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QuantLib_SABRInterpolation
Langue: en
Version: 381786 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::SABRInterpolation -SABR smile interpolation between discrete volatility points.
SYNOPSIS
#include <ql/math/interpolations/sabrinterpolation.hpp>
Inherits QuantLib::Interpolation.
Public Member Functions
template<class I1 , class I2 > SABRInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, Time t, const Real &forward, Real alpha, Real beta, Real nu, Real rho, bool alphaIsFixed, bool betaIsFixed, bool nuIsFixed, bool rhoIsFixed, bool vegaWeighted=true, const boost::shared_ptr< EndCriteria > &endCriteria=boost::shared_ptr< EndCriteria >(), const boost::shared_ptr< OptimizationMethod > &optMethod=boost::shared_ptr< OptimizationMethod >())
Real expiry () const
Real forward () const
Real alpha () const
Real beta () const
Real nu () const
Real rho () const
Real rmsError () const
Real maxError () const
const std::vector< Real > & interpolationWeights () const
EndCriteria::Type endCriteria ()
Detailed Description
SABR smile interpolation between discrete volatility points.
Author
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