SabrGuesses (3) Linux Manual Page

QuantLib::SabrVolSurface – SABR volatility (smile) surface.

Synopsis

void performCalculations () const



virtual void update ()

Inherits QuantLib::InterestRateVolSurface.

Public Member Functions

SabrVolSurface (const boost::shared_ptr< InterestRateIndex > &, const Handle< BlackAtmVolCurve > &, const std::vector< Period > &optionTenors, const std::vector< Spread > &atmRateSpreads, const std::vector< std::vector< Handle< Quote > > > &volSpreads)

const Handle< BlackAtmVolCurve > & atmCurve () const

std::vector< Volatility > volatilitySpreads (const Period &) const

std::vector< Volatility > volatilitySpreads (const Date &) const
TermStructure interface

void performCalculations () const



virtual void update ()

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 Visitability

virtual void accept (AcyclicVisitor &)
BlackVolSurface interface

boost::shared_ptr< SmileSection > smileSectionImpl (Time) const

Protected Member Functions

boost::array< Real, 4 > sabrGuesses (const Date &) const
LazyObject interface

void performCalculations () const



virtual void update ()

Detailed Description

SABR volatility (smile) surface.

blah blah

Member Function Documentation

virtual void update () [protected, 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 TermStructure.

Author

Generated automatically by Doxygen for QuantLib from the source code.

sabrGuesses (3) Linux Manual Page