SpreadedSmileSection Class Reference

#include <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 ()=default
	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.

Here is the call graph for this function:

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.

Here is the call graph for this function:

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.