#include <ql/termstructures/volatility/sabrsmilesection.hpp>
Inheritance diagram for SabrSmileSection:
Collaboration diagram for SabrSmileSection:
Public Member Functions | |
| SabrSmileSection (Time timeToExpiry, Rate forward, const std::vector< Real > &sabrParameters, Real shift=0.0, VolatilityType volatilityType=VolatilityType::ShiftedLognormal) | |
| SabrSmileSection (const Date &d, Rate forward, const std::vector< Real > &sabrParameters, const Date &referenceDate=Date(), const DayCounter &dc=Actual365Fixed(), Real shift=0.0, VolatilityType volatilityType=VolatilityType::ShiftedLognormal) | |
| Real | minStrike () const override |
| Real | maxStrike () const override |
| Real | atmLevel () const override |
| Real | alpha () const |
| Real | beta () const |
| Real | nu () const |
| Real | rho () const |
| Public Member Functions inherited from SmileSection | |
| SmileSection (const Date &d, DayCounter dc=DayCounter(), const Date &referenceDate=Date(), VolatilityType type=ShiftedLognormal, Rate shift=0.0) | |
| SmileSection (Time exerciseTime, DayCounter dc=DayCounter(), VolatilityType type=ShiftedLognormal, Rate shift=0.0) | |
| SmileSection ()=default | |
| ~SmileSection () override=default | |
| void | update () override |
| virtual Real | minStrike () const =0 |
| virtual Real | maxStrike () const =0 |
| Real | variance (Rate strike) const |
| Volatility | volatility (Rate strike) const |
| virtual Real | atmLevel () const =0 |
| virtual const Date & | exerciseDate () const |
| virtual VolatilityType | volatilityType () const |
| virtual Rate | shift () const |
| virtual const Date & | referenceDate () const |
| virtual Time | exerciseTime () const |
| virtual const DayCounter & | dayCounter () const |
| virtual Real | optionPrice (Rate strike, Option::Type type=Option::Call, Real discount=1.0) const |
| virtual Real | digitalOptionPrice (Rate strike, Option::Type type=Option::Call, Real discount=1.0, Real gap=1.0e-5) const |
| virtual Real | vega (Rate strike, Real discount=1.0) const |
| virtual Real | density (Rate strike, Real discount=1.0, Real gap=1.0E-4) const |
| Volatility | volatility (Rate strike, VolatilityType type, Real shift=0.0) const |
| Public Member Functions inherited from Observable | |
| Observable () | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| Observable (Observable &&)=delete | |
| Observable & | operator= (Observable &&)=delete |
| virtual | ~Observable ()=default |
| void | notifyObservers () |
| Public Member Functions inherited from Observer | |
| Observer ()=default | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| virtual | ~Observer () |
| std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
| void | registerWithObservables (const ext::shared_ptr< Observer > &) |
| Size | unregisterWith (const ext::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | update ()=0 |
| virtual void | deepUpdate () |
Protected Member Functions | |
| Real | varianceImpl (Rate strike) const override |
| Volatility | volatilityImpl (Rate strike) const override |
| Protected Member Functions inherited from SmileSection | |
| virtual void | initializeExerciseTime () const |
| virtual Real | varianceImpl (Rate strike) const |
| virtual Volatility | volatilityImpl (Rate strike) const =0 |
Private Member Functions | |
| void | initialise (const std::vector< Real > &sabrParameters) |
Private Attributes | |
| Real | alpha_ |
| Real | beta_ |
| Real | nu_ |
| Real | rho_ |
| Real | forward_ |
| Real | shift_ |
Additional Inherited Members | |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
Detailed Description
Definition at line 34 of file sabrsmilesection.hpp.
Constructor & Destructor Documentation
◆ SabrSmileSection() [1/2]
| SabrSmileSection | ( | Time | timeToExpiry, |
| Rate | forward, | ||
| const std::vector< Real > & | sabrParameters, | ||
| Real | shift = 0.0, |
||
| VolatilityType | volatilityType = VolatilityType::ShiftedLognormal |
||
| ) |
◆ SabrSmileSection() [2/2]
| SabrSmileSection | ( | const Date & | d, |
| Rate | forward, | ||
| const std::vector< Real > & | sabrParameters, | ||
| const Date & | referenceDate = Date(), |
||
| const DayCounter & | dc = Actual365Fixed(), |
||
| Real | shift = 0.0, |
||
| VolatilityType | volatilityType = VolatilityType::ShiftedLognormal |
||
| ) |
Member Function Documentation
◆ minStrike()
|
overridevirtual |
Implements SmileSection.
Definition at line 49 of file sabrsmilesection.hpp.
◆ maxStrike()
|
overridevirtual |
Implements SmileSection.
Definition at line 50 of file sabrsmilesection.hpp.
◆ atmLevel()
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overridevirtual |
Implements SmileSection.
Definition at line 51 of file sabrsmilesection.hpp.
◆ alpha()
| Real alpha | ( | ) | const |
Definition at line 52 of file sabrsmilesection.hpp.
◆ beta()
| Real beta | ( | ) | const |
Definition at line 53 of file sabrsmilesection.hpp.
◆ nu()
| Real nu | ( | ) | const |
Definition at line 54 of file sabrsmilesection.hpp.
◆ rho()
| Real rho | ( | ) | const |
Definition at line 55 of file sabrsmilesection.hpp.
◆ varianceImpl()
Reimplemented from SmileSection.
Definition at line 65 of file sabrsmilesection.cpp.
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◆ volatilityImpl()
Implements SmileSection.
Definition at line 72 of file sabrsmilesection.cpp.
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◆ initialise()
|
private |
Definition at line 50 of file sabrsmilesection.cpp.
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Member Data Documentation
◆ alpha_
|
private |
Definition at line 61 of file sabrsmilesection.hpp.
◆ beta_
|
private |
Definition at line 61 of file sabrsmilesection.hpp.
◆ nu_
|
private |
Definition at line 61 of file sabrsmilesection.hpp.
◆ rho_
|
private |
Definition at line 61 of file sabrsmilesection.hpp.
◆ forward_
|
private |
Definition at line 61 of file sabrsmilesection.hpp.
◆ shift_
|
private |
Definition at line 61 of file sabrsmilesection.hpp.