initializeExerciseTime (3) - Linux Manuals

initializeExerciseTime: interest rate volatility smile section

NAME

QuantLib::SmileSection - interest rate volatility smile section

SYNOPSIS

#include <ql/termstructures/volatility/smilesection.hpp>

Inherits QuantLib::Observable, and QuantLib::Observer.

Inherited by FlatSmileSection, InterpolatedSmileSection< Interpolator >, SabrInterpolatedSmileSection, SabrSmileSection, and SpreadedSmileSection.

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=Null< Rate >()) const

Volatility volatility (Rate strike=Null< Rate >()) const

virtual Real atmLevel () const =0

const Date & exerciseDate () const

Time exerciseTime () const

const DayCounter & dayCounter () const

void initializeExerciseTime () const

Protected Member Functions

Real varianceImpl (Rate strike) const

virtual Volatility volatilityImpl (Rate strike) const =0

Friends

class SpreadedSmileSection

Detailed Description

interest rate volatility smile section

This abstract class provides volatility smile section interface

Member Function Documentation

virtual void update () [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.

Author

Generated automatically by Doxygen for QuantLib from the source code.