Reference manual - version qle_version
#include <qle/termstructures/optionpricesurface.hpp>
Public Member Functions | |
| OptionPriceSurface (const QuantLib::Date &referenceDate, const std::vector< QuantLib::Date > &dates, const std::vector< QuantLib::Real > &strikes, const std::vector< QuantLib::Real > &prices, const QuantLib::DayCounter &dayCounter, const QuantLib::Calendar &calendar=QuantLib::NullCalendar()) | |
TermStructure interface | |
| QuantLib::Date | maxDate () const override |
| const QuantLib::Date & | referenceDate () const override |
| QuantLib::DayCounter | dayCounter () const override |
| QuantLib::Real | price (QuantLib::Time t, QuantLib::Real strike) const |
| QuantLib::Real | price (QuantLib::Date d, QuantLib::Real strike) const |
| Public Member Functions inherited from OptionInterpolator2d< QuantLib::Linear, QuantLib::Linear > | |
| OptionInterpolator2d (const QuantLib::Date &referenceDate, const QuantLib::DayCounter &dayCounter, bool lowerStrikeConstExtrap=true, bool upperStrikeConstExtrap=true, const QuantLib::Linear &interpolatorStrike=QuantLib::Linear(), const QuantLib::Linear &interpolatorExpiry=QuantLib::Linear(), const QuantLib::Date &baseDate=QuantLib::Date()) | |
| OptionInterpolator2d default Constructor. | |
| 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. | |
| 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 | |
| Public Member Functions inherited from OptionInterpolatorBase | |
| OptionInterpolatorBase (const QuantLib::Date &referenceDate) | |
| 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 |
Additional Inherited Members | |
| std::vector< QuantLib::Interpolation > | interpolations_ |
| 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_ |
Option Price Surface based on sparse matrix.
