Reference manual - version qle_version
#include <qle/termstructures/fxvannavolgasmilesection.hpp>
Inheritance diagram for VannaVolgaSmileSection:Public Member Functions | |
| VannaVolgaSmileSection (Real spot, Real rd, Real rf, Time t, Volatility atmVol, Volatility rr, Volatility bf, bool firstApprox=false, const DeltaVolQuote::AtmType &atmType=DeltaVolQuote::AtmType::AtmDeltaNeutral, const DeltaVolQuote::DeltaType &deltaType=DeltaVolQuote::DeltaType::Spot, const Real delta=0.25) | |
| Real | k_atm () const |
| getters for unit test | |
| Real | k_c () const |
| Real | k_p () const |
| Volatility | vol_atm () const |
| Volatility | vol_c () const |
| Volatility | vol_p () const |
| Public Member Functions inherited from FxSmileSection | |
| FxSmileSection (Real spot, Real rd, Real rf, Time t) | |
| DiscountFactor | domesticDiscount () const |
| DiscountFactor | foreignDiscount () const |
FxSmileSection interface | |
| Volatility | volatility (Real strike) const override |
Additional Inherited Members | |
| Protected Attributes inherited from FxSmileSection | |
| Real | spot_ |
| Real | rd_ |
| Real | rf_ |
| Time | t_ |
Vanna Volga Smile section
Consistent Pricing of FX Options Castagna & Mercurio (2006) http://papers.ssrn.com/sol3/papers.cfm?abstract_id=873788
