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QuantLib::AbcdAtmVolCurve – Abcd-interpolated at-the-money (no-smile) volatility curve.

Synopsis

const std::vector< Period > & optionTenors () const



const std::vector< Period > & optionTenorsInInterpolation () const



const std::vector< Date > & optionDates () const



const std::vector< Time > & optionTimes () const

Inherits QuantLib::BlackAtmVolCurve, and QuantLib::LazyObject.

Public Member Functions

const std::vector< Period > & optionTenors () const



const std::vector< Period > & optionTenorsInInterpolation () const



const std::vector< Date > & optionDates () const



const std::vector< Time > & optionTimes () const

TermStructure interface

virtual Date maxDate () const
the latest date for which the curve can return values VolatilityTermStructure interface

Real minStrike () const
the minimum strike for which the term structure can return vols
Real maxStrike () const
the maximum strike for which the term structure can return vols LazyObject interface

const std::vector< Period > & optionTenors () const



const std::vector< Period > & optionTenorsInInterpolation () const



const std::vector< Date > & optionDates () const



const std::vector< Time > & optionTimes () const

some inspectors

const std::vector< Period > & optionTenors () const



const std::vector< Period > & optionTenorsInInterpolation () const



const std::vector< Date > & optionDates () const



const std::vector< Time > & optionTimes () const

Visitability

virtual void accept (AcyclicVisitor &)

Protected Member Functions

BlackAtmVolCurve interface

virtual Real atmVarianceImpl (Time t) const
spot at-the-money variance calculation (k adjusted)
virtual Volatility atmVolImpl (Time t) const
spot at-the-money volatility calculation (k adjusted)

Detailed Description

Abcd-interpolated at-the-money (no-smile) volatility curve.

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Member Function Documentation

void update () [virtual]

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.

Reimplemented from LazyObject.

void performCalculations () const [virtual]

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.

Author

Generated automatically by Doxygen for QuantLib from the source code.

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