Reference manual - version qle_version
#include <qle/termstructures/blackvolsurfacedelta.hpp>
Public Member Functions | |
| BlackVolatilitySurfaceDelta (Date referenceDate, const std::vector< Date > &dates, const std::vector< Real > &putDeltas, const std::vector< Real > &callDeltas, bool hasAtm, const Matrix &blackVolMatrix, const DayCounter &dayCounter, const Calendar &cal, const Handle< Quote > &spot, const Handle< YieldTermStructure > &domesticTS, const Handle< YieldTermStructure > &foreignTS, DeltaVolQuote::DeltaType dt=DeltaVolQuote::DeltaType::Spot, DeltaVolQuote::AtmType at=DeltaVolQuote::AtmType::AtmDeltaNeutral, QuantLib::ext::optional< QuantLib::DeltaVolQuote::DeltaType > atmDeltaType=QuantLib::ext::nullopt, const Period &switchTenor=0 *Days, DeltaVolQuote::DeltaType ltdt=DeltaVolQuote::DeltaType::Fwd, DeltaVolQuote::AtmType ltat=DeltaVolQuote::AtmType::AtmDeltaNeutral, QuantLib::ext::optional< QuantLib::DeltaVolQuote::DeltaType > longTermAtmDeltaType=QuantLib::ext::nullopt, InterpolatedSmileSection::InterpolationMethod interpolationMethod=InterpolatedSmileSection::InterpolationMethod::Linear, bool flatStrikeExtrapolation=true, QuantLib::BlackVolTimeExtrapolation timeExtrapolation=QuantLib::BlackVolTimeExtrapolation::FlatVolatility) | |
TermStructure interface | |
| Date | maxDate () const override |
VolatilityTermStructure interface | |
| Real | minStrike () const override |
| Real | maxStrike () const override |
Visitability | |
| virtual void | accept (AcyclicVisitor &) override |
Inspectors | |
| const std::vector< QuantLib::Date > & | dates () const |
| QuantLib::ext::shared_ptr< FxSmileSection > | blackVolSmile (Time t) const |
| Return an FxSmile for the time t. | |
| QuantLib::ext::shared_ptr< FxSmileSection > | blackVolSmile (const QuantLib::Date &d) const |
| virtual Volatility | blackVolImpl (Time t, Real strike) const override |
Abstract Black volatility surface based on delta
| QuantLib::ext::shared_ptr< FxSmileSection > blackVolSmile | ( | Time | t | ) | const |
Return an FxSmile for the time t.
Note the smile does not observe the spot or YTS handles, it will not update when they change.
This is not really FX specific
