9c53efa"></a>
virtual void </td><td class="memItemRight" valign="bottom"><b>initializeExerciseTime</b> () const</td></tr>
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<tr class="memitem:a0e826c1df0cb405696529507474aca9d inherit pro_methods_class_quant_lib_1_1_smile_section"><td class="memItemLeft" align="right" valign="top"><a id="a0e826c1df0cb405696529507474aca9d"></a>
virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>varianceImpl</b> (<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> strike) const</td></tr>
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</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="inherited"></a>
Additional Inherited Members</h2></td></tr>
<tr class="inherit_header pub_types_class_quant_lib_1_1_observer"><td colspan="2" onclick="javascript:toggleInherit('pub_types_class_quant_lib_1_1_observer')"><img src="closed.png" alt="-"/> Public Types inherited from <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a></td></tr>
<tr class="memitem:a78de5f2b6bce96d718e3c18b9f52d67c inherit pub_types_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="a78de5f2b6bce96d718e3c18b9f52d67c"></a>
typedef boost::unordered_set< ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > > </td><td class="memItemRight" valign="bottom"><b>set_type</b></td></tr>
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typedef set_type::iterator </td><td class="memItemRight" valign="bottom"><b>iterator</b></td></tr>
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</table>
<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><p>smile section based on a gaussian 1d model instance if curves are attached to the swap or ibor index, these are used to adjust the model's yield term structure, if not the model's yield term structure is used directly </p>
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