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| 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 >()) |
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| 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 >()) |
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Real | minStrike () const |
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Real | maxStrike () const |
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Real | atmLevel () const |
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Real | optionPrice (Rate strike, Option::Type=Option::Call, Real discount=1.0) const |
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| SmileSection (const Date &d, const DayCounter &dc=DayCounter(), const Date &referenceDate=Date(), const VolatilityType type=ShiftedLognormal, const Rate shift=0.0) |
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| SmileSection (Time exerciseTime, const DayCounter &dc=DayCounter(), const VolatilityType type=ShiftedLognormal, const Rate shift=0.0) |
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virtual void | update () |
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Real | variance (Rate strike) const |
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Volatility | volatility (Rate strike) const |
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virtual const Date & | exerciseDate () const |
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virtual VolatilityType | volatilityType () const |
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virtual Rate | shift () const |
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virtual const Date & | referenceDate () const |
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virtual Time | exerciseTime () const |
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virtual const DayCounter & | dayCounter () const |
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virtual Real | digitalOptionPrice (Rate strike, Option::Type type=Option::Call, Real discount=1.0, Real gap=1.0e-5) const |
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virtual Real | vega (Rate strike, Real discount=1.0) const |
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virtual Real | density (Rate strike, Real discount=1.0, Real gap=1.0E-4) const |
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Volatility | volatility (Rate strike, VolatilityType type, Real shift=0.0) const |
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| Observable (const Observable &) |
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Observable & | operator= (const Observable &) |
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void | notifyObservers () |
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| Observer (const Observer &) |
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Observer & | operator= (const Observer &) |
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std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
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void | registerWithObservables (const boost::shared_ptr< Observer > &) |
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Size | unregisterWith (const boost::shared_ptr< Observable > &) |
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void | unregisterWithAll () |
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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