| protected smileSectionImpl ( double optionTime, double swapLength ) : QLNet.SmileSection | ||
| optionTime | double | |
| swapLength | double | |
| Résultat | QLNet.SmileSection | |
protected override SmileSection smileSectionImpl(double optionTime, double swapLength)
{
double atmVol = volatilityImpl(optionTime, swapLength, 0.05);
return (SmileSection) new FlatSmileSection(optionTime, atmVol, dayCounter());
}
