sabrvolsurface.hpp

Langue: en

Autres versions - même langue

Version: 380381 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/experimental/volatility/sabrvolsurface.hpp -

SABR volatility (smile) surface.

SYNOPSIS


#include <ql/experimental/volatility/interestratevolsurface.hpp>
#include <ql/experimental/volatility/blackatmvolcurve.hpp>
#include <ql/quote.hpp>
#include <ql/termstructures/volatility/sabrinterpolatedsmilesection.hpp>
#include <boost/array.hpp>

Classes


class SabrVolSurface
SABR volatility (smile) surface.

Detailed Description

SABR volatility (smile) surface.

Author

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