#include <qle/termstructures/blackvolsurfacedelta.hpp>

Inheritance diagram for BlackVolatilitySurfaceDelta:

Public Member Functions
	BlackVolatilitySurfaceDelta (Date referenceDate, const std::vector< Date > &dates, const std::vector< Real > &putDeltas, const std::vector< Real > &callDeltas, bool hasAtm, const Matrix &blackVolMatrix, const DayCounter &dayCounter, const Calendar &cal, const Handle< Quote > &spot, const Handle< YieldTermStructure > &domesticTS, const Handle< YieldTermStructure > &foreignTS, DeltaVolQuote::DeltaType dt=DeltaVolQuote::DeltaType::Spot, DeltaVolQuote::AtmType at=DeltaVolQuote::AtmType::AtmDeltaNeutral, boost::optional< QuantLib::DeltaVolQuote::DeltaType > atmDeltaType=boost::none, const Period &switchTenor=0 *Days, DeltaVolQuote::DeltaType ltdt=DeltaVolQuote::DeltaType::Fwd, DeltaVolQuote::AtmType ltat=DeltaVolQuote::AtmType::AtmDeltaNeutral, boost::optional< QuantLib::DeltaVolQuote::DeltaType > longTermAtmDeltaType=boost::none, InterpolatedSmileSection::InterpolationMethod interpolationMethod=InterpolatedSmileSection::InterpolationMethod::Linear, bool flatExtrapolation=true)

TermStructure interface
Date	maxDate () const override

VolatilityTermStructure interface
Real	minStrike () const override

Real	maxStrike () const override

Visitability
virtual void	accept (AcyclicVisitor &) override

Inspectors
const std::vector< QuantLib::Date > &	dates () const

boost::shared_ptr< FxSmileSection >	blackVolSmile (Time t) const
	Return an FxSmile for the time t. More...

boost::shared_ptr< FxSmileSection >	blackVolSmile (const QuantLib::Date &d) const

virtual Volatility	blackVolImpl (Time t, Real strike) const override

Detailed Description

Abstract Black volatility surface based on delta

Member Function Documentation

boost::shared_ptr<FxSmileSection> blackVolSmile ( Time t ) const

Return an FxSmile for the time t.

Note the smile does not observe the spot or YTS handles, it will not update when they change.

This is not really FX specific