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sabrvolsurface.hpp
Langue: en
Version: 380381 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
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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