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
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
314
315
316
317
318
319
320
321
322
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
338
339
340
341
342
343
344
345
346
347
348
349
350
351
352
353
354
355
356
357
358
359
360
361
362
363
364
365
366
367
368
369
370
371
372
373
374
375
376
377
378
379
380
381
382
383
384
385
386
387
388
389
390
391
392
393
394
395
396
397
398
399
400
401
402
403
404
405
406
407
408
409
410
411
412
413
414
415
416
417
418
419
420
421
422
423
424
425
426
427
|
<!DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd">
<html xmlns="http://www.w3.org/1999/xhtml">
<head>
<meta http-equiv="Content-Type" content="text/xhtml;charset=UTF-8"/>
<meta http-equiv="X-UA-Compatible" content="IE=9"/>
<meta name="generator" content="Doxygen 1.8.20"/>
<meta name="viewport" content="width=device-width, initial-scale=1"/>
<title>QuantLib: SabrVolSurface Class Reference</title>
<link href='https://fonts.googleapis.com/css?family=Merriweather+Sans:800' rel='stylesheet' type='text/css'>
<link href="tabs.css" rel="stylesheet" type="text/css"/>
<script type="text/javascript" src="jquery.js"></script>
<script type="text/javascript" src="dynsections.js"></script>
<link href="search/search.css" rel="stylesheet" type="text/css"/>
<script type="text/javascript" src="search/searchdata.js"></script>
<script type="text/javascript" src="search/search.js"></script>
<script type="text/x-mathjax-config">
MathJax.Hub.Config({
extensions: ["tex2jax.js"],
jax: ["input/TeX","output/HTML-CSS"],
});
</script>
<script type="text/javascript" async="async" src="https://cdnjs.cloudflare.com/ajax/libs/mathjax/2.7.5/MathJax.js"></script>
<link href="doxygen.css" rel="stylesheet" type="text/css" />
<link href="quantlibextra.css" rel="stylesheet" type="text/css"/>
</head>
<body>
<div id="top"><!-- do not remove this div, it is closed by doxygen! -->
<div id="titlearea">
<table cellspacing="0" cellpadding="0">
<tbody>
<tr style="height: 56px;">
<td id="projectalign" style="padding-left: 0.5em;">
<div id="projectname"><a href="http://quantlib.org">
<img alt="QuantLib" src="QL-title.jpg"></a>
<div id="projectbrief">A free/open-source library for quantitative finance</div>
<div id="projectnumber">Reference manual - version 1.20</div>
</div>
</td>
</tr>
</tbody>
</table>
</div>
<!-- end header part -->
<!-- Generated by Doxygen 1.8.20 -->
<script type="text/javascript">
/* @license magnet:?xt=urn:btih:cf05388f2679ee054f2beb29a391d25f4e673ac3&dn=gpl-2.0.txt GPL-v2 */
var searchBox = new SearchBox("searchBox", "search",false,'Search');
/* @license-end */
</script>
<script type="text/javascript" src="menudata.js"></script>
<script type="text/javascript" src="menu.js"></script>
<script type="text/javascript">
/* @license magnet:?xt=urn:btih:cf05388f2679ee054f2beb29a391d25f4e673ac3&dn=gpl-2.0.txt GPL-v2 */
$(function() {
initMenu('',true,false,'search.php','Search');
$(document).ready(function() { init_search(); });
});
/* @license-end */</script>
<div id="main-nav"></div>
<!-- window showing the filter options -->
<div id="MSearchSelectWindow"
onmouseover="return searchBox.OnSearchSelectShow()"
onmouseout="return searchBox.OnSearchSelectHide()"
onkeydown="return searchBox.OnSearchSelectKey(event)">
</div>
<!-- iframe showing the search results (closed by default) -->
<div id="MSearchResultsWindow">
<iframe src="javascript:void(0)" frameborder="0"
name="MSearchResults" id="MSearchResults">
</iframe>
</div>
<div id="nav-path" class="navpath">
<ul>
<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_sabr_vol_surface.html">SabrVolSurface</a></li> </ul>
</div>
</div><!-- top -->
<div class="header">
<div class="summary">
<a href="#pub-methods">Public Member Functions</a> |
<a href="class_quant_lib_1_1_sabr_vol_surface-members.html">List of all members</a> </div>
<div class="headertitle">
<div class="title">SabrVolSurface Class Reference</div> </div>
</div><!--header-->
<div class="contents">
<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 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 SabrVolSurface:</div>
<div id="dynsection-0-summary" class="dynsummary" style="display:block;">
</div>
<div id="dynsection-0-content" class="dyncontent" style="display:none;">
<div class="center"><img src="class_quant_lib_1_1_sabr_vol_surface__inherit__graph.png" border="0" usemap="#a_sabr_vol_surface_inherit__map" alt="Inheritance graph"/></div>
<map name="_sabr_vol_surface_inherit__map" id="a_sabr_vol_surface_inherit__map">
<area shape="rect" title="SABR volatility (smile) surface." alt="" coords="28,155,141,181"/>
<area shape="rect" href="class_quant_lib_1_1_interest_rate_vol_surface.html" title="Interest rate volatility (smile) surface." alt="" coords="5,80,164,107"/>
<area shape="rect" href="class_quant_lib_1_1_black_vol_surface.html" title="Black volatility (smile) surface." alt="" coords="25,5,144,32"/>
</map>
<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<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:a0daf2b4aa9f93bf4a9b95cee4bb786d0"><td class="memItemLeft" align="right" valign="top"><a id="a0daf2b4aa9f93bf4a9b95cee4bb786d0"></a>
 </td><td class="memItemRight" valign="bottom"><b>SabrVolSurface</b> (const ext::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 class="separator:a0daf2b4aa9f93bf4a9b95cee4bb786d0"><td class="memSeparator" colspan="2"> </td></tr>
<tr><td colspan="2"><div class="groupHeader">TermStructure interface</div></td></tr>
<tr class="memitem:ad49654ea33055b03f8666910acc13880"><td class="memItemLeft" align="right" valign="top"><a id="ad49654ea33055b03f8666910acc13880"></a>
<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#ad49654ea33055b03f8666910acc13880">dayCounter</a> () const</td></tr>
<tr class="memdesc:ad49654ea33055b03f8666910acc13880"><td class="mdescLeft"> </td><td class="mdescRight">the day counter used for date/time conversion <br /></td></tr>
<tr class="separator:ad49654ea33055b03f8666910acc13880"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a6fa1d746e67f372c6e09e4ec9ad8973b"><td class="memItemLeft" align="right" valign="top"><a id="a6fa1d746e67f372c6e09e4ec9ad8973b"></a>
<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#a6fa1d746e67f372c6e09e4ec9ad8973b">maxDate</a> () const</td></tr>
<tr class="memdesc:a6fa1d746e67f372c6e09e4ec9ad8973b"><td class="mdescLeft"> </td><td class="mdescRight">the latest date for which the curve can return values <br /></td></tr>
<tr class="separator:a6fa1d746e67f372c6e09e4ec9ad8973b"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a4950639c8f60a60050efe2772e1d6a2a"><td class="memItemLeft" align="right" valign="top"><a id="a4950639c8f60a60050efe2772e1d6a2a"></a>
<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#a4950639c8f60a60050efe2772e1d6a2a">maxTime</a> () const</td></tr>
<tr class="memdesc:a4950639c8f60a60050efe2772e1d6a2a"><td class="mdescLeft"> </td><td class="mdescRight">the latest time for which the curve can return values <br /></td></tr>
<tr class="separator:a4950639c8f60a60050efe2772e1d6a2a"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a34aadf8e384e50e6ee34067cc448262a"><td class="memItemLeft" align="right" valign="top"><a id="a34aadf8e384e50e6ee34067cc448262a"></a>
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#a34aadf8e384e50e6ee34067cc448262a">referenceDate</a> () const</td></tr>
<tr class="memdesc:a34aadf8e384e50e6ee34067cc448262a"><td class="mdescLeft"> </td><td class="mdescRight">the date at which discount = 1.0 and/or variance = 0.0 <br /></td></tr>
<tr class="separator:a34aadf8e384e50e6ee34067cc448262a"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a38e235178eb0a7749c37a16d71f4762f"><td class="memItemLeft" align="right" valign="top"><a id="a38e235178eb0a7749c37a16d71f4762f"></a>
<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#a38e235178eb0a7749c37a16d71f4762f">calendar</a> () const</td></tr>
<tr class="memdesc:a38e235178eb0a7749c37a16d71f4762f"><td class="mdescLeft"> </td><td class="mdescRight">the calendar used for reference and/or option date calculation <br /></td></tr>
<tr class="separator:a38e235178eb0a7749c37a16d71f4762f"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a32e050c75a34ceee6f0633bdb799a080"><td class="memItemLeft" align="right" valign="top"><a id="a32e050c75a34ceee6f0633bdb799a080"></a>
<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#a32e050c75a34ceee6f0633bdb799a080">settlementDays</a> () const</td></tr>
<tr class="memdesc:a32e050c75a34ceee6f0633bdb799a080"><td class="mdescLeft"> </td><td class="mdescRight">the settlementDays used for reference date calculation <br /></td></tr>
<tr class="separator:a32e050c75a34ceee6f0633bdb799a080"><td class="memSeparator" colspan="2"> </td></tr>
<tr><td colspan="2"><div class="groupHeader">VolatilityTermStructure interface</div></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"><a class="el" href="class_quant_lib_1_1_sabr_vol_surface.html#a08611adcd4c1461233257e6ff17c582a">minStrike</a> () const</td></tr>
<tr class="memdesc:a08611adcd4c1461233257e6ff17c582a"><td class="mdescLeft"> </td><td class="mdescRight">the minimum strike for which the term structure can return vols <br /></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"><a class="el" href="class_quant_lib_1_1_sabr_vol_surface.html#a4e78ef8a9ed6ba66165705dc96b8d5bf">maxStrike</a> () const</td></tr>
<tr class="memdesc:a4e78ef8a9ed6ba66165705dc96b8d5bf"><td class="mdescLeft"> </td><td class="mdescRight">the maximum strike for which the term structure can return vols <br /></td></tr>
<tr class="separator:a4e78ef8a9ed6ba66165705dc96b8d5bf"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ac885a753b799ed466e9d3515b84a7eb6"><td class="memItemLeft" align="right" valign="top"><a id="ac885a753b799ed466e9d3515b84a7eb6"></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> > & </td><td class="memItemRight" valign="bottom"><b>atmCurve</b> () const</td></tr>
<tr class="separator:ac885a753b799ed466e9d3515b84a7eb6"><td class="memSeparator" colspan="2"> </td></tr>
<tr><td colspan="2"><div class="groupHeader">BlackVolSurface interface</div></td></tr>
<tr class="memitem:acd9da30e32fad5123ee4d479bc7472b3"><td class="memItemLeft" align="right" valign="top"><a id="acd9da30e32fad5123ee4d479bc7472b3"></a>
ext::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 class="separator:acd9da30e32fad5123ee4d479bc7472b3"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_interest_rate_vol_surface"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_interest_rate_vol_surface')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_interest_rate_vol_surface.html">InterestRateVolSurface</a></td></tr>
<tr class="memitem:a7d3bf6e8b5628085f3bc5b73e03fb0c7 inherit pub_methods_class_quant_lib_1_1_interest_rate_vol_surface"><td class="memItemLeft" align="right" valign="top"> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_interest_rate_vol_surface.html#a7d3bf6e8b5628085f3bc5b73e03fb0c7">InterestRateVolSurface</a> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_interest_rate_index.html">InterestRateIndex</a> > &, <a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> bdc=<a class="el" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368ab6a37af780aa2b97f8bbdc4d149dae18">Following</a>, 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>())</td></tr>
<tr class="separator:a7d3bf6e8b5628085f3bc5b73e03fb0c7 inherit pub_methods_class_quant_lib_1_1_interest_rate_vol_surface"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a1ea141508a923e00f2641334952b41b3 inherit pub_methods_class_quant_lib_1_1_interest_rate_vol_surface"><td class="memItemLeft" align="right" valign="top"><a id="a1ea141508a923e00f2641334952b41b3"></a>
 </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_interest_rate_vol_surface.html#a1ea141508a923e00f2641334952b41b3">InterestRateVolSurface</a> (const ext::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_date.html">Date</a> &<a class="el" href="class_quant_lib_1_1_term_structure.html#acd49fd0f9bfecc09e0d3461f16ec5d79">referenceDate</a>, const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &cal=<a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a>(), <a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> bdc=<a class="el" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368ab6a37af780aa2b97f8bbdc4d149dae18">Following</a>, 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>())</td></tr>
<tr class="memdesc:a1ea141508a923e00f2641334952b41b3 inherit pub_methods_class_quant_lib_1_1_interest_rate_vol_surface"><td class="mdescLeft"> </td><td class="mdescRight">initialize with a fixed reference date <br /></td></tr>
<tr class="separator:a1ea141508a923e00f2641334952b41b3 inherit pub_methods_class_quant_lib_1_1_interest_rate_vol_surface"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a6a4ca85603ddba1f35dd5d06a4b2e324 inherit pub_methods_class_quant_lib_1_1_interest_rate_vol_surface"><td class="memItemLeft" align="right" valign="top"><a id="a6a4ca85603ddba1f35dd5d06a4b2e324"></a>
 </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_interest_rate_vol_surface.html#a6a4ca85603ddba1f35dd5d06a4b2e324">InterestRateVolSurface</a> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_interest_rate_index.html">InterestRateIndex</a> > &, <a class="el" href="group__types.html#ga7e529c39c477ba1f5a22264d93e8457a">Natural</a> <a class="el" href="class_quant_lib_1_1_term_structure.html#a32e050c75a34ceee6f0633bdb799a080">settlementDays</a>, const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &, <a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> bdc=<a class="el" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368ab6a37af780aa2b97f8bbdc4d149dae18">Following</a>, 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>())</td></tr>
<tr class="memdesc:a6a4ca85603ddba1f35dd5d06a4b2e324 inherit pub_methods_class_quant_lib_1_1_interest_rate_vol_surface"><td class="mdescLeft"> </td><td class="mdescRight">calculate the reference date based on the global evaluation date <br /></td></tr>
<tr class="separator:a6a4ca85603ddba1f35dd5d06a4b2e324 inherit pub_methods_class_quant_lib_1_1_interest_rate_vol_surface"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:af3be26fd18355b452218cf51e28ba5fd inherit pub_methods_class_quant_lib_1_1_interest_rate_vol_surface"><td class="memItemLeft" align="right" valign="top"><a id="af3be26fd18355b452218cf51e28ba5fd"></a>
<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_interest_rate_vol_surface.html#af3be26fd18355b452218cf51e28ba5fd">optionDateFromTenor</a> (const <a class="el" href="class_quant_lib_1_1_period.html">Period</a> &) const</td></tr>
<tr class="memdesc:af3be26fd18355b452218cf51e28ba5fd inherit pub_methods_class_quant_lib_1_1_interest_rate_vol_surface"><td class="mdescLeft"> </td><td class="mdescRight">period/date conversion <br /></td></tr>
<tr class="separator:af3be26fd18355b452218cf51e28ba5fd inherit pub_methods_class_quant_lib_1_1_interest_rate_vol_surface"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ada8ad079609c99c824b6566db8deca3d inherit pub_methods_class_quant_lib_1_1_interest_rate_vol_surface"><td class="memItemLeft" align="right" valign="top"><a id="ada8ad079609c99c824b6566db8deca3d"></a>
const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_interest_rate_index.html">InterestRateIndex</a> > & </td><td class="memItemRight" valign="bottom"><b>index</b> () const</td></tr>
<tr class="separator:ada8ad079609c99c824b6566db8deca3d inherit pub_methods_class_quant_lib_1_1_interest_rate_vol_surface"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_black_vol_surface"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_black_vol_surface')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_black_vol_surface.html">BlackVolSurface</a></td></tr>
<tr class="memitem:aa38e554a3ddfabe77ad448430e6304fa inherit pub_methods_class_quant_lib_1_1_black_vol_surface"><td class="memItemLeft" align="right" valign="top"> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_black_vol_surface.html#aa38e554a3ddfabe77ad448430e6304fa">BlackVolSurface</a> (<a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> bdc=<a class="el" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368ab6a37af780aa2b97f8bbdc4d149dae18">Following</a>, 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>())</td></tr>
<tr class="memdesc:aa38e554a3ddfabe77ad448430e6304fa inherit pub_methods_class_quant_lib_1_1_black_vol_surface"><td class="mdescLeft"> </td><td class="mdescRight">default constructor <a href="class_quant_lib_1_1_black_vol_surface.html#aa38e554a3ddfabe77ad448430e6304fa">More...</a><br /></td></tr>
<tr class="separator:aa38e554a3ddfabe77ad448430e6304fa inherit pub_methods_class_quant_lib_1_1_black_vol_surface"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a36d6c83a231ba52c91b94b2351dadbba inherit pub_methods_class_quant_lib_1_1_black_vol_surface"><td class="memItemLeft" align="right" valign="top"><a id="a36d6c83a231ba52c91b94b2351dadbba"></a>
 </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_black_vol_surface.html#a36d6c83a231ba52c91b94b2351dadbba">BlackVolSurface</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &<a class="el" href="class_quant_lib_1_1_term_structure.html#acd49fd0f9bfecc09e0d3461f16ec5d79">referenceDate</a>, const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &cal=<a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a>(), <a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> bdc=<a class="el" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368ab6a37af780aa2b97f8bbdc4d149dae18">Following</a>, 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>())</td></tr>
<tr class="memdesc:a36d6c83a231ba52c91b94b2351dadbba inherit pub_methods_class_quant_lib_1_1_black_vol_surface"><td class="mdescLeft"> </td><td class="mdescRight">initialize with a fixed reference date <br /></td></tr>
<tr class="separator:a36d6c83a231ba52c91b94b2351dadbba inherit pub_methods_class_quant_lib_1_1_black_vol_surface"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a623d0f595d50ad0994d9970b329c4b07 inherit pub_methods_class_quant_lib_1_1_black_vol_surface"><td class="memItemLeft" align="right" valign="top"><a id="a623d0f595d50ad0994d9970b329c4b07"></a>
 </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_black_vol_surface.html#a623d0f595d50ad0994d9970b329c4b07">BlackVolSurface</a> (<a class="el" href="group__types.html#ga7e529c39c477ba1f5a22264d93e8457a">Natural</a> <a class="el" href="class_quant_lib_1_1_term_structure.html#a32e050c75a34ceee6f0633bdb799a080">settlementDays</a>, const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &, <a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> bdc=<a class="el" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368ab6a37af780aa2b97f8bbdc4d149dae18">Following</a>, 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>())</td></tr>
<tr class="memdesc:a623d0f595d50ad0994d9970b329c4b07 inherit pub_methods_class_quant_lib_1_1_black_vol_surface"><td class="mdescLeft"> </td><td class="mdescRight">calculate the reference date based on the global evaluation date <br /></td></tr>
<tr class="separator:a623d0f595d50ad0994d9970b329c4b07 inherit pub_methods_class_quant_lib_1_1_black_vol_surface"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:af883a34d2a4ccf7faa928ded3704bad3 inherit pub_methods_class_quant_lib_1_1_black_vol_surface"><td class="memItemLeft" align="right" valign="top"><a id="af883a34d2a4ccf7faa928ded3704bad3"></a>
ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_smile_section.html">SmileSection</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_black_vol_surface.html#af883a34d2a4ccf7faa928ded3704bad3">smileSection</a> (const <a class="el" href="class_quant_lib_1_1_period.html">Period</a> &, bool extrapolate) const</td></tr>
<tr class="memdesc:af883a34d2a4ccf7faa928ded3704bad3 inherit pub_methods_class_quant_lib_1_1_black_vol_surface"><td class="mdescLeft"> </td><td class="mdescRight">returns the smile for a given option tenor <br /></td></tr>
<tr class="separator:af883a34d2a4ccf7faa928ded3704bad3 inherit pub_methods_class_quant_lib_1_1_black_vol_surface"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a108b85babe8ab288f4752048147e25d4 inherit pub_methods_class_quant_lib_1_1_black_vol_surface"><td class="memItemLeft" align="right" valign="top"><a id="a108b85babe8ab288f4752048147e25d4"></a>
ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_smile_section.html">SmileSection</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_black_vol_surface.html#a108b85babe8ab288f4752048147e25d4">smileSection</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &, bool extrapolate) const</td></tr>
<tr class="memdesc:a108b85babe8ab288f4752048147e25d4 inherit pub_methods_class_quant_lib_1_1_black_vol_surface"><td class="mdescLeft"> </td><td class="mdescRight">returns the smile for a given option date <br /></td></tr>
<tr class="separator:a108b85babe8ab288f4752048147e25d4 inherit pub_methods_class_quant_lib_1_1_black_vol_surface"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a5ea78e27b9080a405be9dbefc9eb2394 inherit pub_methods_class_quant_lib_1_1_black_vol_surface"><td class="memItemLeft" align="right" valign="top"><a id="a5ea78e27b9080a405be9dbefc9eb2394"></a>
ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_smile_section.html">SmileSection</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_black_vol_surface.html#a5ea78e27b9080a405be9dbefc9eb2394">smileSection</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a>, bool extrapolate) const</td></tr>
<tr class="memdesc:a5ea78e27b9080a405be9dbefc9eb2394 inherit pub_methods_class_quant_lib_1_1_black_vol_surface"><td class="mdescLeft"> </td><td class="mdescRight">returns the smile for a given option time <br /></td></tr>
<tr class="separator:a5ea78e27b9080a405be9dbefc9eb2394 inherit pub_methods_class_quant_lib_1_1_black_vol_surface"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_black_atm_vol_curve"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_black_atm_vol_curve')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_black_atm_vol_curve.html">BlackAtmVolCurve</a></td></tr>
<tr class="memitem:ae6f7aa60ece6266f81c578c61e900c9f inherit pub_methods_class_quant_lib_1_1_black_atm_vol_curve"><td class="memItemLeft" align="right" valign="top"> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_black_atm_vol_curve.html#ae6f7aa60ece6266f81c578c61e900c9f">BlackAtmVolCurve</a> (<a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> bdc=<a class="el" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368ab6a37af780aa2b97f8bbdc4d149dae18">Following</a>, 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>())</td></tr>
<tr class="memdesc:ae6f7aa60ece6266f81c578c61e900c9f inherit pub_methods_class_quant_lib_1_1_black_atm_vol_curve"><td class="mdescLeft"> </td><td class="mdescRight">default constructor <a href="class_quant_lib_1_1_black_atm_vol_curve.html#ae6f7aa60ece6266f81c578c61e900c9f">More...</a><br /></td></tr>
<tr class="separator:ae6f7aa60ece6266f81c578c61e900c9f inherit pub_methods_class_quant_lib_1_1_black_atm_vol_curve"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ac4c042801bd99136f21685ae1e23dca7 inherit pub_methods_class_quant_lib_1_1_black_atm_vol_curve"><td class="memItemLeft" align="right" valign="top"><a id="ac4c042801bd99136f21685ae1e23dca7"></a>
 </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_black_atm_vol_curve.html#ac4c042801bd99136f21685ae1e23dca7">BlackAtmVolCurve</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &<a class="el" href="class_quant_lib_1_1_term_structure.html#acd49fd0f9bfecc09e0d3461f16ec5d79">referenceDate</a>, const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &cal=<a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a>(), <a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> bdc=<a class="el" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368ab6a37af780aa2b97f8bbdc4d149dae18">Following</a>, 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>())</td></tr>
<tr class="memdesc:ac4c042801bd99136f21685ae1e23dca7 inherit pub_methods_class_quant_lib_1_1_black_atm_vol_curve"><td class="mdescLeft"> </td><td class="mdescRight">initialize with a fixed reference date <br /></td></tr>
<tr class="separator:ac4c042801bd99136f21685ae1e23dca7 inherit pub_methods_class_quant_lib_1_1_black_atm_vol_curve"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a3eee3278ff50e14cd7d0974a4bbc034c inherit pub_methods_class_quant_lib_1_1_black_atm_vol_curve"><td class="memItemLeft" align="right" valign="top"><a id="a3eee3278ff50e14cd7d0974a4bbc034c"></a>
 </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_black_atm_vol_curve.html#a3eee3278ff50e14cd7d0974a4bbc034c">BlackAtmVolCurve</a> (<a class="el" href="group__types.html#ga7e529c39c477ba1f5a22264d93e8457a">Natural</a> <a class="el" href="class_quant_lib_1_1_term_structure.html#a32e050c75a34ceee6f0633bdb799a080">settlementDays</a>, const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &, <a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> bdc=<a class="el" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368ab6a37af780aa2b97f8bbdc4d149dae18">Following</a>, 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>())</td></tr>
<tr class="memdesc:a3eee3278ff50e14cd7d0974a4bbc034c inherit pub_methods_class_quant_lib_1_1_black_atm_vol_curve"><td class="mdescLeft"> </td><td class="mdescRight">calculate the reference date based on the global evaluation date <br /></td></tr>
<tr class="separator:a3eee3278ff50e14cd7d0974a4bbc034c inherit pub_methods_class_quant_lib_1_1_black_atm_vol_curve"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a925518cec21ed7df88b85bfa905854fd inherit pub_methods_class_quant_lib_1_1_black_atm_vol_curve"><td class="memItemLeft" align="right" valign="top"><a id="a925518cec21ed7df88b85bfa905854fd"></a>
virtual </td><td class="memItemRight" valign="bottom"><b>~BlackAtmVolCurve</b> ()</td></tr>
<tr class="separator:a925518cec21ed7df88b85bfa905854fd inherit pub_methods_class_quant_lib_1_1_black_atm_vol_curve"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a19f411978a85d50e6e26875e5179ec5d inherit pub_methods_class_quant_lib_1_1_black_atm_vol_curve"><td class="memItemLeft" align="right" valign="top"><a id="a19f411978a85d50e6e26875e5179ec5d"></a>
<a class="el" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_black_atm_vol_curve.html#a19f411978a85d50e6e26875e5179ec5d">atmVol</a> (const <a class="el" href="class_quant_lib_1_1_period.html">Period</a> &optionTenor, bool extrapolate=false) const</td></tr>
<tr class="memdesc:a19f411978a85d50e6e26875e5179ec5d inherit pub_methods_class_quant_lib_1_1_black_atm_vol_curve"><td class="mdescLeft"> </td><td class="mdescRight">spot at-the-money volatility <br /></td></tr>
<tr class="separator:a19f411978a85d50e6e26875e5179ec5d inherit pub_methods_class_quant_lib_1_1_black_atm_vol_curve"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:abfb8263a22525a517536d56ad8c18f84 inherit pub_methods_class_quant_lib_1_1_black_atm_vol_curve"><td class="memItemLeft" align="right" valign="top"><a id="abfb8263a22525a517536d56ad8c18f84"></a>
<a class="el" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_black_atm_vol_curve.html#abfb8263a22525a517536d56ad8c18f84">atmVol</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &maturity, bool extrapolate=false) const</td></tr>
<tr class="memdesc:abfb8263a22525a517536d56ad8c18f84 inherit pub_methods_class_quant_lib_1_1_black_atm_vol_curve"><td class="mdescLeft"> </td><td class="mdescRight">spot at-the-money volatility <br /></td></tr>
<tr class="separator:abfb8263a22525a517536d56ad8c18f84 inherit pub_methods_class_quant_lib_1_1_black_atm_vol_curve"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a2fb54f97a1e2045749280c3bfc2af7c0 inherit pub_methods_class_quant_lib_1_1_black_atm_vol_curve"><td class="memItemLeft" align="right" valign="top"><a id="a2fb54f97a1e2045749280c3bfc2af7c0"></a>
<a class="el" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_black_atm_vol_curve.html#a2fb54f97a1e2045749280c3bfc2af7c0">atmVol</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> maturity, bool extrapolate=false) const</td></tr>
<tr class="memdesc:a2fb54f97a1e2045749280c3bfc2af7c0 inherit pub_methods_class_quant_lib_1_1_black_atm_vol_curve"><td class="mdescLeft"> </td><td class="mdescRight">spot at-the-money volatility <br /></td></tr>
<tr class="separator:a2fb54f97a1e2045749280c3bfc2af7c0 inherit pub_methods_class_quant_lib_1_1_black_atm_vol_curve"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ae1168c8ddc8a65860c9c611297d08c7d inherit pub_methods_class_quant_lib_1_1_black_atm_vol_curve"><td class="memItemLeft" align="right" valign="top"><a id="ae1168c8ddc8a65860c9c611297d08c7d"></a>
<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_black_atm_vol_curve.html#ae1168c8ddc8a65860c9c611297d08c7d">atmVariance</a> (const <a class="el" href="class_quant_lib_1_1_period.html">Period</a> &optionTenor, bool extrapolate=false) const</td></tr>
<tr class="memdesc:ae1168c8ddc8a65860c9c611297d08c7d inherit pub_methods_class_quant_lib_1_1_black_atm_vol_curve"><td class="mdescLeft"> </td><td class="mdescRight">spot at-the-money variance <br /></td></tr>
<tr class="separator:ae1168c8ddc8a65860c9c611297d08c7d inherit pub_methods_class_quant_lib_1_1_black_atm_vol_curve"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ac5a8ef9d3f36dca752ec48845b3f50bb inherit pub_methods_class_quant_lib_1_1_black_atm_vol_curve"><td class="memItemLeft" align="right" valign="top"><a id="ac5a8ef9d3f36dca752ec48845b3f50bb"></a>
<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_black_atm_vol_curve.html#ac5a8ef9d3f36dca752ec48845b3f50bb">atmVariance</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &maturity, bool extrapolate=false) const</td></tr>
<tr class="memdesc:ac5a8ef9d3f36dca752ec48845b3f50bb inherit pub_methods_class_quant_lib_1_1_black_atm_vol_curve"><td class="mdescLeft"> </td><td class="mdescRight">spot at-the-money variance <br /></td></tr>
<tr class="separator:ac5a8ef9d3f36dca752ec48845b3f50bb inherit pub_methods_class_quant_lib_1_1_black_atm_vol_curve"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a4223612f034e298cd880f6e17aad162a inherit pub_methods_class_quant_lib_1_1_black_atm_vol_curve"><td class="memItemLeft" align="right" valign="top"><a id="a4223612f034e298cd880f6e17aad162a"></a>
<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_black_atm_vol_curve.html#a4223612f034e298cd880f6e17aad162a">atmVariance</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> maturity, bool extrapolate=false) const</td></tr>
<tr class="memdesc:a4223612f034e298cd880f6e17aad162a inherit pub_methods_class_quant_lib_1_1_black_atm_vol_curve"><td class="mdescLeft"> </td><td class="mdescRight">spot at-the-money variance <br /></td></tr>
<tr class="separator:a4223612f034e298cd880f6e17aad162a inherit pub_methods_class_quant_lib_1_1_black_atm_vol_curve"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_volatility_term_structure"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_volatility_term_structure')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_volatility_term_structure.html">VolatilityTermStructure</a></td></tr>
<tr class="memitem:a6dde14edb40ab23fb1ea553c516d56f3 inherit pub_methods_class_quant_lib_1_1_volatility_term_structure"><td class="memItemLeft" align="right" valign="top"> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_volatility_term_structure.html#a6dde14edb40ab23fb1ea553c516d56f3">VolatilityTermStructure</a> (<a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> bdc, 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>())</td></tr>
<tr class="separator:a6dde14edb40ab23fb1ea553c516d56f3 inherit pub_methods_class_quant_lib_1_1_volatility_term_structure"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a313b93ad25131868d6ecba5dd642741d inherit pub_methods_class_quant_lib_1_1_volatility_term_structure"><td class="memItemLeft" align="right" valign="top"><a id="a313b93ad25131868d6ecba5dd642741d"></a>
 </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_volatility_term_structure.html#a313b93ad25131868d6ecba5dd642741d">VolatilityTermStructure</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &<a class="el" href="class_quant_lib_1_1_term_structure.html#acd49fd0f9bfecc09e0d3461f16ec5d79">referenceDate</a>, const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &cal, <a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> bdc, 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>())</td></tr>
<tr class="memdesc:a313b93ad25131868d6ecba5dd642741d inherit pub_methods_class_quant_lib_1_1_volatility_term_structure"><td class="mdescLeft"> </td><td class="mdescRight">initialize with a fixed reference date <br /></td></tr>
<tr class="separator:a313b93ad25131868d6ecba5dd642741d inherit pub_methods_class_quant_lib_1_1_volatility_term_structure"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a82bd61e80d4c1bf9e22b55917fe18cd6 inherit pub_methods_class_quant_lib_1_1_volatility_term_structure"><td class="memItemLeft" align="right" valign="top"><a id="a82bd61e80d4c1bf9e22b55917fe18cd6"></a>
 </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_volatility_term_structure.html#a82bd61e80d4c1bf9e22b55917fe18cd6">VolatilityTermStructure</a> (<a class="el" href="group__types.html#ga7e529c39c477ba1f5a22264d93e8457a">Natural</a> <a class="el" href="class_quant_lib_1_1_term_structure.html#a32e050c75a34ceee6f0633bdb799a080">settlementDays</a>, const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &cal, <a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> bdc, 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>())</td></tr>
<tr class="memdesc:a82bd61e80d4c1bf9e22b55917fe18cd6 inherit pub_methods_class_quant_lib_1_1_volatility_term_structure"><td class="mdescLeft"> </td><td class="mdescRight">calculate the reference date based on the global evaluation date <br /></td></tr>
<tr class="separator:a82bd61e80d4c1bf9e22b55917fe18cd6 inherit pub_methods_class_quant_lib_1_1_volatility_term_structure"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:adb162cdfeed00aeb62b8cac19f5d0948 inherit pub_methods_class_quant_lib_1_1_volatility_term_structure"><td class="memItemLeft" align="right" valign="top"><a id="adb162cdfeed00aeb62b8cac19f5d0948"></a>
virtual <a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_volatility_term_structure.html#adb162cdfeed00aeb62b8cac19f5d0948">businessDayConvention</a> () const</td></tr>
<tr class="memdesc:adb162cdfeed00aeb62b8cac19f5d0948 inherit pub_methods_class_quant_lib_1_1_volatility_term_structure"><td class="mdescLeft"> </td><td class="mdescRight">the business day convention used in tenor to date conversion <br /></td></tr>
<tr class="separator:adb162cdfeed00aeb62b8cac19f5d0948 inherit pub_methods_class_quant_lib_1_1_volatility_term_structure"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:af3be26fd18355b452218cf51e28ba5fd inherit pub_methods_class_quant_lib_1_1_volatility_term_structure"><td class="memItemLeft" align="right" valign="top"><a id="af3be26fd18355b452218cf51e28ba5fd"></a>
<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_volatility_term_structure.html#af3be26fd18355b452218cf51e28ba5fd">optionDateFromTenor</a> (const <a class="el" href="class_quant_lib_1_1_period.html">Period</a> &) const</td></tr>
<tr class="memdesc:af3be26fd18355b452218cf51e28ba5fd inherit pub_methods_class_quant_lib_1_1_volatility_term_structure"><td class="mdescLeft"> </td><td class="mdescRight">period/date conversion <br /></td></tr>
<tr class="separator:af3be26fd18355b452218cf51e28ba5fd inherit pub_methods_class_quant_lib_1_1_volatility_term_structure"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_term_structure"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_term_structure')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_term_structure.html">TermStructure</a></td></tr>
<tr class="memitem:a4a8e0f324391a12454f11f5f5d5e66e8 inherit pub_methods_class_quant_lib_1_1_term_structure"><td class="memItemLeft" align="right" valign="top"> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_term_structure.html#a4a8e0f324391a12454f11f5f5d5e66e8">TermStructure</a> (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>())</td></tr>
<tr class="memdesc:a4a8e0f324391a12454f11f5f5d5e66e8 inherit pub_methods_class_quant_lib_1_1_term_structure"><td class="mdescLeft"> </td><td class="mdescRight">default constructor <a href="class_quant_lib_1_1_term_structure.html#a4a8e0f324391a12454f11f5f5d5e66e8">More...</a><br /></td></tr>
<tr class="separator:a4a8e0f324391a12454f11f5f5d5e66e8 inherit pub_methods_class_quant_lib_1_1_term_structure"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a44918f70ab345cad67a287d46641f20f inherit pub_methods_class_quant_lib_1_1_term_structure"><td class="memItemLeft" align="right" valign="top"><a id="a44918f70ab345cad67a287d46641f20f"></a>
 </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_term_structure.html#a44918f70ab345cad67a287d46641f20f">TermStructure</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &<a class="el" href="class_quant_lib_1_1_term_structure.html#acd49fd0f9bfecc09e0d3461f16ec5d79">referenceDate</a>, const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &<a class="el" href="class_quant_lib_1_1_term_structure.html#a38e235178eb0a7749c37a16d71f4762f">calendar</a>=<a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a>(), 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>())</td></tr>
<tr class="memdesc:a44918f70ab345cad67a287d46641f20f inherit pub_methods_class_quant_lib_1_1_term_structure"><td class="mdescLeft"> </td><td class="mdescRight">initialize with a fixed reference date <br /></td></tr>
<tr class="separator:a44918f70ab345cad67a287d46641f20f inherit pub_methods_class_quant_lib_1_1_term_structure"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ab72309c6d49bd4b6dc5b9ed09b67c7b9 inherit pub_methods_class_quant_lib_1_1_term_structure"><td class="memItemLeft" align="right" valign="top"><a id="ab72309c6d49bd4b6dc5b9ed09b67c7b9"></a>
 </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_term_structure.html#ab72309c6d49bd4b6dc5b9ed09b67c7b9">TermStructure</a> (<a class="el" href="group__types.html#ga7e529c39c477ba1f5a22264d93e8457a">Natural</a> <a class="el" href="class_quant_lib_1_1_term_structure.html#a32e050c75a34ceee6f0633bdb799a080">settlementDays</a>, const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &, 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>())</td></tr>
<tr class="memdesc:ab72309c6d49bd4b6dc5b9ed09b67c7b9 inherit pub_methods_class_quant_lib_1_1_term_structure"><td class="mdescLeft"> </td><td class="mdescRight">calculate the reference date based on the global evaluation date <br /></td></tr>
<tr class="separator:ab72309c6d49bd4b6dc5b9ed09b67c7b9 inherit pub_methods_class_quant_lib_1_1_term_structure"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a7cd56b3d79445a9c5e72fbc0ddd4d201 inherit pub_methods_class_quant_lib_1_1_term_structure"><td class="memItemLeft" align="right" valign="top"><a id="a7cd56b3d79445a9c5e72fbc0ddd4d201"></a>
virtual </td><td class="memItemRight" valign="bottom"><b>~TermStructure</b> ()</td></tr>
<tr class="separator:a7cd56b3d79445a9c5e72fbc0ddd4d201 inherit pub_methods_class_quant_lib_1_1_term_structure"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:aa249f26327547294e5f920745cab10fd inherit pub_methods_class_quant_lib_1_1_term_structure"><td class="memItemLeft" align="right" valign="top"><a id="aa249f26327547294e5f920745cab10fd"></a>
<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_term_structure.html#aa249f26327547294e5f920745cab10fd">timeFromReference</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &date) const</td></tr>
<tr class="memdesc:aa249f26327547294e5f920745cab10fd inherit pub_methods_class_quant_lib_1_1_term_structure"><td class="mdescLeft"> </td><td class="mdescRight">date/time conversion <br /></td></tr>
<tr class="separator:aa249f26327547294e5f920745cab10fd inherit pub_methods_class_quant_lib_1_1_term_structure"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ac5c54df7ed3b930268c8d7752c101725 inherit pub_methods_class_quant_lib_1_1_term_structure"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_term_structure.html#ac5c54df7ed3b930268c8d7752c101725">update</a> ()</td></tr>
<tr class="separator:ac5c54df7ed3b930268c8d7752c101725 inherit pub_methods_class_quant_lib_1_1_term_structure"><td class="memSeparator" colspan="2"> </td></tr>
<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>
<tr class="separator:af6a9d3ca0b7f388f3b7ccb1eccf11f63 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a6810b3645967da11d5f5d4804d37bacc inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="a6810b3645967da11d5f5d4804d37bacc"></a>
<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>
<tr class="separator:a6810b3645967da11d5f5d4804d37bacc inherit pub_methods_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:aa6ade205ed506bf712da2704f80a73a0 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="aa6ade205ed506bf712da2704f80a73a0"></a>
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>
<tr class="separator:aa6ade205ed506bf712da2704f80a73a0 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<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>
<tr class="separator:a51d57eb97a3a57312a47bda29235f182 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a4ce7359ad0f73a54dba555be24855804 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="a4ce7359ad0f73a54dba555be24855804"></a>
<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>
<tr class="separator:a4ce7359ad0f73a54dba555be24855804 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a0c19cb502f3b720b99b176ea6cc7e319 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="a0c19cb502f3b720b99b176ea6cc7e319"></a>
void </td><td class="memItemRight" valign="bottom"><b>unregisterWithAll</b> ()</td></tr>
<tr class="separator:a0c19cb502f3b720b99b176ea6cc7e319 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<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>
<tr class="separator:a3d53f9669c128dadc74a5d044a7c8e68 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<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>
<tr class="separator:a840dd96e33a304cbf681d357de7f48d0 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memSeparator" colspan="2"> </td></tr>
<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>
<tr class="separator:a522aacdd0f2408fe5e46527a6db999b4 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memSeparator" colspan="2"> </td></tr>
<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>
<tr class="separator:a397546715bfc5aedd1d16dd202a19d4c inherit pub_methods_class_quant_lib_1_1_observable"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_extrapolator"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_extrapolator')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_extrapolator.html">Extrapolator</a></td></tr>
<tr class="memitem:ae60e793a77f44a9c022b103458fa993c inherit pub_methods_class_quant_lib_1_1_extrapolator"><td class="memItemLeft" align="right" valign="top"><a id="ae60e793a77f44a9c022b103458fa993c"></a>
void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_extrapolator.html#ae60e793a77f44a9c022b103458fa993c">enableExtrapolation</a> (bool b=true)</td></tr>
<tr class="memdesc:ae60e793a77f44a9c022b103458fa993c inherit pub_methods_class_quant_lib_1_1_extrapolator"><td class="mdescLeft"> </td><td class="mdescRight">enable extrapolation in subsequent calls <br /></td></tr>
<tr class="separator:ae60e793a77f44a9c022b103458fa993c inherit pub_methods_class_quant_lib_1_1_extrapolator"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:abab5047522a68771f2b1d51d1ac78383 inherit pub_methods_class_quant_lib_1_1_extrapolator"><td class="memItemLeft" align="right" valign="top"><a id="abab5047522a68771f2b1d51d1ac78383"></a>
void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_extrapolator.html#abab5047522a68771f2b1d51d1ac78383">disableExtrapolation</a> (bool b=true)</td></tr>
<tr class="memdesc:abab5047522a68771f2b1d51d1ac78383 inherit pub_methods_class_quant_lib_1_1_extrapolator"><td class="mdescLeft"> </td><td class="mdescRight">disable extrapolation in subsequent calls <br /></td></tr>
<tr class="separator:abab5047522a68771f2b1d51d1ac78383 inherit pub_methods_class_quant_lib_1_1_extrapolator"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a323f875818fddd62a1c56c25ddaee418 inherit pub_methods_class_quant_lib_1_1_extrapolator"><td class="memItemLeft" align="right" valign="top"><a id="a323f875818fddd62a1c56c25ddaee418"></a>
bool </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_extrapolator.html#a323f875818fddd62a1c56c25ddaee418">allowsExtrapolation</a> () const</td></tr>
<tr class="memdesc:a323f875818fddd62a1c56c25ddaee418 inherit pub_methods_class_quant_lib_1_1_extrapolator"><td class="mdescLeft"> </td><td class="mdescRight">tells whether extrapolation is enabled <br /></td></tr>
<tr class="separator:a323f875818fddd62a1c56c25ddaee418 inherit pub_methods_class_quant_lib_1_1_extrapolator"><td class="memSeparator" colspan="2"> </td></tr>
</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="member-group"></a>
Visitability</h2></td></tr>
<tr class="memitem:a896099363a2a409d2485c3ce9e4e4265"><td class="memItemLeft" align="right" valign="top"><a id="a896099363a2a409d2485c3ce9e4e4265"></a>
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 class="separator:a896099363a2a409d2485c3ce9e4e4265"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a785d946bdbca71aa674fc673cef81d43"><td class="memItemLeft" align="right" valign="top"><a id="a785d946bdbca71aa674fc673cef81d43"></a>
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 class="separator:a785d946bdbca71aa674fc673cef81d43"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a0b606326932f4b8d3cfe9af28b71dff2"><td class="memItemLeft" align="right" valign="top"><a id="a0b606326932f4b8d3cfe9af28b71dff2"></a>
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 class="separator:a0b606326932f4b8d3cfe9af28b71dff2"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a81e665349bc67466b71c84c0edef31a4"><td class="memItemLeft" align="right" valign="top"><a id="a81e665349bc67466b71c84c0edef31a4"></a>
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 class="separator:a81e665349bc67466b71c84c0edef31a4"><td class="memSeparator" colspan="2"> </td></tr>
</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="member-group"></a>
LazyObject interface</h2></td></tr>
<tr class="memitem:a33f04fb3ac37abe7c9c6032cff611745"><td class="memItemLeft" align="right" valign="top"><a id="a33f04fb3ac37abe7c9c6032cff611745"></a>
void </td><td class="memItemRight" valign="bottom"><b>performCalculations</b> () const</td></tr>
<tr class="separator:a33f04fb3ac37abe7c9c6032cff611745"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:acd36d7881ea8503d5c5824e7a5ad6c7e"><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>
<tr class="separator:acd36d7881ea8503d5c5824e7a5ad6c7e"><td class="memSeparator" colspan="2"> </td></tr>
</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>
<tr class="separator:a78de5f2b6bce96d718e3c18b9f52d67c inherit pub_types_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ae98429250f6997df7b87f4b37454609e inherit pub_types_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="ae98429250f6997df7b87f4b37454609e"></a>
typedef set_type::iterator </td><td class="memItemRight" valign="bottom"><b>iterator</b></td></tr>
<tr class="separator:ae98429250f6997df7b87f4b37454609e inherit pub_types_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pro_methods_class_quant_lib_1_1_black_vol_surface"><td colspan="2" onclick="javascript:toggleInherit('pro_methods_class_quant_lib_1_1_black_vol_surface')"><img src="closed.png" alt="-"/> Protected Member Functions inherited from <a class="el" href="class_quant_lib_1_1_black_vol_surface.html">BlackVolSurface</a></td></tr>
<tr class="memitem:a2e58867e19f6d30647160ccf0e155f0f inherit pro_methods_class_quant_lib_1_1_black_vol_surface"><td class="memItemLeft" align="right" valign="top"><a id="a2e58867e19f6d30647160ccf0e155f0f"></a>
<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_black_vol_surface.html#a2e58867e19f6d30647160ccf0e155f0f">atmVarianceImpl</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t) const</td></tr>
<tr class="memdesc:a2e58867e19f6d30647160ccf0e155f0f inherit pro_methods_class_quant_lib_1_1_black_vol_surface"><td class="mdescLeft"> </td><td class="mdescRight">spot at-the-money variance calculation <br /></td></tr>
<tr class="separator:a2e58867e19f6d30647160ccf0e155f0f inherit pro_methods_class_quant_lib_1_1_black_vol_surface"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a8b580ac38356b851bdcc70de81b5be5b inherit pro_methods_class_quant_lib_1_1_black_vol_surface"><td class="memItemLeft" align="right" valign="top"><a id="a8b580ac38356b851bdcc70de81b5be5b"></a>
<a class="el" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_black_vol_surface.html#a8b580ac38356b851bdcc70de81b5be5b">atmVolImpl</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t) const</td></tr>
<tr class="memdesc:a8b580ac38356b851bdcc70de81b5be5b inherit pro_methods_class_quant_lib_1_1_black_vol_surface"><td class="mdescLeft"> </td><td class="mdescRight">spot at-the-money volatility calculation <br /></td></tr>
<tr class="separator:a8b580ac38356b851bdcc70de81b5be5b inherit pro_methods_class_quant_lib_1_1_black_vol_surface"><td class="memSeparator" colspan="2"> </td></tr>
<tr><td colspan="2"><div class="groupHeader">Calculations</div></td></tr>
<tr><td colspan="2"><div class="groupText"><p>These methods must be implemented in derived classes to perform the actual volatility calculations. When they are called, range check has already been performed; therefore, they must assume that extrapolation is required. </p>
</div></td></tr>
<tr class="inherit_header pro_methods_class_quant_lib_1_1_volatility_term_structure"><td colspan="2" onclick="javascript:toggleInherit('pro_methods_class_quant_lib_1_1_volatility_term_structure')"><img src="closed.png" alt="-"/> Protected Member Functions inherited from <a class="el" href="class_quant_lib_1_1_volatility_term_structure.html">VolatilityTermStructure</a></td></tr>
<tr class="memitem:aac9780b2660b2ea2d619592ece52b2fa inherit pro_methods_class_quant_lib_1_1_volatility_term_structure"><td class="memItemLeft" align="right" valign="top"><a id="aac9780b2660b2ea2d619592ece52b2fa"></a>
void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_volatility_term_structure.html#aac9780b2660b2ea2d619592ece52b2fa">checkStrike</a> (<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> strike, bool extrapolate) const</td></tr>
<tr class="memdesc:aac9780b2660b2ea2d619592ece52b2fa inherit pro_methods_class_quant_lib_1_1_volatility_term_structure"><td class="mdescLeft"> </td><td class="mdescRight">strike-range check <br /></td></tr>
<tr class="separator:aac9780b2660b2ea2d619592ece52b2fa inherit pro_methods_class_quant_lib_1_1_volatility_term_structure"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pro_methods_class_quant_lib_1_1_term_structure"><td colspan="2" onclick="javascript:toggleInherit('pro_methods_class_quant_lib_1_1_term_structure')"><img src="closed.png" alt="-"/> Protected Member Functions inherited from <a class="el" href="class_quant_lib_1_1_term_structure.html">TermStructure</a></td></tr>
<tr class="memitem:abbff679b6600c49cafed098870f94376 inherit pro_methods_class_quant_lib_1_1_term_structure"><td class="memItemLeft" align="right" valign="top"><a id="abbff679b6600c49cafed098870f94376"></a>
void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_term_structure.html#abbff679b6600c49cafed098870f94376">checkRange</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &d, bool extrapolate) const</td></tr>
<tr class="memdesc:abbff679b6600c49cafed098870f94376 inherit pro_methods_class_quant_lib_1_1_term_structure"><td class="mdescLeft"> </td><td class="mdescRight">date-range check <br /></td></tr>
<tr class="separator:abbff679b6600c49cafed098870f94376 inherit pro_methods_class_quant_lib_1_1_term_structure"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ac13f8e2d29e10f3fb6838bfb59759299 inherit pro_methods_class_quant_lib_1_1_term_structure"><td class="memItemLeft" align="right" valign="top"><a id="ac13f8e2d29e10f3fb6838bfb59759299"></a>
void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_term_structure.html#ac13f8e2d29e10f3fb6838bfb59759299">checkRange</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, bool extrapolate) const</td></tr>
<tr class="memdesc:ac13f8e2d29e10f3fb6838bfb59759299 inherit pro_methods_class_quant_lib_1_1_term_structure"><td class="mdescLeft"> </td><td class="mdescRight">time-range check <br /></td></tr>
<tr class="separator:ac13f8e2d29e10f3fb6838bfb59759299 inherit pro_methods_class_quant_lib_1_1_term_structure"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pro_attribs_class_quant_lib_1_1_interest_rate_vol_surface"><td colspan="2" onclick="javascript:toggleInherit('pro_attribs_class_quant_lib_1_1_interest_rate_vol_surface')"><img src="closed.png" alt="-"/> Protected Attributes inherited from <a class="el" href="class_quant_lib_1_1_interest_rate_vol_surface.html">InterestRateVolSurface</a></td></tr>
<tr class="memitem:a39af3b47aa4fcd97076e945109525fe8 inherit pro_attribs_class_quant_lib_1_1_interest_rate_vol_surface"><td class="memItemLeft" align="right" valign="top"><a id="a39af3b47aa4fcd97076e945109525fe8"></a>
ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_interest_rate_index.html">InterestRateIndex</a> > </td><td class="memItemRight" valign="bottom"><b>index_</b></td></tr>
<tr class="separator:a39af3b47aa4fcd97076e945109525fe8 inherit pro_attribs_class_quant_lib_1_1_interest_rate_vol_surface"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pro_attribs_class_quant_lib_1_1_term_structure"><td colspan="2" onclick="javascript:toggleInherit('pro_attribs_class_quant_lib_1_1_term_structure')"><img src="closed.png" alt="-"/> Protected Attributes inherited from <a class="el" href="class_quant_lib_1_1_term_structure.html">TermStructure</a></td></tr>
<tr class="memitem:a3cfce9cb19de6f0604adee64b6d80a35 inherit pro_attribs_class_quant_lib_1_1_term_structure"><td class="memItemLeft" align="right" valign="top"><a id="a3cfce9cb19de6f0604adee64b6d80a35"></a>
bool </td><td class="memItemRight" valign="bottom"><b>moving_</b></td></tr>
<tr class="separator:a3cfce9cb19de6f0604adee64b6d80a35 inherit pro_attribs_class_quant_lib_1_1_term_structure"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a56cd8ee45c3477740e0429f98758c935 inherit pro_attribs_class_quant_lib_1_1_term_structure"><td class="memItemLeft" align="right" valign="top"><a id="a56cd8ee45c3477740e0429f98758c935"></a>
bool </td><td class="memItemRight" valign="bottom"><b>updated_</b></td></tr>
<tr class="separator:a56cd8ee45c3477740e0429f98758c935 inherit pro_attribs_class_quant_lib_1_1_term_structure"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a021eab7f1f44c1c71b8dfd29b9c4864b inherit pro_attribs_class_quant_lib_1_1_term_structure"><td class="memItemLeft" align="right" valign="top"><a id="a021eab7f1f44c1c71b8dfd29b9c4864b"></a>
<a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> </td><td class="memItemRight" valign="bottom"><b>calendar_</b></td></tr>
<tr class="separator:a021eab7f1f44c1c71b8dfd29b9c4864b inherit pro_attribs_class_quant_lib_1_1_term_structure"><td class="memSeparator" colspan="2"> </td></tr>
</table>
<a name="details" id="details"></a><h2 class="groupheader">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><h2 class="groupheader">Member Function Documentation</h2>
<a id="acd36d7881ea8503d5c5824e7a5ad6c7e"></a>
<h2 class="memtitle"><span class="permalink"><a href="#acd36d7881ea8503d5c5824e7a5ad6c7e">◆ </a></span>update()</h2>
<div class="memitem">
<div class="memproto">
<table class="mlabels">
<tr>
<td class="mlabels-left">
<table class="memname">
<tr>
<td class="memname">virtual void update </td>
<td>(</td>
<td class="paramname"></td><td>)</td>
<td></td>
</tr>
</table>
</td>
<td class="mlabels-right">
<span class="mlabels"><span class="mlabel">protected</span><span class="mlabel">virtual</span></span> </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>
<p>Implements <a class="el" href="class_quant_lib_1_1_observer.html#a99b02345a8a15d3c5ea2844a2253f510">Observer</a>.</p>
</div>
</div>
</div><!-- contents -->
<!-- HTML footer for doxygen 1.8.9.1-->
<!-- start footer part -->
<hr class="footer"/><address class="footer"><small>
Generated by <a href="http://www.doxygen.org/index.html">Doxygen</a>
1.8.20
</small></address>
</body>
</html>
|
