OptionInterpolatorBase Class Reference

Option surface interpolator base. More...

#include <qle/interpolators/optioninterpolator2d.hpp>

Inheritance diagram for OptionInterpolatorBase:

Collaboration diagram for OptionInterpolatorBase:

Public Member Functions
virtual	~OptionInterpolatorBase ()
	OptionInterpolatorBase (const QuantLib::Date &referenceDate)
virtual QuantLib::Real	getValue (QuantLib::Time t, QuantLib::Real strike) const =0
	virtual access methods More...
virtual QuantLib::Real	getValue (QuantLib::Date d, QuantLib::Real strike) const =0
const QuantLib::Date &	referenceDate () const
std::vector< QuantLib::Time >	times () const
std::vector< QuantLib::Date >	expiries () const
std::vector< std::vector< QuantLib::Real > >	strikes () const
std::vector< std::vector< QuantLib::Real > >	values () const

Protected Attributes
std::vector< QuantLib::Date >	expiries_
std::vector< QuantLib::Time >	times_
std::vector< std::vector< QuantLib::Real > >	strikes_
std::vector< std::vector< QuantLib::Real > >	values_
QuantLib::Date	referenceDate_

Detailed Description

Option surface interpolator base.

Definition at line 42 of file optioninterpolator2d.hpp.

Constructor & Destructor Documentation

~OptionInterpolatorBase()

virtual ~OptionInterpolatorBase ( )

virtual

Definition at line 46 of file optioninterpolator2d.hpp.

{}

OptionInterpolatorBase()

OptionInterpolatorBase ( const QuantLib::Date &  referenceDate )

explicit

Definition at line 48 of file optioninterpolator2d.hpp.

: referenceDate_(referenceDate){};

Member Function Documentation

getValue() [1/2]

virtual QuantLib::Real getValue ( QuantLib::Time  t, QuantLib::Real  strike  ) const

pure virtual

virtual access methods

Implemented in OptionInterpolator2d< InterpolatorStrike, InterpolatorExpiry >, and OptionInterpolator2d< QuantLib::Linear, QuantLib::Linear >.

getValue() [2/2]

virtual QuantLib::Real getValue ( QuantLib::Date  d, QuantLib::Real  strike  ) const

pure virtual

Implemented in OptionInterpolator2d< InterpolatorStrike, InterpolatorExpiry >, and OptionInterpolator2d< QuantLib::Linear, QuantLib::Linear >.

referenceDate()

const QuantLib::Date & referenceDate

(

)

const

Definition at line 54 of file optioninterpolator2d.hpp.

{ return referenceDate_; }

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times()

std::vector< QuantLib::Time > times

(

)

const

Definition at line 55 of file optioninterpolator2d.hpp.

{ return times_; };

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expiries()

std::vector< QuantLib::Date > expiries

(

)

const

Definition at line 56 of file optioninterpolator2d.hpp.

{ return expiries_; };

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strikes()

std::vector< std::vector< QuantLib::Real > > strikes

(

)

const

Definition at line 57 of file optioninterpolator2d.hpp.

{ return strikes_; };

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values()

std::vector< std::vector< QuantLib::Real > > values

(

)

const

Definition at line 58 of file optioninterpolator2d.hpp.

{ return values_; };

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Member Data Documentation

expiries_

std::vector<QuantLib::Date> expiries_

protected

Definition at line 61 of file optioninterpolator2d.hpp.

times_

std::vector<QuantLib::Time> times_

protected

Definition at line 62 of file optioninterpolator2d.hpp.

strikes_

std::vector<std::vector<QuantLib::Real> > strikes_

protected

Definition at line 63 of file optioninterpolator2d.hpp.

values_

std::vector<std::vector<QuantLib::Real> > values_

protected

Definition at line 64 of file optioninterpolator2d.hpp.

referenceDate_

QuantLib::Date referenceDate_

protected

Definition at line 65 of file optioninterpolator2d.hpp.