QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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flatsmilesection.cpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2007 Ferdinando Ametrano
5 Copyright (C) 2007 François du Vignaud
6 Copyright (C) 2007 Giorgio Facchinetti
7 Copyright (C) 2015 Peter Caspers
8
9 This file is part of QuantLib, a free-software/open-source library
10 for financial quantitative analysts and developers - http://quantlib.org/
11
12 QuantLib is free software: you can redistribute it and/or modify it
13 under the terms of the QuantLib license. You should have received a
14 copy of the license along with this program; if not, please email
15 <quantlib-dev@lists.sf.net>. The license is also available online at
16 <http://quantlib.org/license.shtml>.
17
18 This program is distributed in the hope that it will be useful, but WITHOUT
19 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
20 FOR A PARTICULAR PURPOSE. See the license for more details.
21*/
22
24
25namespace QuantLib {
26
28 Volatility vol,
29 const DayCounter& dc,
30 const Date& referenceDate,
31 Real atmLevel,
32 VolatilityType type,
33 Real shift)
34 : SmileSection(d, dc, referenceDate, type, shift),
35 vol_(vol), atmLevel_(atmLevel) {}
36
38 Volatility vol,
39 const DayCounter& dc,
40 Real atmLevel,
41 VolatilityType type,
42 Real shift)
43 : SmileSection(exerciseTime, dc, type, shift),
44 vol_(vol), atmLevel_(atmLevel) {}
45
46}
ext::shared_ptr< SimpleQuote > vol_
Definition: cdsoption.cpp:62
Concrete date class.
Definition: date.hpp:125
day counter class
Definition: daycounter.hpp:44
FlatSmileSection(const Date &d, Volatility vol, const DayCounter &dc, const Date &referenceDate=Date(), Real atmLevel=Null< Rate >(), VolatilityType type=ShiftedLognormal, Real shift=0.0)
interest rate volatility smile section
Date d
Flat SmileSection.
Real Time
continuous quantity with 1-year units
Definition: types.hpp:62
QL_REAL Real
real number
Definition: types.hpp:50
Real Volatility
volatility
Definition: types.hpp:78
Definition: any.hpp:35