- QuantLib
- AbcdAtmVolCurve
Abcd-interpolated at-the-money (no-smile) volatility curve. More...
#include <ql/experimental/volatility/abcdatmvolcurve.hpp>
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 |
the latest date for which the curve can return values | |
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 | |
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) |
Abcd-interpolated at-the-money (no-smile) volatility curve.
blah blah
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.