interest rate volatility smile section More...
#include <ql/termstructures/volatility/smilesection.hpp>
Inheritance diagram for SmileSection:Public Member Functions | |
| SmileSection (const Date &d, const DayCounter &dc=DayCounter(), const Date &referenceDate=Date(), const VolatilityType type=ShiftedLognormal, const Rate shift=0.0) | |
| SmileSection (Time exerciseTime, const DayCounter &dc=DayCounter(), const VolatilityType type=ShiftedLognormal, const Rate shift=0.0) | |
| virtual void | update () |
| virtual Real | minStrike () const =0 |
| virtual Real | maxStrike () const =0 |
| Real | variance (Rate strike) const |
| Volatility | volatility (Rate strike) const |
| virtual Real | atmLevel () const =0 |
| virtual const Date & | exerciseDate () const |
| virtual VolatilityType | volatilityType () const |
| virtual Rate | shift () const |
| virtual const Date & | referenceDate () const |
| virtual Time | exerciseTime () const |
| virtual const DayCounter & | dayCounter () const |
| virtual Real | optionPrice (Rate strike, Option::Type type=Option::Call, Real discount=1.0) const |
| virtual Real | digitalOptionPrice (Rate strike, Option::Type type=Option::Call, Real discount=1.0, Real gap=1.0e-5) const |
| virtual Real | vega (Rate strike, Real discount=1.0) const |
| virtual Real | density (Rate strike, Real discount=1.0, Real gap=1.0E-4) const |
| Volatility | volatility (Rate strike, VolatilityType type, Real shift=0.0) const |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
| void | registerWithObservables (const boost::shared_ptr< Observer > &) |
| Size | unregisterWith (const boost::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | deepUpdate () |
Protected Member Functions | |
| virtual void | initializeExerciseTime () const |
| virtual Real | varianceImpl (Rate strike) const |
| virtual Volatility | volatilityImpl (Rate strike) const =0 |
Additional Inherited Members | |
Public Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
interest rate volatility smile section
This abstract class provides volatility smile section interface
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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.