QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <spreadedsmilesection.hpp>
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 |
Definition at line 34 of file spreadedsmilesection.hpp.
SpreadedSmileSection | ( | ext::shared_ptr< SmileSection > | underlyingSection, |
Handle< Quote > | spread | ||
) |
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overridevirtual |
Implements SmileSection.
Definition at line 61 of file spreadedsmilesection.hpp.
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overridevirtual |
Implements SmileSection.
Definition at line 65 of file spreadedsmilesection.hpp.
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overridevirtual |
Implements SmileSection.
Definition at line 69 of file spreadedsmilesection.hpp.
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overridevirtual |
Reimplemented from SmileSection.
Definition at line 73 of file spreadedsmilesection.hpp.
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overridevirtual |
Reimplemented from SmileSection.
Definition at line 77 of file spreadedsmilesection.hpp.
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overridevirtual |
Reimplemented from SmileSection.
Definition at line 81 of file spreadedsmilesection.hpp.
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overridevirtual |
Reimplemented from SmileSection.
Definition at line 85 of file spreadedsmilesection.hpp.
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overridevirtual |
Reimplemented from SmileSection.
Definition at line 89 of file spreadedsmilesection.hpp.
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overridevirtual |
Reimplemented from SmileSection.
Definition at line 93 of file spreadedsmilesection.hpp.
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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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overrideprotectedvirtual |
Implements SmileSection.
Definition at line 33 of file spreadedsmilesection.cpp.
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private |
Definition at line 57 of file spreadedsmilesection.hpp.
Definition at line 58 of file spreadedsmilesection.hpp.