fxvannavolgasmilesection.hpp File Reference

FX smile section assuming a strike/volatility space using vanna volga method. More...

#include <ql/experimental/barrieroption/vannavolgainterpolation.hpp>
#include <ql/pricingengines/blackdeltacalculator.hpp>
#include <qle/termstructures/fxsmilesection.hpp>

Classes
class	VannaVolgaSmileSection

Detailed Description

FX smile section assuming a strike/volatility space using vanna volga method.