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file | atmadjustedsmilesection.hpp |
| smile section that allows for alternate specification of atm level and recentering the source volatility accordingly
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file | atmsmilesection.hpp |
| smile section that allows for explicit / alternate specification of atm level
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file | kahalesmilesection.hpp |
| Arbitrage free smile section using a C^1 inter- and extrapolation method proposed by Kahale, see http://www.risk.net/data/Pay_per_view/risk/technical/2004/0504_tech_option2.pdf Exponential extrapolation for high strikes can be used alternatively to avoid a too slowly decreasing call price function. Note that in the leftmost interval and right from the last grid point the input smile is always replaced by the extrapolating functional forms, so if you are sure that the input smile is globally arbitrage free and you do not want to change it in these strike regions you should not use this class at all.
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file | markovfunctional.hpp |
| Markov Functional 1 Factor Model.
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file | markovfunctionalcapfloorengine.hpp |
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file | markovfunctionalswaptionengine.hpp |
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file | mfstateprocess.hpp |
| State process for markov functional model.
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file | smilesectionutils.hpp |
| Additional utilities for smile sections.
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