Gaussian1dSmileSection Class Reference

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

Inheritance diagram for Gaussian1dSmileSection:

Public Member Functions
	Gaussian1dSmileSection (const Date &fixingDate, ext::shared_ptr< SwapIndex > swapIndex, const ext::shared_ptr< Gaussian1dModel > &model, const DayCounter &dc, const ext::shared_ptr< Gaussian1dSwaptionEngine > &swaptionEngine=ext::shared_ptr< Gaussian1dSwaptionEngine >())
	Gaussian1dSmileSection (const Date &fixingDate, ext::shared_ptr< IborIndex > swapIndex, const ext::shared_ptr< Gaussian1dModel > &model, const DayCounter &dc, const ext::shared_ptr< Gaussian1dCapFloorEngine > &capEngine=ext::shared_ptr< Gaussian1dCapFloorEngine >())
Real	minStrike () const override
Real	maxStrike () const override
Real	atmLevel () const override
Real	optionPrice (Rate strike, Option::Type=Option::Call, Real discount=1.0) 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)
void	update () override
Real	variance (Rate strike) const
Volatility	volatility (Rate strike) const
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	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 &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const 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	deepUpdate ()

Protected Member Functions
Real	volatilityImpl (Rate strike) const override
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 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

Member Function Documentation

minStrike()

Real minStrike ( ) const

overridevirtual

Implements SmileSection.

maxStrike()

Real maxStrike ( ) const

overridevirtual

Implements SmileSection.

atmLevel()

Real atmLevel ( ) const

overridevirtual

Implements SmileSection.

optionPrice()

Real optionPrice ( Rate strike, Option::Type = Option::Call, Real discount = 1.0 ) const

overridevirtual

Reimplemented from SmileSection.

volatilityImpl()

Real volatilityImpl ( Rate strike ) const

overrideprotectedvirtual

Implements SmileSection.