referenceDate (3) - Linux Manuals
referenceDate: 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.
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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