FX smile section assuming a strike/volatility space using vanna volga method. More...
#include <ql/experimental/barrieroption/vannavolgainterpolation.hpp>
#include <ql/experimental/fx/blackdeltacalculator.hpp>
#include <qle/termstructures/fxsmilesection.hpp>
Classes | |
class | VannaVolgaSmileSection |
FX smile section assuming a strike/volatility space using vanna volga method.