QuantLib
: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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ql
termstructures
volatility
atmsmilesection.cpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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/*
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Copyright (C) 2013 Peter Caspers
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This file is part of QuantLib, a free-software/open-source library
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for financial quantitative analysts and developers - http://quantlib.org/
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QuantLib is free software: you can redistribute it and/or modify it
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under the terms of the QuantLib license. You should have received a
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copy of the license along with this program; if not, please email
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<quantlib-dev@lists.sf.net>. The license is also available online at
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<http://quantlib.org/license.shtml>.
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This program is distributed in the hope that it will be useful, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
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FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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#include <ql/termstructures/volatility/atmsmilesection.hpp>
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namespace
QuantLib
{
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AtmSmileSection::AtmSmileSection
(
const
ext::shared_ptr<SmileSection>& source,
const
Real
atm)
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:
SmileSection
(*source), source_(source) {
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f_
= atm;
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if
(
f_
==
Null<Real>
())
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f_
=
source_
->atmLevel();
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}
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}
QuantLib::AtmSmileSection::source_
ext::shared_ptr< SmileSection > source_
Definition:
atmsmilesection.hpp:54
QuantLib::AtmSmileSection::f_
Real f_
Definition:
atmsmilesection.hpp:55
QuantLib::AtmSmileSection::AtmSmileSection
AtmSmileSection(const ext::shared_ptr< SmileSection > &source, Real atm=Null< Real >())
Definition:
atmsmilesection.cpp:24
QuantLib::Null
template class providing a null value for a given type.
Definition:
null.hpp:76
QuantLib::SmileSection
interest rate volatility smile section
Definition:
smilesection.hpp:39
QuantLib::Real
QL_REAL Real
real number
Definition:
types.hpp:50
QuantLib
Definition:
any.hpp:35
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