eqcommoptionsurfacestripper.hpp File Reference

Imply equity or commodity volatility surface from put/call price surfaces. More...

#include <qle/indexes/equityindex.hpp>
#include <qle/interpolators/optioninterpolator2d.hpp>
#include <qle/termstructures/optionpricesurface.hpp>
#include <qle/termstructures/pricetermstructure.hpp>
#include <ql/exercise.hpp>
#include <ql/instruments/vanillaoption.hpp>
#include <ql/math/solvers1d/brent.hpp>
#include <ql/patterns/lazyobject.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>

Go to the source code of this file.

Classes
struct	Solver1DOptions
class	OptionSurfaceStripper
	Abstract base class for the option stripper. More...
class	OptionSurfaceStripper::PriceError
	Function object used in solving. More...
class	EquityOptionSurfaceStripper
class	CommodityOptionSurfaceStripper

Namespaces
namespace	QuantExt

Detailed Description

Imply equity or commodity volatility surface from put/call price surfaces.

Definition in file eqcommoptionsurfacestripper.hpp.