AbcdAtmVolCurve Class Reference

#include <ql/experimental/abcdatmvolcurve.hpp>

Inheritance diagram for AbcdAtmVolCurve:

List of all members.


Detailed Description

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

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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< Realk () 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
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)


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.