SpreadedOptionletVolatility Class Reference

#include <qle/termstructures/spreadedoptionletvolatility.hpp>

Inheritance diagram for SpreadedOptionletVolatility:

Collaboration diagram for SpreadedOptionletVolatility:

Public Member Functions
	SpreadedOptionletVolatility (const Handle< OptionletVolatilityStructure > &baseVol, const Handle< Quote > &spread)

Protected Member Functions
OptionletVolatilityStructure interface
QuantLib::ext::shared_ptr< SmileSection >	smileSectionImpl (const Date &d) const override
QuantLib::ext::shared_ptr< SmileSection >	smileSectionImpl (Time optionT) const override
Volatility	volatilityImpl (Time optionTime, Rate strike) const override

Detailed Description

Definition at line 39 of file spreadedoptionletvolatility.hpp.

Constructor & Destructor Documentation

SpreadedOptionletVolatility()

SpreadedOptionletVolatility	(	const Handle< OptionletVolatilityStructure > &	baseVol,
		const Handle< Quote > &	spread
	)

Definition at line 24 of file spreadedoptionletvolatility.cpp.

    : QuantLib::SpreadedOptionletVolatility(baseVol, spread) {}

Member Function Documentation

smileSectionImpl() [1/2]

QuantLib::ext::shared_ptr< SmileSection > smileSectionImpl ( const Date &  d ) const

overrideprotected

Definition at line 28 of file spreadedoptionletvolatility.cpp.

                                                                                                     {
    QuantLib::ext::shared_ptr<QuantLib::SpreadedSmileSection> section =
        QuantLib::ext::dynamic_pointer_cast<QuantLib::SpreadedSmileSection>(
            QuantLib::SpreadedOptionletVolatility::smileSectionImpl(d));
 
    return QuantLib::ext::make_shared<SpreadedSmileSection>(section);
}

smileSectionImpl() [2/2]

QuantLib::ext::shared_ptr< SmileSection > smileSectionImpl ( Time  optionT ) const

overrideprotected

Definition at line 36 of file spreadedoptionletvolatility.cpp.

                                                                                                       {
    QuantLib::ext::shared_ptr<QuantLib::SpreadedSmileSection> section =
        QuantLib::ext::dynamic_pointer_cast<QuantLib::SpreadedSmileSection>(
            QuantLib::SpreadedOptionletVolatility::smileSectionImpl(optionTime));
 
    return QuantLib::ext::make_shared<SpreadedSmileSection>(section);
}

volatilityImpl()

Volatility volatilityImpl ( Time  optionTime, Rate  strike  ) const

overrideprotected

Definition at line 44 of file spreadedoptionletvolatility.cpp.

                                                                           {
    Volatility spreadedVol = QuantLib::SpreadedOptionletVolatility::volatilityImpl(t, s);
    return std::max(spreadedVol, 0.0);
}