InterpolatedSmileSection Class Reference

Inheritance diagram for InterpolatedSmileSection:

Public Types
enum class	InterpolationMethod { Linear , NaturalCubic , FinancialCubic , CubicSpline }
	Supported interpolation methods.

Public Member Functions
	InterpolatedSmileSection (Real spot, Real rd, Real rf, Time t, const std::vector< Real > &strikes, const std::vector< Volatility > &vols, InterpolationMethod method, bool flatExtrapolation=false)
	ctor
Volatility	volatility (Real strike) const override
Public Member Functions inherited from FxSmileSection
	FxSmileSection (Real spot, Real rd, Real rf, Time t)
DiscountFactor	domesticDiscount () const
DiscountFactor	foreignDiscount () const

Inspectors
const std::vector< Real > &	strikes () const
const std::vector< Volatility > &	volatilities () const

Additional Inherited Members
Protected Attributes inherited from FxSmileSection
Real	spot_
Real	rd_
Real	rf_
Time	t_

Member Function Documentation

volatility()

Volatility volatility ( Real strike ) const

overridevirtual

Implements FxSmileSection.