functions to construct and use SmileSection objects.

The first step is to load the QuantLib package.

Needs["QuantLib`"]

Within the SmileSectionStructures part there are several constructors and member functions available

Select[Category[SmileSectionStructures],QLConstructor[#]&]

Select[Category[SmileSectionStructures],QLMember[#]&]

Constructors

FlatSmileSection

In[200]:=

In[204]:=

obj=FlatSmileSection[OptionDate,Volatility,RefDate,AtmValue]

Out[204]=

SabrInterpolatedSmileSection

obj=SabrInterpolatedSmileSection[OptionDate,ForwardRate,Strike,FloatingStrike,AtmVolatility,VolatilitySpreads]

SabrInterpolatedSmileSection1

obj=SabrInterpolatedSmileSection1[OptionDate,ForwardRate,Strike,FloatingStrike,AtmVolatility,VolatilitySpreads]

SabrSmileSection

obj=SabrSmileSection[OptionTime,Strikes,StdDevs,Forward]

InterpolatedSmileSection

obj=InterpolatedSmileSection[OptionDate,Strikes,StdDevs,AtmLevel]

SmileSectionFromSabrVolSurface

obj=SmileSectionFromSabrVolSurface[SabrVolSurface,OptionTime]

Member function

SmileSectionVolatility

SmileSectionVolatility[obj]

SmileSectionVariance

SmileSectionVariance[obj]

SmileSectionAtmLevel

SmileSectionAtmLevel[obj]

SmileSectionExerciseDate

SmileSectionExerciseDate[obj]

SmileSectionDayCounter

SmileSectionDayCounter[obj]

SabrInterpolatedSmileSectionAlpha

SabrInterpolatedSmileSectionAlpha[obj]

SabrInterpolatedSmileSectionBeta

SabrInterpolatedSmileSectionBeta[obj]

SabrInterpolatedSmileSectionNu

SabrInterpolatedSmileSectionNu[obj]

SabrInterpolatedSmileSectionRho

SabrInterpolatedSmileSectionRho[obj]

SabrInterpolatedSmileSectionError

SabrInterpolatedSmileSectionError[obj]

SabrInterpolatedSmileSectionMaxError

SabrInterpolatedSmileSectionMaxError[obj]

SabrInterpolatedSmileSectionEndCriteria

SabrInterpolatedSmileSectionEndCriteria[obj]

Created with Wolfram Mathematica 7.0