Public Types | |
enum class | InterpolationMethod { Linear , NaturalCubic , FinancialCubic , CubicSpline } |
Supported interpolation methods. | |
Public Member Functions | |
InterpolatedSmileSection (Real spot, Real rd, Real rf, Time t, const std::vector< Real > &strikes, const std::vector< Volatility > &vols, InterpolationMethod method, bool flatExtrapolation=false) | |
ctor | |
Volatility | volatility (Real strike) const override |
Public Member Functions inherited from FxSmileSection | |
FxSmileSection (Real spot, Real rd, Real rf, Time t) | |
DiscountFactor | domesticDiscount () const |
DiscountFactor | foreignDiscount () const |
Inspectors | |
const std::vector< Real > & | strikes () const |
const std::vector< Volatility > & | volatilities () const |
Additional Inherited Members | |
Protected Attributes inherited from FxSmileSection | |
Real | spot_ |
Real | rd_ |
Real | rf_ |
Time | t_ |