SmileSection Class Referenceabstract

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())
 
 SmileSection (Time exerciseTime, const DayCounter &dc=DayCounter())
 
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
 
const DateexerciseDate () const
 
const DatereferenceDate () const
 
Time exerciseTime () const
 
const DayCounterdayCounter () 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
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< std::set
< boost::shared_ptr
< Observable > >::iterator,
bool > 
registerWith (const boost::shared_ptr< Observable > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 

Protected Member Functions

virtual void initializeExerciseTime () const
 
virtual Real varianceImpl (Rate strike) const
 
virtual Volatility volatilityImpl (Rate strike) const =0
 

Detailed Description

interest rate volatility smile section

This abstract class provides volatility smile section interface