- QuantLib
- AbcdAtmVolCurve
 
Abcd-interpolated at-the-money (no-smile) volatility curve. More...
#include <ql/experimental/volatility/abcdatmvolcurve.hpp>

| 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< Real > | k () 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 | |
| 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 | |
| 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) | |
Abcd-interpolated at-the-money (no-smile) volatility curve.
blah blah
| 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.