Class SmileSectionUtils

smile-section utilities, the moneyness is expressed in

absolute terms for normal
relative terms for shifted lognormal volatility smile sections

Hierarchy

SmileSectionUtils

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new SmileSectionUtils(section: SmileSection, moneynessGrid?: Real[], atm?: Real, deleteArbitragePoints?: boolean): SmileSectionUtils

- Defined in ql/termstructures/volatility/smilesectionutils.ts:20
Parameters
- section: SmileSection
- Default value moneynessGrid: Real[] = []
- Default value atm: Real = QL_NULL_REAL
- Default value deleteArbitragePoints: boolean = false
Returns SmileSectionUtils

Properties

Private _c

_c: Real[]

Private _f

_f: Real

Private _k

_k: Real[]

Private _leftIndex

_leftIndex: Size

Private _m

_m: Real[]

Private _rightIndex

_rightIndex: Size

Methods

Private af

af(i0: Size, i: Size, i1: Size): boolean

- Defined in ql/termstructures/volatility/smilesectionutils.ts:232
Parameters
- i0: Size
- i: Size
- i1: Size
Returns boolean

arbitragefreeIndices

arbitragefreeIndices(): [Size, Size]

- Defined in ql/termstructures/volatility/smilesectionutils.ts:212
Returns [Size, Size]

arbitragefreeRegion

arbitragefreeRegion(): [Real, Real]

- Defined in ql/termstructures/volatility/smilesectionutils.ts:208
Returns [Real, Real]

atmLevel

atmLevel(): Real

- Defined in ql/termstructures/volatility/smilesectionutils.ts:228
Returns Real

callPrices

callPrices(): Real[]

- Defined in ql/termstructures/volatility/smilesectionutils.ts:224
Returns Real[]

moneyGrid

moneyGrid(): Real[]

- Defined in ql/termstructures/volatility/smilesectionutils.ts:216
Returns Real[]

strikeGrid

strikeGrid(): Real[]

- Defined in ql/termstructures/volatility/smilesectionutils.ts:220
Returns Real[]