VannaVolgaInterpolationImpl< I1, I2 > Class Template Reference

#include <ql/experimental/barrieroption/vannavolgainterpolation.hpp>

Inheritance diagram for VannaVolgaInterpolationImpl< I1, I2 >:

Collaboration diagram for VannaVolgaInterpolationImpl< I1, I2 >:

Public Member Functions
	VannaVolgaInterpolationImpl (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, Real spot, DiscountFactor dDiscount, DiscountFactor fDiscount, Time T)
void	update () override
Real	value (Real k) const override
Real	primitive (Real) const override
Real	derivative (Real) const override
Real	secondDerivative (Real) const override
Public Member Functions inherited from Interpolation::templateImpl< I1, I2 >
	templateImpl (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, const int requiredPoints=2)
Real	xMin () const override
Real	xMax () const override
std::vector< Real >	xValues () const override
std::vector< Real >	yValues () const override
bool	isInRange (Real x) const override
Public Member Functions inherited from Interpolation::Impl
virtual	~Impl ()=default
virtual void	update ()=0
virtual Real	xMin () const =0
virtual Real	xMax () const =0
virtual std::vector< Real >	xValues () const =0
virtual std::vector< Real >	yValues () const =0
virtual bool	isInRange (Real) const =0
virtual Real	value (Real) const =0
virtual Real	primitive (Real) const =0
virtual Real	derivative (Real) const =0
virtual Real	secondDerivative (Real) const =0

Private Member Functions
Real	vega (Real k) const

Private Attributes
std::vector< Real >	premiaBS
std::vector< Real >	premiaMKT
std::vector< Real >	vegas
Real	atmVol_
Real	spot_
Real	fwd_
DiscountFactor	dDiscount_
DiscountFactor	fDiscount_
Time	T_

Additional Inherited Members
Protected Member Functions inherited from Interpolation::templateImpl< I1, I2 >
Size	locate (Real x) const
Protected Attributes inherited from Interpolation::templateImpl< I1, I2 >
I1	xBegin_
I1	xEnd_
I2	yBegin_

Detailed Description

template<class I1, class I2>
class QuantLib::detail::VannaVolgaInterpolationImpl< I1, I2 >

Definition at line 82 of file vannavolgainterpolation.hpp.

Constructor & Destructor Documentation

VannaVolgaInterpolationImpl()

VannaVolgaInterpolationImpl	(	const I1 &	xBegin,
		const I1 &	xEnd,
		const I2 &	yBegin,
		Real	spot,
		DiscountFactor	dDiscount,
		DiscountFactor	fDiscount,
		Time	T
	)

Definition at line 85 of file vannavolgainterpolation.hpp.

Member Function Documentation

update()

void update ( )

overridevirtual

Implements Interpolation::Impl.

Definition at line 97 of file vannavolgainterpolation.hpp.

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value()

Real value ( Real  k ) const

overridevirtual

Implements Interpolation::Impl.

Definition at line 107 of file vannavolgainterpolation.hpp.

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primitive()

Real primitive ( Real  ) const

overridevirtual

Implements Interpolation::Impl.

Definition at line 123 of file vannavolgainterpolation.hpp.

derivative()

Real derivative ( Real  ) const

overridevirtual

Implements Interpolation::Impl.

Definition at line 126 of file vannavolgainterpolation.hpp.

secondDerivative()

Real secondDerivative ( Real  ) const

overridevirtual

Implements Interpolation::Impl.

Definition at line 129 of file vannavolgainterpolation.hpp.

vega()

Real vega ( Real  k ) const

private

Definition at line 144 of file vannavolgainterpolation.hpp.

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Member Data Documentation

premiaBS

std::vector<Real> premiaBS

private

Definition at line 134 of file vannavolgainterpolation.hpp.

premiaMKT

std::vector<Real> premiaMKT

private

Definition at line 135 of file vannavolgainterpolation.hpp.

vegas

std::vector<Real> vegas

private

Definition at line 136 of file vannavolgainterpolation.hpp.

atmVol_

Real atmVol_

private

Definition at line 137 of file vannavolgainterpolation.hpp.

spot_

Real spot_

private

Definition at line 138 of file vannavolgainterpolation.hpp.

fwd_

Real fwd_

private

Definition at line 139 of file vannavolgainterpolation.hpp.

dDiscount_

DiscountFactor dDiscount_

private

Definition at line 140 of file vannavolgainterpolation.hpp.

fDiscount_

DiscountFactor fDiscount_

private

Definition at line 141 of file vannavolgainterpolation.hpp.

T_

Time T_

private

Definition at line 142 of file vannavolgainterpolation.hpp.