QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <atmadjustedsmilesection.hpp>
Public Member Functions | |
AtmAdjustedSmileSection (const ext::shared_ptr< SmileSection > &source, Real atm=Null< Real >(), bool recenterSmile=false) | |
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 |
Real | optionPrice (Rate strike, Option::Type type=Option::Call, Real discount=1.0) const override |
Real | digitalOptionPrice (Rate strike, Option::Type type=Option::Call, Real discount=1.0, Real gap=1.0e-5) const override |
Real | vega (Rate strike, Real discount=1.0) const override |
Real | density (Rate strike, Real discount=1.0, Real gap=1.0E-4) 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 () |
Protected Member Functions | |
Real | varianceImpl (Rate strike) const override |
Volatility | volatilityImpl (Rate strike) const override |
Protected Member Functions inherited from SmileSection | |
virtual void | initializeExerciseTime () const |
virtual Real | varianceImpl (Rate strike) const |
virtual Volatility | volatilityImpl (Rate strike) const =0 |
Private Member Functions | |
Real | adjustedStrike (Real strike) const |
Private Attributes | |
ext::shared_ptr< SmileSection > | source_ |
Real | adjustment_ |
Real | f_ |
Additional Inherited Members | |
Public Types inherited from Observer | |
typedef set_type::iterator | iterator |
Definition at line 32 of file atmadjustedsmilesection.hpp.
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explicit |
Definition at line 24 of file atmadjustedsmilesection.cpp.
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overridevirtual |
Implements SmileSection.
Definition at line 39 of file atmadjustedsmilesection.hpp.
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overridevirtual |
Implements SmileSection.
Definition at line 40 of file atmadjustedsmilesection.hpp.
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overridevirtual |
Implements SmileSection.
Definition at line 41 of file atmadjustedsmilesection.hpp.
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overridevirtual |
Reimplemented from SmileSection.
Definition at line 42 of file atmadjustedsmilesection.hpp.
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overridevirtual |
Reimplemented from SmileSection.
Definition at line 43 of file atmadjustedsmilesection.hpp.
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overridevirtual |
Reimplemented from SmileSection.
Definition at line 44 of file atmadjustedsmilesection.hpp.
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overridevirtual |
Reimplemented from SmileSection.
Definition at line 45 of file atmadjustedsmilesection.hpp.
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overridevirtual |
Reimplemented from SmileSection.
Definition at line 46 of file atmadjustedsmilesection.hpp.
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overridevirtual |
Reimplemented from SmileSection.
Definition at line 47 of file atmadjustedsmilesection.hpp.
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overridevirtual |
Reimplemented from SmileSection.
Definition at line 49 of file atmadjustedsmilesection.hpp.
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overridevirtual |
Reimplemented from SmileSection.
Definition at line 55 of file atmadjustedsmilesection.hpp.
Reimplemented from SmileSection.
Definition at line 63 of file atmadjustedsmilesection.hpp.
Reimplemented from SmileSection.
Definition at line 67 of file atmadjustedsmilesection.hpp.
Reimplemented from SmileSection.
Definition at line 44 of file atmadjustedsmilesection.cpp.
Implements SmileSection.
Definition at line 48 of file atmadjustedsmilesection.cpp.
Definition at line 40 of file atmadjustedsmilesection.cpp.
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private |
Definition at line 78 of file atmadjustedsmilesection.hpp.
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private |
Definition at line 79 of file atmadjustedsmilesection.hpp.
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private |
Definition at line 80 of file atmadjustedsmilesection.hpp.