Posted by
Ferdinando M. Ametrano-3 on
URL: http://quantlib.414.s1.nabble.com/Re-SmileSection-tp13110p13113.html
On Tue, Oct 20, 2009 at 3:25 PM, Luigi Ballabio
<
[hidden email]> wrote:
> Oh---and also smileSection->volatility(Null<Real>()) returning the ATM
> volatility [*], when there's a perfectly serviceable atmLevel method
> that can be used for writing volatility(atmLevel()).
The point here is:
1) to have the interface gracefully degrade to the flat-smile case
2) the traders I work for claim it's too much effort to specify a
strike even for non-flat smile, since unless differently specified,
volatility tout-court is the atm one
of course the second point is relevant for the application level so I
will deal with it in QuantLibAddin if you want to change it in
QuantLib
> why is exerciseTime() public when it's only used internally?
no strong reason beside he fact that all termstructures' interfaces
are also time based so it might be sensible for a smile to know where
it stands along the time dimension
ciao -- Nando
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