FlatSmileSection Class Reference

#include <flatsmilesection.hpp>

Inheritance diagram for FlatSmileSection:

Collaboration diagram for FlatSmileSection:

Public Member Functions
	FlatSmileSection (const Date &d, Volatility vol, const DayCounter &dc, const Date &referenceDate=Date(), Real atmLevel=Null< Rate >(), VolatilityType type=ShiftedLognormal, Real shift=0.0)
	FlatSmileSection (Time exerciseTime, Volatility vol, const DayCounter &dc, Real atmLevel=Null< Rate >(), VolatilityType type=ShiftedLognormal, Real shift=0.0)
Real	minStrike () const override
Real	maxStrike () const override
Real	atmLevel () 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
Volatility	volatilityImpl (Rate) 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 Attributes
Volatility	vol_
Real	atmLevel_

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

Detailed Description

Definition at line 34 of file flatsmilesection.hpp.

Constructor & Destructor Documentation

FlatSmileSection() [1/2]

FlatSmileSection	(	const Date &	d,
		Volatility	vol,
		const DayCounter &	dc,
		const Date &	referenceDate = Date(),
		Real	atmLevel = Null<Rate>(),
		VolatilityType	type = ShiftedLognormal,
		Real	shift = 0.0
	)

Definition at line 27 of file flatsmilesection.cpp.

FlatSmileSection() [2/2]

FlatSmileSection	(	Time	exerciseTime,
		Volatility	vol,
		const DayCounter &	dc,
		Real	atmLevel = Null<Rate>(),
		VolatilityType	type = ShiftedLognormal,
		Real	shift = 0.0
	)

Definition at line 37 of file flatsmilesection.cpp.

Member Function Documentation

minStrike()

Real minStrike ( ) const

overridevirtual

Implements SmileSection.

Definition at line 62 of file flatsmilesection.hpp.

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maxStrike()

Real maxStrike ( ) const

overridevirtual

Implements SmileSection.

Definition at line 66 of file flatsmilesection.hpp.

atmLevel()

Real atmLevel ( ) const

overridevirtual

Implements SmileSection.

Definition at line 70 of file flatsmilesection.hpp.

volatilityImpl()

Volatility volatilityImpl ( Rate  ) const

overrideprotectedvirtual

Implements SmileSection.

Definition at line 74 of file flatsmilesection.hpp.

Member Data Documentation

vol_

Volatility vol_

private

Definition at line 58 of file flatsmilesection.hpp.

atmLevel_

Real atmLevel_

private

Definition at line 59 of file flatsmilesection.hpp.