Smile Moneyness Checkpoints


Key Smile Moneyness Checkpoints in
Markov Functional refers to an optional set of moneyness values.
A moneyness value of x means the strike is set at xr, where r is the at-the-money rate.
The supplied moneyness grid - if not empty - should contain strictly increasing non negative values that bracket 1.
A simple entry could be the triplet 0.5, 1, 2.
In the absence of any values here, QuantLib uses the array
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