QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.6
volatility Directory Reference

Directories

directory  capfloor
 
directory  equityfx
 
directory  inflation
 
directory  optionlet
 
directory  swaption
 

Files

file  abcd.hpp
 
file  abcdcalibration.hpp
 
file  atmadjustedsmilesection.hpp
 smile section that allows for alternate specification of atm level and recentering the source volatility accordingly
 
file  atmsmilesection.hpp
 smile section that allows for explicit / alternate specification of atm level
 
file  flatsmilesection.hpp
 Flat SmileSection.
 
file  gaussian1dsmilesection.hpp
 smile section generated by a gaussian 1d model
 
file  interpolatedsmilesection.hpp
 Interpolated smile section class.
 
file  kahalesmilesection.hpp
 Arbitrage free smile section using a C^1 inter- and extrapolation method proposed by Kahale, see http://www.risk.net/data/Pay_per_view/risk/technical/2004/0504_tech_option2.pdf Exponential extrapolation for high strikes can be used alternatively to avoid a too slowly decreasing call price function. Note that in the leftmost interval and right from the last grid point the input smile is always replaced by the extrapolating functional forms, so if you are sure that the input smile is globally arbitrage free and you do not want to change it in these strike regions you should not use this class at all. Input smile sections with a shift are handled accordingly, normal input smile section are not possible though.
 
file  sabr.hpp
 SABR functions.
 
file  sabrinterpolatedsmilesection.hpp
 Interpolated smile section class.
 
file  sabrsmilesection.hpp
 sabr smile section class
 
file  smilesection.hpp
 Smile section base class.
 
file  smilesectionutils.hpp
 Additional utilities for smile sections.
 
file  spreadedsmilesection.hpp
 Spreaded SmileSection class.
 
file  volatilitytype.hpp
 volatility types