QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.8
Public Member Functions | Protected Member Functions | List of all members
Gaussian1dSmileSection Class Reference

#include <ql/termstructures/volatility/gaussian1dsmilesection.hpp>

+ Inheritance diagram for Gaussian1dSmileSection:

Public Member Functions

 Gaussian1dSmileSection (const Date &fixingDate, const boost::shared_ptr< SwapIndex > &swapIndex, const boost::shared_ptr< Gaussian1dModel > &model, const DayCounter &dc, const boost::shared_ptr< Gaussian1dSwaptionEngine > swaptionEngine=boost::shared_ptr< Gaussian1dSwaptionEngine >())
 
 Gaussian1dSmileSection (const Date &fixingDate, const boost::shared_ptr< IborIndex > &swapIndex, const boost::shared_ptr< Gaussian1dModel > &model, const DayCounter &dc, const boost::shared_ptr< Gaussian1dCapFloorEngine > capEngine=boost::shared_ptr< Gaussian1dCapFloorEngine >())
 
Real minStrike () const
 
Real maxStrike () const
 
Real atmLevel () const
 
Real optionPrice (Rate strike, Option::Type=Option::Call, Real discount=1.0) const
 
- Public Member Functions inherited from SmileSection
 SmileSection (const Date &d, const DayCounter &dc=DayCounter(), const Date &referenceDate=Date(), const VolatilityType type=ShiftedLognormal, const Rate shift=0.0)
 
 SmileSection (Time exerciseTime, const DayCounter &dc=DayCounter(), const VolatilityType type=ShiftedLognormal, const Rate shift=0.0)
 
virtual void update ()
 
Real variance (Rate strike) const
 
Volatility volatility (Rate strike) const
 
virtual const DateexerciseDate () const
 
virtual VolatilityType volatilityType () const
 
virtual Rate shift () const
 
virtual const DatereferenceDate () const
 
virtual Time exerciseTime () const
 
virtual const DayCounterdayCounter () 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 (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< iterator, bool > registerWith (const boost::shared_ptr< Observable > &)
 
void registerWithObservables (const boost::shared_ptr< Observer > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 

Protected Member Functions

Real volatilityImpl (Rate strike) const
 
- Protected Member Functions inherited from SmileSection
virtual void initializeExerciseTime () const
 
virtual Real varianceImpl (Rate strike) const
 

Additional Inherited Members

- Public Types inherited from Observer
typedef std::set< boost::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 

Detailed Description

smile section based on a gaussian 1d model instance if curves are attached to the swap or ibor index, these are used to adjust the model's yield term structure, if not the model's yield term structure is used directly