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swaptionvolmatrix.hpp
Langue: en
Version: 374653 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
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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