interest rate volatility smile section More...

#include <smilesection.hpp>

Inheritance diagram for SmileSection:

Collaboration diagram for SmileSection:

Public Member Functions
	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 ()

Protected Member Functions
virtual void	initializeExerciseTime () const

virtual Real	varianceImpl (Rate strike) const

virtual Volatility	volatilityImpl (Rate strike) const =0

Private Attributes
bool	isFloating_

Date	referenceDate_

Date	exerciseDate_

DayCounter	dc_

Time	exerciseTime_

VolatilityType	volatilityType_

Rate	shift_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Detailed Description

interest rate volatility smile section

This abstract class provides volatility smile section interface

Definition at line 38 of file smilesection.hpp.

Constructor & Destructor Documentation

◆ SmileSection() [1/3]

SmileSection	(	const Date &	d,
		DayCounter	dc = `DayCounter()`,
		const Date &	referenceDate = `Date()`,
		VolatilityType	type = `ShiftedLognormal`,
		Rate	shift = `0.0`
	)

Definition at line 46 of file smilesection.cpp.

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◆ SmileSection() [2/3]

SmileSection	(	Time	exerciseTime,
		DayCounter	dc = `DayCounter()`,
		VolatilityType	type = `ShiftedLognormal`,
		Rate	shift = `0.0`
	)

Definition at line 61 of file smilesection.cpp.

◆ SmileSection() [3/3]

SmileSection ( )

default

◆ ~SmileSection()

~SmileSection ( )

overridedefault

Member Function Documentation

◆ 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.

Implements Observer.

Reimplemented in SpreadedSmileSection.

Definition at line 31 of file smilesection.cpp.

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