volatility Directory Reference

Directories
directory	capfloor
directory	equityfx
directory	inflation
directory	optionlet
directory	swaption

Files
file	abcd.cpp [code]
file	abcd.hpp [code]
file	abcdcalibration.cpp [code]
file	abcdcalibration.hpp [code]
file	atmadjustedsmilesection.cpp [code]
file	atmadjustedsmilesection.hpp [code]
	smile section that allows for alternate specification of atm level and recentering the source volatility accordingly
file	atmsmilesection.cpp [code]
file	atmsmilesection.hpp [code]
	smile section that allows for explicit / alternate specification of atm level
file	flatsmilesection.cpp [code]
file	flatsmilesection.hpp [code]
	Flat SmileSection.
file	gaussian1dsmilesection.cpp [code]
file	gaussian1dsmilesection.hpp [code]
	smile section generated by a gaussian 1d model
file	interpolatedsmilesection.hpp [code]
	Interpolated smile section class.
file	kahalesmilesection.cpp [code]
file	kahalesmilesection.hpp [code]
	Arbitrage free smile section using a C^1 inter- and extrapolation method proposed by Kahale, see http://www.risk.net/data/Pay_per_view/risk/technical/2004/0504_tech_option2.pdf Exponential extrapolation for high strikes can be used alternatively to avoid a too slowly decreasing call price function. Note that in the leftmost interval and right from the last grid point the input smile is always replaced by the extrapolating functional forms, so if you are sure that the input smile is globally arbitrage free and you do not want to change it in these strike regions you should not use this class at all. Input smile sections with a shift are handled accordingly, normal input smile section are not possible though.
file	sabr.cpp [code]
file	sabr.hpp [code]
	SABR functions.
file	sabrinterpolatedsmilesection.cpp [code]
file	sabrinterpolatedsmilesection.hpp [code]
	Interpolated smile section class.
file	sabrsmilesection.cpp [code]
file	sabrsmilesection.hpp [code]
	sabr smile section class
file	smilesection.cpp [code]
file	smilesection.hpp [code]
	Smile section base class.
file	smilesectionutils.cpp [code]
file	smilesectionutils.hpp [code]
	Additional utilities for smile sections.
file	spreadedsmilesection.cpp [code]
file	spreadedsmilesection.hpp [code]
	Spreaded SmileSection class.
file	volatilitytype.hpp [code]
	volatility types