ParametricVolatilitySmileSection Class Reference

#include <qle/termstructures/parametricvolatilitysmilesection.hpp>

Inheritance diagram for ParametricVolatilitySmileSection:

Collaboration diagram for ParametricVolatilitySmileSection:

Public Member Functions
	ParametricVolatilitySmileSection (const Real optionTime, const Real swapLength, const Real atmLevel, const boost::shared_ptr< ParametricVolatility > parametricVolatility, const ParametricVolatility::MarketQuoteType outputMarketQuoteType)
Real	minStrike () const override
Real	maxStrike () const override
Real	atmLevel () const override

Private Member Functions
Volatility	volatilityImpl (Rate strike) const override

Private Attributes
Real	optionTime_
Real	swapLength_
Real	atmLevel_
boost::shared_ptr< ParametricVolatility >	parametricVolatility_
ParametricVolatility::MarketQuoteType	outputMarketQuoteType_
std::map< Real, Real >	cache_

Detailed Description

Definition at line 34 of file parametricvolatilitysmilesection.hpp.

Constructor & Destructor Documentation

ParametricVolatilitySmileSection()

ParametricVolatilitySmileSection	(	const Real	optionTime,
		const Real	swapLength,
		const Real	atmLevel,
		const boost::shared_ptr< ParametricVolatility >	parametricVolatility,
		const ParametricVolatility::MarketQuoteType	outputMarketQuoteType
	)

Definition at line 23 of file parametricvolatilitysmilesection.cpp.

    : optionTime_(optionTime), swapLength_(swapLength), atmLevel_(atmLevel),
      parametricVolatility_(parametricVolatility), outputMarketQuoteType_(outputMarketQuoteType) {}

Member Function Documentation

minStrike()

Real minStrike ( ) const

override

Definition at line 39 of file parametricvolatilitysmilesection.hpp.

{ return -QL_MAX_REAL; }

maxStrike()

Real maxStrike ( ) const

override

Definition at line 40 of file parametricvolatilitysmilesection.hpp.

{ return QL_MAX_REAL; }

atmLevel()

Real atmLevel ( ) const

override

Definition at line 30 of file parametricvolatilitysmilesection.cpp.

{ return atmLevel_; }

volatilityImpl()

Real volatilityImpl ( Rate  strike ) const

overrideprivate

Definition at line 32 of file parametricvolatilitysmilesection.cpp.

                                                                       {
    if (auto v = cache_.find(strike); v != cache_.end())
        return v->second;
    Real tmp = parametricVolatility_->evaluate(optionTime_, swapLength_, strike, atmLevel_, outputMarketQuoteType_);
    cache_[strike] = tmp;
    return tmp;
}

Member Data Documentation

optionTime_

Real optionTime_

private

Definition at line 45 of file parametricvolatilitysmilesection.hpp.

swapLength_

Real swapLength_

private

Definition at line 45 of file parametricvolatilitysmilesection.hpp.

atmLevel_

Real atmLevel_

private

Definition at line 45 of file parametricvolatilitysmilesection.hpp.

parametricVolatility_

boost::shared_ptr<ParametricVolatility> parametricVolatility_

private

Definition at line 46 of file parametricvolatilitysmilesection.hpp.

outputMarketQuoteType_

ParametricVolatility::MarketQuoteType outputMarketQuoteType_

private

Definition at line 47 of file parametricvolatilitysmilesection.hpp.

cache_

std::map<Real, Real> cache_

mutableprivate

Definition at line 48 of file parametricvolatilitysmilesection.hpp.