SpreadedSmileSection (3) Linux Manual Page
QuantLib::SmileSection – interest rate volatility smile section
Synopsis
#include <ql/termstructures/volatility/smilesection.hpp>Inherits QuantLib::Observable, and QuantLib::Observer.
Inherited by FlatSmileSection, InterpolatedSmileSection< Interpolator >, SabrInterpolatedSmileSection, SabrSmileSection, and SpreadedSmileSection.
Public Member Functions
SmileSection (const Date &d, const DayCounter &dc=DayCounter(), const Date &referenceDate=Date())SmileSection (Time exerciseTime, const DayCounter &dc=DayCounter())
virtual void update ()
virtual Real minStrike () const =0
virtual Real maxStrike () const =0
Real variance (Rate strike=Null< Rate >()) const
Volatility volatility (Rate strike=Null< Rate >()) const
virtual Real atmLevel () const =0
const Date & exerciseDate () const
Time exerciseTime () const
const DayCounter & dayCounter () const
void initializeExerciseTime () const
Protected Member Functions
Real varianceImpl (Rate strike) constvirtual Volatility volatilityImpl (Rate strike) const =0
Friends
class SpreadedSmileSectionDetailed Description
interest rate volatility smile section This abstract class provides volatility smile section interface
Member Function Documentation
virtual 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.Implements Observer.