SmileSection Class Reference
#include <ql/Volatilities/smilesection.hpp>
Detailed Description
swaption volatility smile sectionThis class provides the volatility smile section
Public Member Functions | |
SmileSection (Time expiryTime, const std::vector< Rate > &strikes, const std::vector< Rate > &volatilities) | |
SmileSection (const std::vector< Real > &sabrParameters, const Time timeToExpiry) | |
Real | variance (const Rate &strike) const |
Volatility | volatility (const Rate &strike) const |