models Directory Reference

Files

file  atmadjustedsmilesection.hpp
 smile section that allows for alternate specification of atm level and recentering the source volatility accordingly
 
file  atmsmilesection.hpp
 smile section that allows for explicit / alternate specification of atm level
 
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.
 
file  markovfunctional.hpp
 Markov Functional 1 Factor Model.
 
file  markovfunctionalcapfloorengine.hpp
 
file  markovfunctionalswaptionengine.hpp
 
file  mfstateprocess.hpp
 State process for markov functional model.
 
file  smilesectionutils.hpp
 Additional utilities for smile sections.