SimpleDeltaInterpolatedSmile Class Reference

Public Member Functions
	SimpleDeltaInterpolatedSmile (const Real spot, const Real domDisc, const Real forDisc, const Real expiryTime, const std::vector< Real > &deltas, const std::vector< Real > &putVols, const std::vector< Real > &callVols, const Real atmVol, const DeltaVolQuote::DeltaType dt, const DeltaVolQuote::AtmType at, const BlackVolatilitySurfaceBFRR::SmileInterpolation smileInterpolation, const Real accuracy=1E-6, const Size maxIterations=1000)
Real	volatilityAtSimpleDelta (const Real tnp)
Real	volatility (const Real strike)
Real	strikeFromDelta (const Option::Type type, const Real delta, const DeltaVolQuote::DeltaType dt)
Real	atmStrike (const DeltaVolQuote::DeltaType dt, const DeltaVolQuote::AtmType at)