OptionInterpolatorBase Class Reference

Option surface interpolator base. More...

#include <qle/interpolators/optioninterpolator2d.hpp>

Inheritance diagram for OptionInterpolatorBase:

Public Member Functions
	OptionInterpolatorBase (const QuantLib::Date &referenceDate)
virtual QuantLib::Real	getValue (QuantLib::Time t, QuantLib::Real strike) const =0
	virtual access methods
virtual QuantLib::Real	getValue (QuantLib::Date d, QuantLib::Real strike) const =0
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

Protected Attributes
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

Option surface interpolator base.

Member Function Documentation

getValue()

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

pure virtual

virtual access methods

Implemented in OptionInterpolator2d< InterpolatorStrike, InterpolatorExpiry >, and OptionInterpolator2d< QuantLib::Linear, QuantLib::Linear >.