#include <qle/interpolators/optioninterpolator2d.hpp>

Inheritance diagram for OptionInterpolator2d< InterpolatorStrike, InterpolatorExpiry >:

Public Member Functions
	OptionInterpolator2d (const QuantLib::Date &referenceDate, const QuantLib::DayCounter &dayCounter, bool lowerStrikeConstExtrap=true, bool upperStrikeConstExtrap=true, const InterpolatorStrike &interpolatorStrike=InterpolatorStrike(), const InterpolatorExpiry &interpolatorExpiry=InterpolatorExpiry(), const QuantLib::Date &baseDate=QuantLib::Date())
	OptionInterpolator2d default Constructor.
	OptionInterpolator2d (const QuantLib::Date &referenceDate, const QuantLib::DayCounter &dayCounter, const std::vector< QuantLib::Date > &dates, const std::vector< QuantLib::Real > &strikes, const std::vector< QuantLib::Real > &values, bool lowerStrikeConstExtrap=true, bool upperStrikeConstExtrap=true, const InterpolatorStrike &interpolatorStrike=InterpolatorStrike(), const InterpolatorExpiry &interpolatorExpiry=InterpolatorExpiry(), const QuantLib::Date &baseDate=QuantLib::Date())
	OptionInterpolator2d Constructor with dates.
	OptionInterpolator2d (const QuantLib::Date &referenceDate, const QuantLib::Calendar &calendar, const QuantLib::BusinessDayConvention &bdc, const QuantLib::DayCounter &dayCounter, const std::vector< QuantLib::Period > &tenors, const std::vector< QuantLib::Real > &strikes, const std::vector< QuantLib::Real > &values, bool lowerStrikeConstExtrap=true, bool upperStrikeConstExtrap=true, const InterpolatorStrike &interpolatorStrike=InterpolatorStrike(), const InterpolatorExpiry &interpolatorExpiry=InterpolatorExpiry(), const QuantLib::Date &baseDate=QuantLib::Date())
	OptionInterpolator2d Constructor with Tenors.
	OptionInterpolator2d (const OptionInterpolator2d &)=delete
OptionInterpolator2d &	operator= (const OptionInterpolator2d &)=delete
void	initialise (const std::vector< QuantLib::Date > &dates, const std::vector< QuantLib::Real > &strikes, const std::vector< QuantLib::Real > &values)
	Initialise.
void	initialise (const std::vector< QuantLib::Period > &tenors, const std::vector< QuantLib::Real > &strikes, const std::vector< QuantLib::Real > &values, const QuantLib::Calendar &calendar, const QuantLib::BusinessDayConvention &bdc)
Public Member Functions inherited from OptionInterpolatorBase
	OptionInterpolatorBase (const QuantLib::Date &referenceDate)
const QuantLib::Date &	referenceDate () const
std::vector< QuantLib::Time >	times () const
std::vector< QuantLib::Date >	expiries () const
std::vector< std::vector< QuantLib::Real > >	strikes () const
std::vector< std::vector< QuantLib::Real > >	values () const

Getters
std::vector< QuantLib::Interpolation >	interpolations_
std::vector< QuantLib::Time >	times () const
std::vector< QuantLib::Date >	expiries () const
std::vector< std::vector< QuantLib::Real > >	strikes () const
std::vector< std::vector< QuantLib::Real > >	values () const
QuantLib::DayCounter	dayCounter () const
QuantLib::Real	getValue (QuantLib::Time t, QuantLib::Real strike) const override
	virtual access methods
QuantLib::Real	getValue (QuantLib::Date d, QuantLib::Real strike) const override

Additional Inherited Members
Protected Attributes inherited from OptionInterpolatorBase
std::vector< QuantLib::Date >	expiries_
std::vector< QuantLib::Time >	times_
std::vector< std::vector< QuantLib::Real > >	strikes_
std::vector< std::vector< QuantLib::Real > >	values_
QuantLib::Date	referenceDate_

Detailed Description

template<class InterpolatorStrike, class InterpolatorExpiry>
class QuantExt::OptionInterpolator2d< InterpolatorStrike, InterpolatorExpiry >

Option surface interpolator

Member Function Documentation

◆ getValue() [1/2]

template<class IS, class IE>

QuantLib::Real getValue	(	QuantLib::Time	t,
		QuantLib::Real	strike ) const

overridevirtual

virtual access methods

Implements OptionInterpolatorBase.

◆ getValue() [2/2]