#include <ql/models/shortrate/onefactormodels/markovfunctional.hpp>
Inheritance diagram for MarkovFunctional::CustomSmileSection:
Collaboration diagram for MarkovFunctional::CustomSmileSection:
Public Member Functions | |
| virtual Real | inverseDigitalCall (Real price, Real discount=1.0) const =0 |
| 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 () |
Additional Inherited Members | |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
| Protected Member Functions inherited from SmileSection | |
| virtual void | initializeExerciseTime () const |
| virtual Real | varianceImpl (Rate strike) const |
| virtual Volatility | volatilityImpl (Rate strike) const =0 |
Detailed Description
Definition at line 103 of file markovfunctional.hpp.