optionTenors (3) - Linux Manuals
optionTenors: Abcd-interpolated at-the-money (no-smile) volatility curve.
NAME
QuantLib::AbcdAtmVolCurve - Abcd-interpolated at-the-money (no-smile) volatility curve.
SYNOPSIS
#include <ql/experimental/volatility/abcdatmvolcurve.hpp>
Inherits QuantLib::BlackAtmVolCurve, and QuantLib::LazyObject.
Public Member Functions
AbcdAtmVolCurve (Natural settlementDays, const Calendar &cal, const std::vector< Period > &optionTenors, const std::vector< Handle< Quote > > &volsHandles, const std::vector< bool > inclusionInInterpolationFlag=std::vector< bool >(1, true), BusinessDayConvention bdc=Following, const DayCounter &dc=Actual365Fixed())
floating reference date, floating market data
std::vector< Real > k () const
Returns k adjustment factors for option tenors used in interpolation.
Real k (Time t) const
Returns k adjustment factor at time t.
Real a () const
Real b () const
Real c () const
Real d () const
Real rmsError () const
Real maxError () const
EndCriteria::Type endCriteria () 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
void update ()
void performCalculations () 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.
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
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