BlackVolatilitySurfaceBFRR Class Reference

Inheritance diagram for BlackVolatilitySurfaceBFRR:

Public Types
enum class	SmileInterpolation { Linear , Cubic }

Public Member Functions
	BlackVolatilitySurfaceBFRR (Date referenceDate, const std::vector< Date > &dates, const std::vector< Real > &deltas, const std::vector< std::vector< Real >> &bfQuotes, const std::vector< std::vector< Real >> &rrQuotes, const std::vector< Real > &atmQuotes, const DayCounter &dayCounter, const Calendar &calendar, const Handle< Quote > &spot, const Size spotDays, const Calendar spotCalendar, const Handle< YieldTermStructure > &domesticTS, const Handle< YieldTermStructure > &foreignTS, const DeltaVolQuote::DeltaType dt=DeltaVolQuote::DeltaType::Spot, const DeltaVolQuote::AtmType at=DeltaVolQuote::AtmType::AtmDeltaNeutral, const Period &switchTenor=2 *Years, const DeltaVolQuote::DeltaType ltdt=DeltaVolQuote::DeltaType::Fwd, const DeltaVolQuote::AtmType ltat=DeltaVolQuote::AtmType::AtmDeltaNeutral, const Option::Type riskReversalInFavorOf=Option::Call, const bool butterflyIsBrokerStyle=true, const SmileInterpolation smileInterpolation=SmileInterpolation::Cubic)
Date	maxDate () const override
Real	minStrike () const override
Real	maxStrike () const override
const std::vector< QuantLib::Date > &	dates () const
const std::vector< Real > &	deltas () const
const std::vector< Real > &	currentDeltas () const
const std::vector< std::vector< Real > > &	bfQuotes () const
const std::vector< std::vector< Real > > &	rrQuotes () const
const std::vector< Real > &	atmQuotes () const
const Handle< Quote > &	spot () const
const Handle< YieldTermStructure > &	domesticTS () const
const Handle< YieldTermStructure > &	foreignTS () const
DeltaVolQuote::DeltaType	deltaType () const
DeltaVolQuote::AtmType	atmType () const
const Period &	switchTenor () const
DeltaVolQuote::DeltaType	longTermDeltaType () const
DeltaVolQuote::AtmType	longTermAtmType () const
Option::Type	riskReversalInFavorOf () const
bool	butterflyIsBrokerStyle () const
SmileInterpolation	smileInterpolation () const
const std::vector< bool > &	smileHasError () const
const std::vector< std::string > &	smileErrorMessage () const