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sabrinterpolation.hpp
Langue: en
Version: 374882 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
ql/math/interpolations/sabrinterpolation.hpp -SABR interpolation interpolation between discrete points.
SYNOPSIS
#include <ql/math/interpolation.hpp>
#include <ql/math/optimization/method.hpp>
#include <ql/math/optimization/simplex.hpp>
#include <ql/math/optimization/levenbergmarquardt.hpp>
#include <ql/pricingengines/blackformula.hpp>
#include <ql/utilities/null.hpp>
#include <ql/utilities/dataformatters.hpp>
#include <ql/termstructures/volatility/sabr.hpp>
#include <ql/math/optimization/projectedcostfunction.hpp>
#include <ql/math/optimization/constraint.hpp>
Classes
class SABRInterpolation
SABR smile interpolation between discrete volatility points.
class SABR
SABR interpolation factory and traits
Detailed Description
SABR interpolation interpolation between discrete points.
Author
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