- QuantLib
- SabrVolSurface
 
SABR volatility (smile) surface. More...
#include <ql/experimental/volatility/sabrvolsurface.hpp>

| Public Member Functions | |
| SabrVolSurface (const boost::shared_ptr< InterestRateIndex > &, const Handle< BlackAtmVolCurve > &, const std::vector< Period > &optionTenors, const std::vector< Spread > &atmRateSpreads, const std::vector< std::vector< Handle< Quote > > > &volSpreads) | |
| const Handle< BlackAtmVolCurve > & | atmCurve () const | 
| std::vector< Volatility > | volatilitySpreads (const Period &) const | 
| std::vector< Volatility > | volatilitySpreads (const Date &) const | 
| TermStructure interface | |
| DayCounter | dayCounter () const | 
| the day counter used for date/time conversion | |
| Date | maxDate () const | 
| the latest date for which the curve can return values | |
| Time | maxTime () const | 
| the latest time for which the curve can return values | |
| const Date & | referenceDate () const | 
| the date at which discount = 1.0 and/or variance = 0.0 | |
| Calendar | calendar () const | 
| the calendar used for reference and/or option date calculation | |
| Natural | settlementDays () const | 
| the settlementDays used for reference date calculation | |
| 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 | |
| Visitability | |
| virtual void | accept (AcyclicVisitor &) | 
| BlackVolSurface interface | |
| boost::shared_ptr< SmileSection > | smileSectionImpl (Time) const | 
| Protected Member Functions | |
| boost::array< Real, 4 > | sabrGuesses (const Date &) const | 
| LazyObject interface | |
| void | performCalculations () const | 
| virtual void | update () | 
SABR volatility (smile) surface.
blah blah
| virtual void update | ( | ) |  [protected, 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 TermStructure.