SpreadedSmileSection Class Reference

#include <ql/termstructures/volatility/spreadedsmilesection.hpp>

Inheritance diagram for SpreadedSmileSection:

Collaboration diagram for SpreadedSmileSection:

Public Member Functions
	SpreadedSmileSection (ext::shared_ptr< SmileSection >, Handle< Quote > spread)
SmileSection interface
Real	minStrike () const override
Real	maxStrike () const override
Real	atmLevel () const override
const Date &	exerciseDate () const override
Time	exerciseTime () const override
const DayCounter &	dayCounter () const override
const Date &	referenceDate () const override
VolatilityType	volatilityType () const override
Rate	shift () const override
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 ()

LazyObject interface
const ext::shared_ptr< SmileSection >	underlyingSection_
const Handle< Quote >	spread_
void	update () override
Volatility	volatilityImpl (Rate strike) const override

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 34 of file spreadedsmilesection.hpp.

Constructor & Destructor Documentation

SpreadedSmileSection()

SpreadedSmileSection	(	ext::shared_ptr< SmileSection >	underlyingSection,
		Handle< Quote >	spread
	)

Definition at line 26 of file spreadedsmilesection.cpp.

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Member Function Documentation

minStrike()

Real minStrike ( ) const

overridevirtual

Implements SmileSection.

Definition at line 61 of file spreadedsmilesection.hpp.

maxStrike()

Real maxStrike ( ) const

overridevirtual

Implements SmileSection.

Definition at line 65 of file spreadedsmilesection.hpp.

atmLevel()

Real atmLevel ( ) const

overridevirtual

Implements SmileSection.

Definition at line 69 of file spreadedsmilesection.hpp.

exerciseDate()

const Date & exerciseDate ( ) const

overridevirtual

Reimplemented from SmileSection.

Definition at line 73 of file spreadedsmilesection.hpp.

exerciseTime()

Time exerciseTime ( ) const

overridevirtual

Reimplemented from SmileSection.

Definition at line 77 of file spreadedsmilesection.hpp.

dayCounter()

const DayCounter & dayCounter ( ) const

overridevirtual

Reimplemented from SmileSection.

Definition at line 81 of file spreadedsmilesection.hpp.

referenceDate()

const Date & referenceDate ( ) const

overridevirtual

Reimplemented from SmileSection.

Definition at line 85 of file spreadedsmilesection.hpp.

volatilityType()

VolatilityType volatilityType ( ) const

overridevirtual

Reimplemented from SmileSection.

Definition at line 89 of file spreadedsmilesection.hpp.

shift()

Rate shift ( ) const

overridevirtual

Reimplemented from SmileSection.

Definition at line 93 of file spreadedsmilesection.hpp.

update()

void update ( )

overridevirtual

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Reimplemented from SmileSection.

Definition at line 51 of file spreadedsmilesection.hpp.

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volatilityImpl()

Volatility volatilityImpl ( Rate  strike ) const

overrideprotectedvirtual

Implements SmileSection.

Definition at line 33 of file spreadedsmilesection.cpp.

Member Data Documentation

underlyingSection_

const ext::shared_ptr<SmileSection> underlyingSection_

private

Definition at line 57 of file spreadedsmilesection.hpp.

spread_

const Handle<Quote> spread_

private

Definition at line 58 of file spreadedsmilesection.hpp.