ParametricVolatility Class Reference

Inheritance diagram for ParametricVolatility:

Classes
struct	MarketSmile

Public Types
enum class	MarketModelType { Black76 }
enum class	MarketQuoteType { Price , NormalVolatility , ShiftedLognormalVolatility }
enum class	ParameterCalibration { Fixed , Calibrated , Implied }

Public Member Functions
	ParametricVolatility (const std::vector< MarketSmile > marketSmiles, const MarketModelType marketModelType, const MarketQuoteType inputMarketQuoteType, const QuantLib::Handle< QuantLib::YieldTermStructure > discountCurve)
Real	convert (const Real inputQuote, const MarketQuoteType inputMarketQuoteType, const QuantLib::Real inputLognormalShift, const QuantLib::ext::optional< QuantLib::Option::Type > inputOptionType, const QuantLib::Real timeToExpiry, const QuantLib::Real strike, const QuantLib::Real forward, const MarketQuoteType outputMarketQuoteType, const QuantLib::Real outputLognormalShift, const QuantLib::ext::optional< QuantLib::Option::Type > outputOptionType=QuantLib::ext::nullopt) const
virtual QuantLib::Real	evaluate (const QuantLib::Real timeToExpiry, const QuantLib::Real underlyingLength, const QuantLib::Real strike, const QuantLib::Real forward, const MarketQuoteType outputMarketQuoteType, const QuantLib::Real outputLognormalShift=QuantLib::Null< QuantLib::Real >(), const QuantLib::ext::optional< QuantLib::Option::Type > outputOptionType=QuantLib::ext::nullopt) const =0

Protected Attributes
std::vector< MarketSmile >	marketSmiles_
MarketModelType	marketModelType_
MarketQuoteType	inputMarketQuoteType_
QuantLib::Handle< QuantLib::YieldTermStructure >	discountCurve_