Gaussian1dSmileSection Class Reference

#include <gaussian1dsmilesection.hpp>

Inheritance diagram for Gaussian1dSmileSection:

Collaboration 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)
	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 ()

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
virtual Volatility	volatilityImpl (Rate strike) const =0

Private Attributes
Real	atm_
Real	annuity_
Date	fixingDate_
ext::shared_ptr< SwapIndex >	swapIndex_
ext::shared_ptr< IborIndex >	iborIndex_
ext::shared_ptr< Gaussian1dModel >	model_
ext::shared_ptr< PricingEngine >	engine_

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

Definition at line 41 of file gaussian1dsmilesection.hpp.

Constructor & Destructor Documentation

Gaussian1dSmileSection() [1/2]

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>()
	)

Definition at line 30 of file gaussian1dsmilesection.cpp.

Gaussian1dSmileSection() [2/2]

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>()
	)

Definition at line 50 of file gaussian1dsmilesection.cpp.

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Member Function Documentation

minStrike()

Real minStrike ( ) const

overridevirtual

Implements SmileSection.

Definition at line 58 of file gaussian1dsmilesection.hpp.

maxStrike()

Real maxStrike ( ) const

overridevirtual

Implements SmileSection.

Definition at line 59 of file gaussian1dsmilesection.hpp.

atmLevel()

Real atmLevel ( ) const

overridevirtual

Implements SmileSection.

Definition at line 73 of file gaussian1dsmilesection.cpp.

optionPrice()

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

overridevirtual

Reimplemented from SmileSection.

Definition at line 75 of file gaussian1dsmilesection.cpp.

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volatilityImpl()

Real volatilityImpl ( Rate  strike ) const

overrideprotectedvirtual

Implements SmileSection.

Definition at line 97 of file gaussian1dsmilesection.cpp.

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Member Data Documentation

atm_

Real atm_

private

Definition at line 68 of file gaussian1dsmilesection.hpp.

annuity_

Real annuity_

private

Definition at line 68 of file gaussian1dsmilesection.hpp.

fixingDate_

Date fixingDate_

private

Definition at line 69 of file gaussian1dsmilesection.hpp.

swapIndex_

ext::shared_ptr<SwapIndex> swapIndex_

private

Definition at line 70 of file gaussian1dsmilesection.hpp.

iborIndex_

ext::shared_ptr<IborIndex> iborIndex_

private

Definition at line 71 of file gaussian1dsmilesection.hpp.

model_

ext::shared_ptr<Gaussian1dModel> model_

private

Definition at line 72 of file gaussian1dsmilesection.hpp.

engine_

ext::shared_ptr<PricingEngine> engine_

private

Definition at line 73 of file gaussian1dsmilesection.hpp.