#include <interpolatedsmilesection.hpp>

Inheritance diagram for InterpolatedSmileSection< Interpolator >:

Collaboration diagram for InterpolatedSmileSection< Interpolator >:

Public Member Functions
	InterpolatedSmileSection (Time expiryTime, std::vector< Rate > strikes, const std::vector< Handle< Quote > > &stdDevHandles, Handle< Quote > atmLevel, const Interpolator &interpolator=Interpolator(), const DayCounter &dc=Actual365Fixed(), VolatilityType type=ShiftedLognormal, Real shift=0.0)

	InterpolatedSmileSection (Time expiryTime, std::vector< Rate > strikes, const std::vector< Real > &stdDevs, Real atmLevel, const Interpolator &interpolator=Interpolator(), const DayCounter &dc=Actual365Fixed(), VolatilityType type=ShiftedLognormal, Real shift=0.0)

	InterpolatedSmileSection (const Date &d, std::vector< Rate > strikes, const std::vector< Handle< Quote > > &stdDevHandles, Handle< Quote > atmLevel, const DayCounter &dc=Actual365Fixed(), const Interpolator &interpolator=Interpolator(), const Date &referenceDate=Date(), VolatilityType type=ShiftedLognormal, Real shift=0.0)

	InterpolatedSmileSection (const Date &d, std::vector< Rate > strikes, const std::vector< Real > &stdDevs, Real atmLevel, const DayCounter &dc=Actual365Fixed(), const Interpolator &interpolator=Interpolator(), const Date &referenceDate=Date(), VolatilityType type=ShiftedLognormal, Real shift=0.0)

void	performCalculations () const override

Real	varianceImpl (Rate strike) const override

Volatility	volatilityImpl (Rate strike) const override

Real	minStrike () const override

Real	maxStrike () const override

Real	atmLevel () const override

void	update () 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 ()

Public Member Functions inherited from LazyObject
	LazyObject ()

	~LazyObject () override=default

bool	isCalculated () const

void	forwardFirstNotificationOnly ()

void	alwaysForwardNotifications ()

void	recalculate ()

void	freeze ()

void	unfreeze ()

Private Attributes
Real	exerciseTimeSquareRoot_

std::vector< Rate >	strikes_

std::vector< Handle< Quote > >	stdDevHandles_

Handle< Quote >	atmLevel_

std::vector< Volatility >	vols_

Interpolation	interpolation_

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

Protected Member Functions inherited from LazyObject
virtual void	calculate () const

Protected Attributes inherited from LazyObject
bool	calculated_ = false

bool	frozen_ = false

bool	alwaysForward_

Detailed Description

template<class Interpolator>
class QuantLib::InterpolatedSmileSection< Interpolator >

Definition at line 40 of file interpolatedsmilesection.hpp.

Constructor & Destructor Documentation

◆ InterpolatedSmileSection() [1/4]

InterpolatedSmileSection	(	Time	expiryTime,
		std::vector< Rate >	strikes,
		const std::vector< Handle< Quote > > &	stdDevHandles,
		Handle< Quote >	atmLevel,
		const Interpolator &	interpolator = `Interpolator()`,
		const DayCounter &	dc = `Actual365Fixed()`,
		VolatilityType	type = `ShiftedLognormal`,
		Real	shift = `0.0`
	)

Definition at line 97 of file interpolatedsmilesection.hpp.

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◆ InterpolatedSmileSection() [2/4]

InterpolatedSmileSection	(	Time	expiryTime,
		std::vector< Rate >	strikes,
		const std::vector< Real > &	stdDevs,
		Real	atmLevel,
		const Interpolator &	interpolator = `Interpolator()`,
		const DayCounter &	dc = `Actual365Fixed()`,
		VolatilityType	type = `ShiftedLognormal`,
		Real	shift = `0.0`
	)

Definition at line 119 of file interpolatedsmilesection.hpp.

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◆ InterpolatedSmileSection() [3/4]

InterpolatedSmileSection	(	const Date &	d,
		std::vector< Rate >	strikes,
		const std::vector< Handle< Quote > > &	stdDevHandles,
		Handle< Quote >	atmLevel,
		const DayCounter &	dc = `Actual365Fixed()`,
		const Interpolator &	interpolator = `Interpolator()`,
		const Date &	referenceDate = `Date()`,
		VolatilityType	type = `ShiftedLognormal`,
		Real	shift = `0.0`
	)

Definition at line 145 of file interpolatedsmilesection.hpp.

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◆ InterpolatedSmileSection() [4/4]

InterpolatedSmileSection	(	const Date &	d,
		std::vector< Rate >	strikes,
		const std::vector< Real > &	stdDevs,
		Real	atmLevel,
		const DayCounter &	dc = `Actual365Fixed()`,
		const Interpolator &	interpolator = `Interpolator()`,
		const Date &	referenceDate = `Date()`,
		VolatilityType	type = `ShiftedLognormal`,
		Real	shift = `0.0`
	)

Definition at line 168 of file interpolatedsmilesection.hpp.

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Member Function Documentation

◆ performCalculations()

void performCalculations ( ) const

overridevirtual

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.

Definition at line 196 of file interpolatedsmilesection.hpp.

◆ varianceImpl()

Real varianceImpl ( Rate strike ) const

overridevirtual

Reimplemented from SmileSection.

◆ volatilityImpl()

Volatility volatilityImpl ( Rate strike ) const

overridevirtual

Implements SmileSection.

◆ minStrike()

Real minStrike ( ) const

overridevirtual

Implements SmileSection.

Definition at line 81 of file interpolatedsmilesection.hpp.

◆ maxStrike()

Real maxStrike ( ) const

overridevirtual

Implements SmileSection.

Definition at line 82 of file interpolatedsmilesection.hpp.

◆ atmLevel()

Real atmLevel ( ) const

overridevirtual

Implements SmileSection.

Definition at line 83 of file interpolatedsmilesection.hpp.

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◆ 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 LazyObject.

Member Data Documentation

◆ exerciseTimeSquareRoot_

Real exerciseTimeSquareRoot_

private

Definition at line 87 of file interpolatedsmilesection.hpp.

◆ strikes_

std::vector<Rate> strikes_

private

Definition at line 88 of file interpolatedsmilesection.hpp.

◆ stdDevHandles_

std::vector<Handle<Quote> > stdDevHandles_

private

Definition at line 89 of file interpolatedsmilesection.hpp.

◆ atmLevel_

Handle<Quote> atmLevel_

private

Definition at line 90 of file interpolatedsmilesection.hpp.

◆ vols_

std::vector<Volatility> vols_

mutableprivate

Definition at line 91 of file interpolatedsmilesection.hpp.

◆ interpolation_

Interpolation interpolation_

mutableprivate

Definition at line 92 of file interpolatedsmilesection.hpp.

Public Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ InterpolatedSmileSection() [1/4]

◆ InterpolatedSmileSection() [2/4]

◆ InterpolatedSmileSection() [3/4]

◆ InterpolatedSmileSection() [4/4]

Member Function Documentation

◆ performCalculations()

◆ varianceImpl()

◆ volatilityImpl()

◆ minStrike()

◆ maxStrike()

◆ atmLevel()

◆ update()

Member Data Documentation

◆ exerciseTimeSquareRoot_

◆ strikes_

◆ stdDevHandles_

◆ atmLevel_

◆ vols_

◆ interpolation_