shift

SmileSection(3)                    QuantLib                    SmileSection(3)



NAME
       SmileSection - interest rate volatility smile section


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

       Inherits Observable, and Observer.

       Inherited by AtmAdjustedSmileSection, AtmSmileSection,
       FlatSmileSection, Gaussian1dSmileSection, InterpolatedSmileSection<
       Interpolator >, KahaleSmileSection, NoArbSabrInterpolatedSmileSection,
       NoArbSabrSmileSection, SabrInterpolatedSmileSection, SabrSmileSection,
       SpreadedSmileSection, SviInterpolatedSmileSection, SviSmileSection,
       ZabrInterpolatedSmileSection< Evaluation >, and ZabrSmileSection<
       Evaluation >.

   Public Member Functions
       SmileSection (const Date &d, const DayCounter &dc=DayCounter(), const
           Date &referenceDate=Date(), const VolatilityType
           type=ShiftedLognormal, const Rate shift=0.0)
       SmileSection (Time exerciseTime, const DayCounter &dc=DayCounter(),
           const VolatilityType type=ShiftedLognormal, const Rate shift=0.0)
       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
       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

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

   Additional Inherited Members
Detailed Description
       interest rate volatility smile section

       This abstract class provides volatility smile section interface

Member Function Documentation
   virtual void update () [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.

       Implements Observer.


Author
       Generated automatically by Doxygen for QuantLib from the source code.




Version 1.10.1                  Wed Feb 7 2018                 SmileSection(3)