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AbcdAtmVolCurve

NAME

AbcdAtmVolCurve −

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

SYNOPSIS

#include <ql/experimental/volatility/abcdatmvolcurve.hpp>

Inherits BlackAtmVolCurve, and LazyObject.

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)

Detailed Description

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

blah blah

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.

Author

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