SmileSection Class Reference

interest rate volatility smile section More...

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

Inheritance diagram for SmileSection:

Public Member Functions
	SmileSection (const Date &d, const DayCounter &dc=DayCounter(), const Date &referenceDate=Date())
	SmileSection (Time exerciseTime, const DayCounter &dc=DayCounter())
virtual void	update ()
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
const Date &	exerciseDate () const
const Date &	referenceDate () const
Time	exerciseTime () const
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
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const Observer &)
std::pair< std::set < boost::shared_ptr < Observable > >::iterator, bool >	registerWith (const boost::shared_ptr< Observable > &)
Size	unregisterWith (const boost::shared_ptr< Observable > &)
void	unregisterWithAll ()

Protected Member Functions
virtual void	initializeExerciseTime () const
virtual Real	varianceImpl (Rate strike) const
virtual Volatility	volatilityImpl (Rate strike) const =0

Detailed Description

interest rate volatility smile section

This abstract class provides volatility smile section interface