VarianceImpl (3) Linux Manual Page

QuantLib::SmileSection – interest rate volatility smile section

Synopsis

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) const



virtual Volatility volatilityImpl (Rate strike) const =0



Friends

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) const



virtual Volatility volatilityImpl (Rate strike) const =0



Friends

class SpreadedSmileSection

Detailed 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.

Author

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varianceImpl (3) Linux Manual Page