SabrVolSurface Class Reference
SABR volatility (smile) surface. More...
#include <ql/experimental/volatility/sabrvolsurface.hpp>
Inheritance diagram for SabrVolSurface:

Public Member Functions | |
SabrVolSurface (const boost::shared_ptr< InterestRateIndex > &, const Handle< BlackAtmVolCurve > &, const std::vector< Period > &optionTenors, const std::vector< Spread > &atmRateSpreads, const std::vector< std::vector< Handle< Quote > > > &volSpreads) | |
const Handle< BlackAtmVolCurve > & | atmCurve () const |
std::vector< Volatility > | volatilitySpreads (const Period &) const |
std::vector< Volatility > | volatilitySpreads (const Date &) const |
TermStructure interface | |
DayCounter | dayCounter () const |
the day counter used for date/time conversion | |
Date | maxDate () const |
the latest date for which the curve can return values | |
Time | maxTime () const |
the latest time for which the curve can return values | |
const Date & | referenceDate () const |
the date at which discount = 1.0 and/or variance = 0.0 | |
Calendar | calendar () const |
the calendar used for reference and/or option date calculation | |
Natural | settlementDays () const |
the settlementDays used for reference date calculation | |
VolatilityTermStructure interface | |
Real | minStrike () const |
the minimum strike for which the term structure can return vols | |
Real | maxStrike () const |
the maximum strike for which the term structure can return vols | |
Visitability | |
virtual void | accept (AcyclicVisitor &) |
BlackVolSurface interface | |
boost::shared_ptr< SmileSection > | smileSectionImpl (Time) const |
Protected Member Functions | |
boost::array< Real, 4 > | sabrGuesses (const Date &) const |
LazyObject interface | |
void | performCalculations () const |
virtual void | update () |
Detailed Description
SABR volatility (smile) surface.
blah blah
Member Function Documentation
virtual void update | ( | ) | [protected, virtual] |
This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.
Reimplemented from TermStructure.