SmileSection Class Reference
interest rate volatility smile section More...
#include <ql/termstructures/volatility/smilesection.hpp>
Inheritance diagram for SmileSection:

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) const |
Volatility | volatility (Rate strike) const |
virtual Real | atmLevel () const =0 |
const Date & | exerciseDate () const |
const Date & | referenceDate () const |
Time | exerciseTime () const |
const DayCounter & | dayCounter () const |
Protected Member Functions | |
virtual void | initializeExerciseTime () const |
virtual Real | varianceImpl (Rate strike) const |
virtual Volatility | volatilityImpl (Rate strike) const =0 |
Detailed Description
interest rate volatility smile sectionThis 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.