fxvannavolgasmilesection.hpp File Reference

FX smile section assuming a strike/volatility space using vanna volga method. More...

#include <ql/experimental/barrieroption/vannavolgainterpolation.hpp>
#include <ql/experimental/fx/blackdeltacalculator.hpp>
#include <qle/termstructures/fxsmilesection.hpp>

Go to the source code of this file.

Classes
class	VannaVolgaSmileSection

Namespaces
namespace	QuantExt

Detailed Description

FX smile section assuming a strike/volatility space using vanna volga method.

Definition in file fxvannavolgasmilesection.hpp.