SmileSectionUtils Class Reference

#include <smilesectionutils.hpp>

Collaboration diagram for SmileSectionUtils:

Public Member Functions
	SmileSectionUtils (const SmileSection &section, const std::vector< Real > &moneynessGrid=std::vector< Real >(), Real atm=Null< Real >(), bool deleteArbitragePoints=false)
std::pair< Real, Real >	arbitragefreeRegion () const
std::pair< Size, Size >	arbitragefreeIndices () const
const std::vector< Real > &	moneyGrid () const
const std::vector< Real > &	strikeGrid () const
const std::vector< Real > &	callPrices () const
Real	atmLevel () const

Private Member Functions
bool	af (Size i0, Size i, Size i1) const

Private Attributes
std::vector< Real >	m_
std::vector< Real >	c_
std::vector< Real >	k_
Size	leftIndex_
Size	rightIndex_
Real	f_

Detailed Description

smile-section utilities, the moneyness is expressed in

• absolute terms for normal
• relative terms for shifted lognormal volatility smile sections

Definition at line 36 of file smilesectionutils.hpp.

Constructor & Destructor Documentation

SmileSectionUtils()

SmileSectionUtils	(	const SmileSection &	section,
		const std::vector< Real > &	moneynessGrid = std::vector<Real>(),
		Real	atm = Null<Real>(),
		bool	deleteArbitragePoints = false
	)

Definition at line 26 of file smilesectionutils.cpp.

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Member Function Documentation

arbitragefreeRegion()

std::pair< Real, Real > arbitragefreeRegion

(

)

const

Definition at line 197 of file smilesectionutils.cpp.

arbitragefreeIndices()

std::pair< Size, Size > arbitragefreeIndices

(

)

const

Definition at line 201 of file smilesectionutils.cpp.

moneyGrid()

const std::vector< Real > & moneyGrid

(

)

const

Definition at line 45 of file smilesectionutils.hpp.

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strikeGrid()

const std::vector< Real > & strikeGrid

(

)

const

Definition at line 46 of file smilesectionutils.hpp.

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callPrices()

const std::vector< Real > & callPrices

(

)

const

Definition at line 47 of file smilesectionutils.hpp.

atmLevel()

Real atmLevel

(

)

const

Definition at line 48 of file smilesectionutils.hpp.

af()

bool af ( Size  i0, Size  i, Size  i1  ) const

private

Definition at line 205 of file smilesectionutils.cpp.

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Member Data Documentation

m_

std::vector<Real> m_

private

Definition at line 52 of file smilesectionutils.hpp.

c_

std::vector<Real> c_

private

Definition at line 52 of file smilesectionutils.hpp.

k_

std::vector<Real> k_

private

Definition at line 52 of file smilesectionutils.hpp.

leftIndex_

Size leftIndex_

private

Definition at line 53 of file smilesectionutils.hpp.

rightIndex_

Size rightIndex_

private

Definition at line 53 of file smilesectionutils.hpp.

f_

Real f_

private

Definition at line 54 of file smilesectionutils.hpp.