Class VolatilitySmile

Defined in File volatility_smile.hpp

Inheritance Relationships

Base Type

public otyca::Model< 1 > (Template Class Model)

Derived Types

public otyca::Chuckle (Class Chuckle)
public otyca::CubicSpline (Class CubicSpline)
public otyca::Frown (Class Frown)
public otyca::Giggle (Class Giggle)
public otyca::Grin (Class Grin)
public otyca::Poker (Class Poker)
public otyca::ShiftedLognormal (Class ShiftedLognormal)
public otyca::Smile (Class Smile)
public otyca::Smirk (Class Smirk)
public otyca::Sneer (Class Sneer)

Class Documentation

class VolatilitySmile : public otyca::Model<1>

Base class for volatility smile models. Handle log relative strike to z2 conversion.

Subclassed by otyca::Chuckle, otyca::CubicSpline, otyca::Frown, otyca::Giggle, otyca::Grin, otyca::Poker, otyca::ShiftedLognormal, otyca::Smile, otyca::Smirk, otyca::Sneer

Public Types

enum StrikeType

Values:

enumerator LOG_RELATIVE_STRIKE

enumerator Z2

Public Functions

inline VolatilitySmile(double t)

inline double volatility(double log_rel_k) const

inline void set_strike_type(StrikeType strike)

inline StrikeType get_strike_type() const

inline double vertical_arbitrage_penalty(const CalibrationInput &ci) const

Protected Attributes

StrikeType _strike_type = LOG_RELATIVE_STRIKE 

double _t = NAN