blackvolsurfacebfrr.cpp File Reference

#include <qle/termstructures/blackvolsurfacebfrr.hpp>
#include <ql/experimental/fx/blackdeltacalculator.hpp>
#include <ql/math/comparison.hpp>
#include <ql/math/interpolations/cubicinterpolation.hpp>
#include <ql/math/interpolations/linearinterpolation.hpp>
#include <ql/math/optimization/levenbergmarquardt.hpp>
#include <ql/pricingengines/blackformula.hpp>

Go to the source code of this file.

Namespaces
namespace	QuantExt
namespace	QuantExt::detail

Functions
Real	transformVol (const Real v)
Real	untransformVol (const Real w)
QuantLib::ext::shared_ptr< SimpleDeltaInterpolatedSmile >	createSmile (const Real spot, const Real domDisc, const Real forDisc, const Real expiryTime, const std::vector< Real > &deltas, const std::vector< Real > &bfQuotes, const std::vector< Real > &rrQuotes, const Real atmVol, const DeltaVolQuote::DeltaType dt, const DeltaVolQuote::AtmType at, const Option::Type riskReversalInFavorOf, const bool butterflyIsBrokerStyle, const BlackVolatilitySurfaceBFRR::SmileInterpolation smileInterpolation)