blackvolsurfacebfrr.hpp File Reference

Black volatility surface based on bf/rr quotes. More...

#include <ql/experimental/fx/deltavolquote.hpp>
#include <ql/math/interpolation.hpp>
#include <ql/option.hpp>
#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/time/calendar.hpp>
#include <ql/time/daycounter.hpp>

Classes
class	BlackVolatilitySurfaceBFRR
class	SimpleDeltaInterpolatedSmile

Functions
QuantLib::ext::shared_ptr< SimpleDeltaInterpolatedSmile >	createSmile (const Real spot, const Real domDisc, const Real forDisc, const Real expiryTime, const std::vector< Real > &deltas, const std::vector< Real > &bfQuotes, const std::vector< Real > &rrQuotes, const Real atmVol, const DeltaVolQuote::DeltaType dt, const DeltaVolQuote::AtmType at, const Option::Type riskReversalInFavorOf, const bool butterflyIsBrokerStyle, const BlackVolatilitySurfaceBFRR::SmileInterpolation smileInterpolation)

Detailed Description

Black volatility surface based on bf/rr quotes.