SabrVolSurface (3) - Linux Manuals

SabrVolSurface: SABR volatility (smile) surface.

NAME

QuantLib::SabrVolSurface - SABR volatility (smile) surface.

SYNOPSIS

#include <ql/experimental/volatility/sabrvolsurface.hpp>

Inherits QuantLib::InterestRateVolSurface.

Public Member Functions

SabrVolSurface (const boost::shared_ptr< InterestRateIndex > &, const Handle< BlackAtmVolCurve > &, const std::vector< Period > &optionTenors, const std::vector< Spread > &atmRateSpreads, const std::vector< std::vector< Handle< Quote > > > &volSpreads)

const Handle< BlackAtmVolCurve > & atmCurve () const

std::vector< Volatility > volatilitySpreads (const Period &) const

std::vector< Volatility > volatilitySpreads (const Date &) const

TermStructure interface

DayCounter dayCounter () const
the day counter used for date/time conversion
Date maxDate () const
the latest date for which the curve can return values
Time maxTime () const
the latest time for which the curve can return values
const Date & referenceDate () const
the date at which discount = 1.0 and/or variance = 0.0
Calendar calendar () const
the calendar used for reference and/or option date calculation
Natural settlementDays () const
the settlementDays used for reference date calculation

VolatilityTermStructure interface

Real minStrike () const
the minimum strike for which the term structure can return vols
Real maxStrike () const
the maximum strike for which the term structure can return vols

Visitability

virtual void accept (AcyclicVisitor &)

BlackVolSurface interface

boost::shared_ptr< SmileSection > smileSectionImpl (Time) const

Protected Member Functions

boost::array< Real, 4 > sabrGuesses (const Date &) const

LazyObject interface

void performCalculations () const

virtual void update ()

Detailed Description

SABR volatility (smile) surface.

blah blah

Member Function Documentation

virtual void update () [protected, 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.

Reimplemented from TermStructure.

Author

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