AtmAdjustedSmileSection Class Reference

#include <qle/termstructures/atmadjustedsmilesection.hpp>

Inheritance diagram for AtmAdjustedSmileSection:

Collaboration diagram for AtmAdjustedSmileSection:

Public Member Functions
	AtmAdjustedSmileSection (const QuantLib::ext::shared_ptr< QuantLib::SmileSection > &base, const QuantLib::Real baseAtmLevel, const QuantLib::Real targetAtmLevel)
QuantLib::Real	minStrike () const override
QuantLib::Real	maxStrike () const override
QuantLib::Real	atmLevel () const override
const QuantLib::Date &	exerciseDate () const override
QuantLib::VolatilityType	volatilityType () const override
QuantLib::Rate	shift () const override
const QuantLib::Date &	referenceDate () const override
QuantLib::Time	exerciseTime () const override
const QuantLib::DayCounter &	dayCounter () const override

Private Member Functions
QuantLib::Volatility	volatilityImpl (QuantLib::Rate strike) const override

Private Attributes
QuantLib::ext::shared_ptr< QuantLib::SmileSection >	base_
QuantLib::Real	baseAtmLevel_
QuantLib::Real	targetAtmLevel_

Detailed Description

Definition at line 25 of file atmadjustedsmilesection.hpp.

Constructor & Destructor Documentation

AtmAdjustedSmileSection()

AtmAdjustedSmileSection	(	const QuantLib::ext::shared_ptr< QuantLib::SmileSection > &	base,
		const QuantLib::Real	baseAtmLevel,
		const QuantLib::Real	targetAtmLevel
	)

Definition at line 27 of file atmadjustedsmilesection.hpp.

        : SmileSection(), base_(base), baseAtmLevel_(baseAtmLevel), targetAtmLevel_(targetAtmLevel) {}

Member Function Documentation

minStrike()

QuantLib::Real minStrike ( ) const

override

Definition at line 30 of file atmadjustedsmilesection.hpp.

{ return base_->minStrike(); }

maxStrike()

QuantLib::Real maxStrike ( ) const

override

Definition at line 31 of file atmadjustedsmilesection.hpp.

{ return base_->maxStrike(); }

atmLevel()

QuantLib::Real atmLevel ( ) const

override

Definition at line 32 of file atmadjustedsmilesection.hpp.

{ return targetAtmLevel_; }

exerciseDate()

const QuantLib::Date & exerciseDate ( ) const

override

Definition at line 33 of file atmadjustedsmilesection.hpp.

{ return base_->exerciseDate(); }

volatilityType()

QuantLib::VolatilityType volatilityType ( ) const

override

Definition at line 34 of file atmadjustedsmilesection.hpp.

{ return base_->volatilityType(); }

shift()

QuantLib::Rate shift ( ) const

override

Definition at line 35 of file atmadjustedsmilesection.hpp.

{ return base_->shift(); }

referenceDate()

const QuantLib::Date & referenceDate ( ) const

override

Definition at line 36 of file atmadjustedsmilesection.hpp.

{ return base_->referenceDate(); }

exerciseTime()

QuantLib::Time exerciseTime ( ) const

override

Definition at line 37 of file atmadjustedsmilesection.hpp.

{ return base_->exerciseTime(); }

dayCounter()

const QuantLib::DayCounter & dayCounter ( ) const

override

Definition at line 38 of file atmadjustedsmilesection.hpp.

{ return base_->dayCounter(); }

volatilityImpl()

QuantLib::Volatility volatilityImpl ( QuantLib::Rate  strike ) const

overrideprivate

Definition at line 41 of file atmadjustedsmilesection.hpp.

                                                                          {
        if (strike == QuantLib::Null<QuantLib::Real>()) {
            return base_->volatility(baseAtmLevel_);
        }
        // just a moneyness, but no vol adjustment, so this is only suitable for normal vols
        return base_->volatility(strike + baseAtmLevel_ - targetAtmLevel_);
    };

Member Data Documentation

base_

QuantLib::ext::shared_ptr<QuantLib::SmileSection> base_

private

Definition at line 49 of file atmadjustedsmilesection.hpp.

baseAtmLevel_

QuantLib::Real baseAtmLevel_

private

Definition at line 50 of file atmadjustedsmilesection.hpp.

targetAtmLevel_

QuantLib::Real targetAtmLevel_

private

Definition at line 51 of file atmadjustedsmilesection.hpp.