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QuantLib_AbcdAtmVolCurve

NAME

QuantLib::AbcdAtmVolCurve -

Abcd-interpolated at-the-money (no-smile) volatility curve.

SYNOPSIS

#include <ql/experimental/volatility/abcdatmvolcurve.hpp>

Inherits QuantLib::BlackAtmVolCurve, and QuantLib::LazyObject.

Public Member Functions

AbcdAtmVolCurve (Natural settlementDays, const Calendar &cal, const std::vector< Period > &optionTenors, const std::vector< Handle< Quote > > &volsHandles, const std::vector< bool > inclusionInInterpolationFlag=std::vector< bool >(1, true), BusinessDayConvention bdc=Following, const DayCounter &dc=Actual365Fixed())
floating reference date, floating market data
std::vector< Real > k () const
Returns k adjustment factors for option tenors used in interpolation.
Real k (Time t) const
Returns k adjustment factor at time t.
Real a () const

Real b () const

Real c () const

Real d () const

Real rmsError () const

Real maxError () const

EndCriteria::Type endCriteria () const

TermStructure interface

 

virtual Date maxDate () const

VolatilityTermStructure interface

 

Real minStrike () const

Real maxStrike () const

LazyObject interface

 

void update ()

void performCalculations () const

some inspectors

 

const std::vector< Period > & optionTenors () const

const std::vector< Period > & optionTenorsInInterpolation () const

const std::vector< Date > & optionDates () const

const std::vector< Time > & optionTimes () const

Visitability

 

virtual void accept (AcyclicVisitor &)

Protected Member Functions

BlackAtmVolCurve interface

 

virtual Real atmVarianceImpl (Time t) const
spot at-the-money variance calculation (k adjusted)
virtual Volatility atmVolImpl (Time t) const
spot at-the-money volatility calculation (k adjusted)

Detailed Description

Abcd-interpolated at-the-money (no-smile) volatility curve.

blah blah

Member Function Documentation

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.

Reimplemented from LazyObject.

void performCalculations () const [virtual]This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.

Author

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