#include <qle/termstructures/fxvannavolgasmilesection.hpp>

Inheritance diagram for VannaVolgaSmileSection:

Public Member Functions
	VannaVolgaSmileSection (Real spot, Real rd, Real rf, Time t, Volatility atmVol, Volatility rr, Volatility bf, bool firstApprox=false, const DeltaVolQuote::AtmType &atmType=DeltaVolQuote::AtmType::AtmDeltaNeutral, const DeltaVolQuote::DeltaType &deltaType=DeltaVolQuote::DeltaType::Spot, const Real delta=0.25)
Real	k_atm () const
	getters for unit test
Real	k_c () const
Real	k_p () const
Volatility	vol_atm () const
Volatility	vol_c () const
Volatility	vol_p () const
Public Member Functions inherited from FxSmileSection
	FxSmileSection (Real spot, Real rd, Real rf, Time t)
DiscountFactor	domesticDiscount () const
DiscountFactor	foreignDiscount () const

FxSmileSection interface
Volatility	volatility (Real strike) const override

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

Detailed Description

Vanna Volga Smile section

Consistent Pricing of FX Options Castagna & Mercurio (2006) http://papers.ssrn.com/sol3/papers.cfm?abstract_id=873788

Member Function Documentation

Volatility volatility ( Real strike ) const

overridevirtual