SmileSection Class Reference

#include <ql/Volatilities/smilesection.hpp>

List of all members.


Detailed Description

swaption volatility smile section

This class provides the volatility smile section


Public Member Functions

 SmileSection (Time expiryTime, const std::vector< Rate > &strikes, const std::vector< Rate > &volatilities)
 SmileSection (const std::vector< Real > &sabrParameters, const Time timeToExpiry)
Real variance (const Rate &strike) const
Volatility volatility (const Rate &strike) const