SmileSection Class Reference

interest rate volatility smile section More...

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

Inheritance diagram for SmileSection:

List of all members.

Public Member Functions

 SmileSection (const Date &d, const DayCounter &dc=DayCounter(), const Date &referenceDate=Date())
 SmileSection (Time exerciseTime, const DayCounter &dc=DayCounter())
virtual void update ()
virtual Real minStrike () const =0
virtual Real maxStrike () const =0
Real variance (Rate strike=Null< Rate >()) const
Volatility volatility (Rate strike=Null< Rate >()) const
virtual Real atmLevel () const =0
const DateexerciseDate () const
Time exerciseTime () const
const DayCounterdayCounter () const
void initializeExerciseTime () const

Protected Member Functions

Real varianceImpl (Rate strike) const
virtual Volatility volatilityImpl (Rate strike) const =0

Friends

class SpreadedSmileSection


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.