swaptionvolmatrix.hpp

Langue: en

Autres versions - même langue

Version: 374653 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/termstructures/volatility/swaption/swaptionvolmatrix.hpp -

Swaption at-the-money volatility matrix.

SYNOPSIS


#include <ql/termstructures/volatility/swaption/swaptionvoldiscrete.hpp>
#include <ql/math/interpolations/interpolation2d.hpp>
#include <ql/math/matrix.hpp>
#include <boost/noncopyable.hpp>
#include <vector>

Classes


class SwaptionVolatilityMatrix
At-the-money swaption-volatility matrix.

Detailed Description

Swaption at-the-money volatility matrix.

Author

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